Herf · Other · Hou and Robinson (2006)

Industry concentration (sales)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.18%

95% interval −0.61% to 1.25%

Next year

0.14%

95% interval −0.62% to 1.11%

Next five years

0.03%

95% interval −0.71% to 0.85%

Next quarter

−1.71%

95% interval −2.11% to −1.22%

Next year

−1.41%

95% interval −1.88% to −0.91%

Next five years

−0.54%

95% interval −1.22% to 0.15%

Next quarter

−0.39%

95% interval −1.15% to 0.39%

Next year

−0.39%

95% interval −1.16% to 0.40%

Next five years

−0.40%

95% interval −1.21% to 0.44%

Next quarter

−2.26%

95% interval −2.77% to −1.57%

Next year

−1.88%

95% interval −2.45% to −1.21%

Next five years

−0.76%

95% interval −1.55% to 0.02%

Cumulative market-adjusted return

−47% since 1951Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q2–2024Q4	−0.14%	12.03%	−0.01	−0.10
2020Q1–2024Q4	3.05%	25.90%	0.12	0.26
2024Q1–2024Q4	17.59%	36.29%	0.48	0.48
1951Q2–2024Q4	−0.29%	7.97%	−0.04	−0.31
2020Q1–2024Q4	−10.88%	14.55%	−0.75	−1.67
2024Q1–2024Q4	−9.70%	13.98%	−0.69	−0.69
1951Q2–2024Q4	−1.80%	13.91%	−0.13	−1.11
2020Q1–2024Q4	−1.65%	28.86%	−0.06	−0.13
2024Q1–2024Q4	12.78%	41.77%	0.31	0.31
1951Q2–2024Q4	−0.75%	9.18%	−0.08	−0.70
2020Q1–2024Q4	−12.27%	17.62%	−0.70	−1.56
2024Q1–2024Q4	−16.25%	16.11%	−1.01	−1.01

Horizon	Mean	95% interval	P(neg)
Next quarter	0.030	−0.101 – 0.210	0.37
Next year	0.024	−0.103 – 0.186	0.39
Next five years	0.006	−0.118 – 0.141	0.48
Next quarter	−0.443	−0.550 – −0.313	1.00
Next year	−0.361	−0.483 – −0.231	1.00
Next five years	−0.135	−0.308 – 0.038	0.94
Next quarter	−0.056	−0.166 – 0.056	0.84
Next year	−0.056	−0.167 – 0.057	0.84
Next five years	−0.057	−0.174 – 0.062	0.83
Next quarter	−0.508	−0.628 – −0.346	1.00
Next year	−0.417	−0.546 – −0.267	1.00
Next five years	−0.166	−0.338 – 0.005	0.97