HerfAsset · Other · Hou and Robinson (2006)

Industry concentration (assets)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.18%

95% interval −0.51% to 1.02%

Next year

0.16%

95% interval −0.52% to 0.94%

Next five years

0.10%

95% interval −0.59% to 0.83%

Next quarter

−1.42%

95% interval −1.83% to −0.93%

Next year

−1.18%

95% interval −1.66% to −0.66%

Next five years

−0.48%

95% interval −1.20% to 0.23%

Next quarter

0.21%

95% interval −0.77% to 1.42%

Next year

0.16%

95% interval −0.77% to 1.28%

Next five years

0.02%

95% interval −0.86% to 0.99%

Next quarter

−0.88%

95% interval −1.36% to −0.32%

Next year

−0.72%

95% interval −1.28% to −0.13%

Next five years

−0.25%

95% interval −1.06% to 0.55%

Cumulative market-adjusted return

−24% since 1952Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q1–2024Q4	0.28%	11.49%	0.02	0.21
2020Q1–2024Q4	4.08%	23.58%	0.17	0.39
2024Q1–2024Q4	13.95%	30.05%	0.46	0.46
1952Q1–2024Q4	−0.53%	8.33%	−0.06	−0.54
2020Q1–2024Q4	−8.64%	13.57%	−0.64	−1.42
2024Q1–2024Q4	−8.35%	13.30%	−0.63	−0.63
1952Q1–2024Q4	−0.32%	14.32%	−0.02	−0.19
2020Q1–2024Q4	10.73%	25.73%	0.42	0.93
2024Q1–2024Q4	13.86%	32.94%	0.42	0.42
1952Q1–2024Q4	0.12%	9.71%	0.01	0.10
2020Q1–2024Q4	−4.70%	18.01%	−0.26	−0.58
2024Q1–2024Q4	−9.51%	24.11%	−0.39	−0.39

Horizon	Mean	95% interval	P(neg)
Next quarter	0.032	−0.089 – 0.179	0.33
Next year	0.028	−0.090 – 0.165	0.34
Next five years	0.017	−0.102 – 0.144	0.40
Next quarter	−0.350	−0.454 – −0.227	1.00
Next year	−0.288	−0.409 – −0.162	1.00
Next five years	−0.116	−0.290 – 0.055	0.91
Next quarter	0.030	−0.108 – 0.200	0.37
Next year	0.023	−0.108 – 0.180	0.40
Next five years	0.002	−0.121 – 0.139	0.50
Next quarter	−0.185	−0.286 – −0.067	1.00
Next year	−0.150	−0.268 – −0.026	0.99
Next five years	−0.052	−0.219 – 0.114	0.73