IdioVolAHT · Volatility · Ali, Hwang, and Trombley (2003)

Idiosyncratic risk (AHT)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

2.06%

95% interval 0.92% to 3.17%

Next year

2.02%

95% interval 0.84% to 3.20%

Next five years

1.89%

95% interval 0.50% to 3.26%

Next quarter

2.06%

95% interval 0.92% to 3.18%

Next year

2.02%

95% interval 0.84% to 3.20%

Next five years

1.90%

95% interval 0.50% to 3.28%

Next quarter

3.11%

95% interval 1.61% to 4.51%

Next year

2.99%

95% interval 1.53% to 4.46%

Next five years

2.65%

95% interval 1.01% to 4.32%

Next quarter

3.12%

95% interval 1.63% to 4.51%

Next year

3.00%

95% interval 1.55% to 4.45%

Next five years

2.66%

95% interval 1.01% to 4.32%

Cumulative market-adjusted return

+18,460% since 1927Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q3–2024Q4	8.18%	23.73%	0.34	3.40
2020Q1–2024Q4	8.68%	23.66%	0.37	0.82
2024Q1–2024Q4	14.46%	18.18%	0.80	0.80
1927Q3–2024Q4	8.18%	23.73%	0.34	3.40
2020Q1–2024Q4	8.68%	23.66%	0.37	0.82
2024Q1–2024Q4	14.46%	18.18%	0.80	0.80
1927Q3–2024Q4	11.12%	27.66%	0.40	3.97
2020Q1–2024Q4	19.81%	23.05%	0.86	1.92
2024Q1–2024Q4	19.74%	14.19%	1.39	1.39
1927Q3–2024Q4	11.12%	27.66%	0.40	3.97
2020Q1–2024Q4	19.81%	23.05%	0.86	1.92
2024Q1–2024Q4	19.74%	14.19%	1.39	1.39

Horizon	Mean	95% interval	P(neg)
Next quarter	0.174	0.077 – 0.269	0.00
Next year	0.170	0.071 – 0.271	0.00
Next five years	0.159	0.042 – 0.275	0.00
Next quarter	0.174	0.078 – 0.269	0.00
Next year	0.170	0.071 – 0.270	0.00
Next five years	0.160	0.042 – 0.276	0.01
Next quarter	0.226	0.116 – 0.328	0.00
Next year	0.217	0.111 – 0.323	0.00
Next five years	0.192	0.072 – 0.312	0.00
Next quarter	0.227	0.117 – 0.329	0.00
Next year	0.218	0.112 – 0.324	0.00
Next five years	0.192	0.073 – 0.312	0.00