MRreversal · Long term reversal · De Bondt and Thaler (1985)

Medium-run reversal

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

Expected return · posterior mean, % per quarter

Next quarter

0.60%

95% interval −0.20% to 1.42%

Next year

0.62%

95% interval −0.22% to 1.45%

Next five years

0.67%

95% interval −0.29% to 1.59%

Next quarter

−0.19%

95% interval −1.27% to 0.99%

Next year

−0.05%

95% interval −1.15% to 1.05%

Next five years

0.34%

95% interval −0.86% to 1.44%

Next quarter

0.79%

95% interval −0.23% to 1.83%

Next year

0.78%

95% interval −0.28% to 1.86%

Next five years

0.76%

95% interval −0.45% to 1.96%

Next quarter

−0.46%

95% interval −1.94% to 1.15%

Next year

−0.23%

95% interval −1.68% to 1.25%

Next five years

0.46%

95% interval −1.04% to 1.83%

Cumulative market-adjusted return

+518% since 1927Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q3–2024Q4	3.13%	16.39%	0.19	1.89
2020Q1–2024Q4	2.01%	20.34%	0.10	0.22
2024Q1–2024Q4	−7.09%	7.11%	−1.00	−1.00
1927Q3–2024Q4	2.53%	17.51%	0.14	1.43
2020Q1–2024Q4	2.47%	20.55%	0.12	0.27
2024Q1–2024Q4	−16.73%	19.73%	−0.85	−0.85
1927Q3–2024Q4	3.25%	21.90%	0.15	1.46
2020Q1–2024Q4	9.34%	29.54%	0.32	0.71
2024Q1–2024Q4	−9.35%	12.19%	−0.77	−0.77
1927Q3–2024Q4	3.86%	20.91%	0.18	1.82
2020Q1–2024Q4	2.52%	25.00%	0.10	0.23
2024Q1–2024Q4	−31.44%	21.29%	−1.48	−1.48

Horizon	Mean	95% interval	P(neg)
Next quarter	0.074	−0.024 – 0.173	0.07
Next year	0.076	−0.027 – 0.177	0.07
Next five years	0.082	−0.036 – 0.194	0.08
Next quarter	−0.022	−0.148 – 0.113	0.63
Next year	−0.006	−0.132 – 0.120	0.54
Next five years	0.039	−0.097 – 0.164	0.27
Next quarter	0.073	−0.021 – 0.167	0.07
Next year	0.072	−0.025 – 0.170	0.08
Next five years	0.069	−0.041 – 0.179	0.10
Next quarter	−0.045	−0.188 – 0.111	0.72
Next year	−0.022	−0.162 – 0.120	0.62
Next five years	0.044	−0.099 – 0.175	0.26