IdioVol3F · Volatility · Ang et al. (2006)

Idiosyncratic risk (3 factor)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q4 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

2.37%

95% interval 1.32% to 3.46%

Next year

2.41%

95% interval 1.26% to 3.53%

Next five years

2.52%

95% interval 1.09% to 3.83%

Next quarter

2.37%

95% interval 1.31% to 3.48%

Next year

2.41%

95% interval 1.26% to 3.55%

Next five years

2.52%

95% interval 1.08% to 3.84%

Next quarter

3.92%

95% interval 2.71% to 5.16%

Next year

3.84%

95% interval 2.43% to 5.23%

Next five years

3.60%

95% interval 1.61% to 5.48%

Next quarter

3.92%

95% interval 2.73% to 5.15%

Next year

3.83%

95% interval 2.45% to 5.22%

Next five years

3.59%

95% interval 1.63% to 5.46%

Cumulative market-adjusted return

+1,532,399% since 1926Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q4–2024Q4	12.05%	20.52%	0.59	5.82
2020Q1–2024Q4	8.86%	19.82%	0.45	1.00
2024Q1–2024Q4	8.51%	23.42%	0.36	0.36
1926Q4–2024Q4	12.05%	20.52%	0.59	5.82
2020Q1–2024Q4	8.86%	19.82%	0.45	1.00
2024Q1–2024Q4	8.51%	23.42%	0.36	0.36
1926Q4–2024Q4	17.48%	25.88%	0.68	6.70
2020Q1–2024Q4	25.73%	23.07%	1.12	2.49
2024Q1–2024Q4	4.60%	36.96%	0.12	0.12
1926Q4–2024Q4	17.48%	25.88%	0.68	6.70
2020Q1–2024Q4	25.73%	23.07%	1.12	2.49
2024Q1–2024Q4	4.60%	36.96%	0.12	0.12

Horizon	Mean	95% interval
Next quarter	0.233	0.130 – 0.338
Next year	0.236	0.124 – 0.345
Next five years	0.246	0.106 – 0.374
Next quarter	0.232	0.129 – 0.340
Next year	0.236	0.123 – 0.346
Next five years	0.246	0.105 – 0.373
Next quarter	0.307	0.213 – 0.403
Next year	0.299	0.190 – 0.407
Next five years	0.278	0.124 – 0.424
Next quarter	0.307	0.214 – 0.401
Next year	0.299	0.191 – 0.405
Next five years	0.277	0.126 – 0.421