MaxRet · Volatility · Bali, Cakici, and Whitelaw (2011)

Maximum return over month

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.85%

95% interval 0.26% to 3.22%

Next year

1.96%

95% interval 0.47% to 3.22%

Next five years

2.27%

95% interval 0.96% to 3.33%

Next quarter

1.84%

95% interval 0.25% to 3.22%

Next year

1.95%

95% interval 0.45% to 3.22%

Next five years

2.26%

95% interval 0.95% to 3.33%

Next quarter

3.08%

95% interval 1.72% to 4.35%

Next year

3.12%

95% interval 1.70% to 4.37%

Next five years

3.23%

95% interval 1.65% to 4.53%

Next quarter

3.09%

95% interval 1.74% to 4.36%

Next year

3.13%

95% interval 1.73% to 4.39%

Next five years

3.25%

95% interval 1.69% to 4.55%

Cumulative market-adjusted return

+918,787% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	10.92%	17.68%	0.62	6.13
2020Q1–2024Q4	2.24%	19.45%	0.12	0.26
2024Q1–2024Q4	−10.38%	20.29%	−0.51	−0.51
1926Q3–2024Q4	10.92%	17.68%	0.62	6.13
2020Q1–2024Q4	2.24%	19.45%	0.12	0.26
2024Q1–2024Q4	−10.38%	20.29%	−0.51	−0.51
1926Q3–2024Q4	14.87%	22.44%	0.66	6.58
2020Q1–2024Q4	13.81%	19.54%	0.71	1.58
2024Q1–2024Q4	−4.98%	29.15%	−0.17	−0.17
1926Q3–2024Q4	14.87%	22.44%	0.66	6.58
2020Q1–2024Q4	13.81%	19.54%	0.71	1.58
2024Q1–2024Q4	−4.98%	29.15%	−0.17	−0.17

Horizon	Mean	95% interval	P(neg)
Next quarter	0.210	0.030 – 0.365	0.01
Next year	0.222	0.053 – 0.365	0.00
Next five years	0.257	0.108 – 0.377	0.00
Next quarter	0.209	0.028 – 0.364	0.01
Next year	0.221	0.051 – 0.365	0.00
Next five years	0.255	0.107 – 0.377	0.00
Next quarter	0.276	0.154 – 0.388	0.00
Next year	0.279	0.153 – 0.390	0.00
Next five years	0.288	0.146 – 0.404	0.00
Next quarter	0.276	0.156 – 0.389	0.00
Next year	0.280	0.155 – 0.391	0.00
Next five years	0.289	0.150 – 0.405	0.00