NOA · Asset composition · Hirshleifer et al. (2004)

Net Operating Assets

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.43%

95% interval 0.60% to 2.25%

Next year

1.33%

95% interval 0.56% to 2.11%

Next five years

1.03%

95% interval 0.24% to 1.84%

Next quarter

−0.00%

95% interval −0.53% to 0.59%

Next year

0.19%

95% interval −0.44% to 0.85%

Next five years

0.77%

95% interval −0.17% to 1.69%

Next quarter

2.11%

95% interval 1.25% to 2.93%

Next year

1.99%

95% interval 1.15% to 2.84%

Next five years

1.67%

95% interval 0.61% to 2.71%

Next quarter

−0.29%

95% interval −1.02% to 0.60%

Next year

0.04%

95% interval −0.82% to 0.98%

Next five years

1.00%

95% interval −0.27% to 2.23%

Cumulative market-adjusted return

+952% since 1963Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q1–2024Q4	4.33%	10.33%	0.42	3.30
2020Q1–2024Q4	5.42%	13.37%	0.41	0.91
2024Q1–2024Q4	17.96%	14.96%	1.20	1.20
1963Q1–2024Q4	6.74%	10.22%	0.66	5.19
2020Q1–2024Q4	−3.71%	13.31%	−0.28	−0.62
2024Q1–2024Q4	3.11%	15.50%	0.20	0.20
1963Q1–2024Q4	7.76%	13.10%	0.59	4.66
2020Q1–2024Q4	5.97%	15.75%	0.38	0.85
2024Q1–2024Q4	22.84%	13.78%	1.66	1.66
1963Q1–2024Q4	9.46%	13.50%	0.70	5.52
2020Q1–2024Q4	−3.41%	17.82%	−0.19	−0.43
2024Q1–2024Q4	−0.56%	20.60%	−0.03	−0.03

Horizon	Mean	95% interval	P(neg)
Next quarter	0.280	0.116 – 0.444	0.00
Next year	0.259	0.108 – 0.413	0.00
Next five years	0.199	0.046 – 0.355	0.01
Next quarter	−0.001	−0.106 – 0.118	0.52
Next year	0.039	−0.087 – 0.169	0.28
Next five years	0.152	−0.034 – 0.331	0.05
Next quarter	0.325	0.191 – 0.456	0.00
Next year	0.306	0.176 – 0.440	0.00
Next five years	0.254	0.093 – 0.414	0.00
Next quarter	−0.044	−0.156 – 0.091	0.77
Next year	0.006	−0.125 – 0.147	0.47
Next five years	0.148	−0.040 – 0.330	0.06