HerfBE · Other · Hou and Robinson (2006)

Industry concentration (equity)

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

Expected return · posterior mean, % per quarter

Next quarter

0.20%

95% interval −0.51% to 1.08%

Next year

0.17%

95% interval −0.52% to 0.99%

Next five years

0.07%

95% interval −0.61% to 0.81%

Next quarter

−1.28%

95% interval −1.68% to −0.83%

Next year

−1.05%

95% interval −1.52% to −0.55%

Next five years

−0.37%

95% interval −1.09% to 0.34%

Next quarter

0.22%

95% interval −0.60% to 1.11%

Next year

0.20%

95% interval −0.60% to 1.07%

Next five years

0.15%

95% interval −0.64% to 0.99%

Next quarter

−1.24%

95% interval −1.70% to −0.72%

Next year

−1.00%

95% interval −1.54% to −0.43%

Next five years

−0.28%

95% interval −1.08% to 0.51%

Cumulative market-adjusted return

−30% since 1952Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q1–2024Q4	0.11%	11.10%	0.01	0.09
2020Q1–2024Q4	4.54%	22.25%	0.20	0.46
2024Q1–2024Q4	15.04%	26.19%	0.57	0.57
1952Q1–2024Q4	0.01%	8.27%	0.00	0.01
2020Q1–2024Q4	−9.61%	12.57%	−0.76	−1.71
2024Q1–2024Q4	−7.26%	12.80%	−0.57	−0.57
1952Q1–2024Q4	0.55%	13.69%	0.04	0.34
2020Q1–2024Q4	4.22%	24.05%	0.18	0.39
2024Q1–2024Q4	16.90%	28.24%	0.60	0.60
1952Q1–2024Q4	0.67%	9.27%	0.07	0.62
2020Q1–2024Q4	−8.59%	13.45%	−0.64	−1.43
2024Q1–2024Q4	−11.55%	14.50%	−0.80	−0.80

Horizon	Mean	95% interval	P(neg)
Next quarter	0.037	−0.092 – 0.197	0.32
Next year	0.031	−0.094 – 0.179	0.34
Next five years	0.013	−0.110 – 0.146	0.43
Next quarter	−0.319	−0.420 – −0.203	1.00
Next year	−0.259	−0.377 – −0.135	1.00
Next five years	−0.090	−0.263 – 0.081	0.85
Next quarter	0.033	−0.087 – 0.162	0.30
Next year	0.030	−0.087 – 0.156	0.32
Next five years	0.022	−0.094 – 0.145	0.36
Next quarter	−0.276	−0.380 – −0.158	1.00
Next year	−0.219	−0.340 – −0.094	1.00
Next five years	−0.060	−0.234 – 0.111	0.76