NetDebtPrice · Leverage · Penman, Richardson and Tuna (2007)

Net debt to price

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.56%

95% interval −2.32% to 1.02%

Next year

−0.42%

95% interval −2.03% to 1.01%

Next five years

−0.01%

95% interval −1.31% to 1.08%

Next quarter

0.04%

95% interval −1.05% to 1.56%

Next year

0.22%

95% interval −0.95% to 1.61%

Next five years

0.74%

95% interval −0.68% to 2.05%

Next quarter

−0.54%

95% interval −1.73% to 0.73%

Next year

−0.47%

95% interval −1.71% to 0.76%

Next five years

−0.27%

95% interval −1.64% to 1.03%

Next quarter

0.57%

95% interval −0.61% to 2.05%

Next year

0.76%

95% interval −0.59% to 2.24%

Next five years

1.30%

95% interval −0.53% to 3.01%

Cumulative market-adjusted return

−2.9% since 1963Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	1.09%	15.36%	0.07	0.56
2020Q1–2024Q4	−17.08%	19.11%	−0.89	−2.00
2024Q1–2024Q4	−25.30%	5.78%	−4.38	−4.38
1963Q3–2024Q4	5.56%	16.16%	0.34	2.70
2020Q1–2024Q4	−10.41%	26.91%	−0.39	−0.87
2024Q1–2024Q4	6.48%	34.77%	0.19	0.19
1963Q3–2024Q4	−0.74%	18.45%	−0.04	−0.31
2020Q1–2024Q4	−12.41%	29.18%	−0.43	−0.95
2024Q1–2024Q4	6.32%	35.42%	0.18	0.18
1963Q3–2024Q4	9.05%	20.47%	0.44	3.47
2020Q1–2024Q4	−5.53%	30.36%	−0.18	−0.41
2024Q1–2024Q4	5.68%	41.30%	0.14	0.14

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.073	−0.307 – 0.133	0.69
Next year	−0.055	−0.266 – 0.131	0.66
Next five years	−0.002	−0.171 – 0.141	0.48
Next quarter	0.004	−0.132 – 0.192	0.53
Next year	0.027	−0.119 – 0.199	0.39
Next five years	0.091	−0.085 – 0.254	0.15
Next quarter	−0.059	−0.190 – 0.079	0.80
Next year	−0.051	−0.186 – 0.082	0.77
Next five years	−0.029	−0.178 – 0.111	0.65
Next quarter	0.056	−0.061 – 0.200	0.19
Next year	0.074	−0.058 – 0.219	0.14
Next five years	0.127	−0.052 – 0.295	0.08