OperProf · Profitability · Fama and French (2006)

operating profits / book equity

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

Expected return · posterior mean, % per quarter

Next quarter

1.54%

95% interval 0.75% to 2.30%

Next year

1.50%

95% interval 0.71% to 2.30%

Next five years

1.37%

95% interval 0.42% to 2.29%

Next quarter

1.80%

95% interval 1.03% to 2.54%

Next year

1.75%

95% interval 0.93% to 2.55%

Next five years

1.59%

95% interval 0.51% to 2.58%

Next quarter

1.84%

95% interval 0.82% to 2.80%

Next year

1.76%

95% interval 0.78% to 2.75%

Next five years

1.51%

95% interval 0.40% to 2.61%

Next quarter

2.12%

95% interval 1.22% to 2.98%

Next year

2.07%

95% interval 1.14% to 2.98%

Next five years

1.92%

95% interval 0.73% to 3.01%

Cumulative market-adjusted return

+2,653% since 1963Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	6.26%	13.11%	0.48	3.74
2020Q1–2024Q4	10.16%	9.63%	1.05	2.36
2024Q1–2024Q4	8.29%	9.92%	0.84	0.84
1963Q3–2024Q4	7.52%	13.49%	0.56	4.37
2020Q1–2024Q4	11.17%	15.00%	0.75	1.67
2024Q1–2024Q4	5.11%	9.83%	0.52	0.52
1963Q3–2024Q4	6.71%	15.13%	0.44	3.48
2020Q1–2024Q4	12.64%	11.19%	1.13	2.53
2024Q1–2024Q4	13.41%	13.42%	1.00	1.00
1963Q3–2024Q4	8.91%	15.47%	0.58	4.52
2020Q1–2024Q4	12.80%	13.53%	0.95	2.12
2024Q1–2024Q4	6.16%	13.28%	0.46	0.46

Horizon	Mean	95% interval
Next quarter	0.236	0.114 – 0.353
Next year	0.229	0.108 – 0.351
Next five years	0.210	0.064 – 0.348
Next quarter	0.268	0.153 – 0.379
Next year	0.260	0.139 – 0.379
Next five years	0.236	0.076 – 0.381
Next quarter	0.245	0.108 – 0.375
Next year	0.233	0.103 – 0.366
Next five years	0.200	0.053 – 0.346
Next quarter	0.275	0.159 – 0.387
Next year	0.268	0.147 – 0.387
Next five years	0.248	0.094 – 0.388