Price · Other · Blume and Husic (1973)

Price

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

Expected return · posterior mean, % per quarter

Next quarter

−4.32%

95% interval −5.64% to −2.77%

Next year

−3.77%

95% interval −5.28% to −2.19%

Next five years

−2.19%

95% interval −4.27% to −0.13%

Next quarter

−3.21%

95% interval −4.87% to −1.30%

Next year

−2.62%

95% interval −4.51% to −0.64%

Next five years

−0.91%

95% interval −3.53% to 1.64%

Next quarter

−5.64%

95% interval −7.59% to −3.39%

Next year

−4.80%

95% interval −7.04% to −2.47%

Next five years

−2.34%

95% interval −5.49% to 0.77%

Next quarter

−4.69%

95% interval −7.01% to −1.85%

Next year

−3.63%

95% interval −6.26% to −0.81%

Next five years

−0.55%

95% interval −4.18% to 2.93%

Cumulative market-adjusted return

−100% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	−6.41%	28.09%	−0.23	−2.26
2020Q1–2024Q4	−22.14%	29.58%	−0.75	−1.67
2024Q1–2024Q4	−28.58%	25.80%	−1.11	−1.11
1926Q3–2024Q4	0.52%	34.97%	0.02	0.15
2020Q1–2024Q4	−13.27%	37.30%	−0.36	−0.80
2024Q1–2024Q4	−19.91%	35.78%	−0.56	−0.56
1926Q3–2024Q4	−4.73%	41.52%	−0.11	−1.13
2020Q1–2024Q4	−29.97%	44.31%	−0.68	−1.51
2024Q1–2024Q4	−36.47%	45.65%	−0.80	−0.80
1926Q3–2024Q4	6.40%	46.43%	0.14	1.37
2020Q1–2024Q4	−15.82%	50.90%	−0.31	−0.69
2024Q1–2024Q4	−41.61%	40.28%	−1.03	−1.03

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.313	−0.411 – −0.199	1.00
Next year	−0.272	−0.381 – −0.157	1.00
Next five years	−0.156	−0.304 – −0.009	0.98
Next quarter	−0.187	−0.285 – −0.075	1.00
Next year	−0.152	−0.262 – −0.037	0.99
Next five years	−0.052	−0.202 – 0.094	0.75
Next quarter	−0.278	−0.376 – −0.164	1.00
Next year	−0.234	−0.345 – −0.120	1.00
Next five years	−0.113	−0.264 – 0.037	0.93
Next quarter	−0.207	−0.311 – −0.081	1.00
Next year	−0.159	−0.275 – −0.035	0.99
Next five years	−0.024	−0.180 – 0.127	0.61