PctTotAcc · Accruals · Hafzalla, Lundholm, Van Winkle (2011)

Percent Total Accruals

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1988Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.19%

95% interval −0.41% to 0.79%

Next year

0.19%

95% interval −0.42% to 0.80%

Next five years

0.20%

95% interval −0.46% to 0.85%

Next quarter

0.52%

95% interval 0.03% to 1.04%

Next year

0.52%

95% interval −0.02% to 1.06%

Next five years

0.50%

95% interval −0.21% to 1.14%

Next quarter

0.59%

95% interval −0.15% to 1.35%

Next year

0.59%

95% interval −0.18% to 1.37%

Next five years

0.61%

95% interval −0.24% to 1.44%

Next quarter

1.23%

95% interval 0.82% to 1.61%

Next year

1.14%

95% interval 0.69% to 1.58%

Next five years

0.88%

95% interval 0.20% to 1.52%

Cumulative market-adjusted return

+27% since 1988Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1988Q3–2024Q4	0.99%	8.16%	0.12	0.73
2020Q1–2024Q4	2.79%	9.22%	0.30	0.68
2024Q1–2024Q4	1.80%	1.74%	1.04	1.04
1988Q3–2024Q4	2.76%	7.28%	0.38	2.29
2020Q1–2024Q4	6.56%	8.37%	0.78	1.75
2024Q1–2024Q4	3.81%	6.31%	0.60	0.60
1988Q3–2024Q4	3.07%	10.06%	0.31	1.84
2020Q1–2024Q4	4.83%	8.44%	0.57	1.28
2024Q1–2024Q4	−1.22%	5.56%	−0.22	−0.22
1988Q3–2024Q4	4.98%	6.49%	0.77	4.64
2020Q1–2024Q4	9.57%	10.30%	0.93	2.08
2024Q1–2024Q4	11.12%	7.29%	1.52	1.52

Horizon	Mean	95% interval	P(neg)
Next quarter	0.046	−0.099 – 0.193	0.27
Next year	0.047	−0.103 – 0.195	0.27
Next five years	0.049	−0.114 – 0.208	0.27
Next quarter	0.145	0.010 – 0.286	0.02
Next year	0.142	−0.006 – 0.292	0.03
Next five years	0.136	−0.057 – 0.315	0.08
Next quarter	0.117	−0.030 – 0.269	0.06
Next year	0.118	−0.035 – 0.272	0.07
Next five years	0.122	−0.048 – 0.285	0.08
Next quarter	0.386	0.254 – 0.506	0.00
Next year	0.355	0.213 – 0.494	0.00
Next five years	0.271	0.061 – 0.467	0.01