RDS · Composite accounting · Landsman et al. (2011)

Real dirty surplus

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1973Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.19%

95% interval −0.44% to 0.80%

Next year

0.21%

95% interval −0.41% to 0.79%

Next five years

0.24%

95% interval −0.35% to 0.80%

Next quarter

0.04%

95% interval −0.88% to 0.89%

Next year

0.09%

95% interval −0.80% to 0.89%

Next five years

0.22%

95% interval −0.60% to 0.96%

Next quarter

0.25%

95% interval −0.52% to 0.99%

Next year

0.26%

95% interval −0.50% to 0.99%

Next five years

0.29%

95% interval −0.44% to 1.00%

Next quarter

0.12%

95% interval −0.71% to 0.94%

Next year

0.13%

95% interval −0.70% to 0.94%

Next five years

0.17%

95% interval −0.68% to 0.98%

Next quarter

0.13%

95% interval −0.73% to 0.97%

Next year

0.18%

95% interval −0.65% to 0.97%

Next five years

0.36%

95% interval −0.44% to 1.04%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+54% since 1973Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1973Q3–2024Q4	1.18%	8.31%	0.14	1.02
2020Q1–2024Q4	−0.85%	10.57%	−0.08	−0.18
2024Q1–2024Q4	−7.43%	8.11%	−0.92	−0.92
1973Q3–2024Q4	1.43%	10.19%	0.14	1.01
2020Q1–2024Q4	−0.62%	10.97%	−0.06	−0.13
2024Q1–2024Q4	−8.87%	4.55%	−1.95	−1.95
1973Q3–2024Q4	1.40%	10.53%	0.13	0.96
2020Q1–2024Q4	−1.38%	12.12%	−0.11	−0.25
2024Q1–2024Q4	−8.00%	9.02%	−0.89	−0.89
1973Q3–2024Q4	0.85%	12.12%	0.07	0.50
2020Q1–2024Q4	2.01%	10.88%	0.18	0.41
2024Q1–2024Q4	−6.57%	3.02%	−2.18	−2.18
1973Q3–2024Q4	2.31%	8.90%	0.26	1.87
2020Q1–2024Q4	0.11%	9.93%	0.01	0.02
2024Q1–2024Q4	−6.64%	7.63%	−0.87	−0.87

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	0.047	−0.107 – 0.192	0.26
Next year	0.049	−0.100 – 0.190	0.25
Next five years	0.057	−0.084 – 0.193	0.20
Next quarter	0.008	−0.175 – 0.176	0.45
Next year	0.017	−0.157 – 0.175	0.41
Next five years	0.043	−0.118 – 0.188	0.28
Next quarter	0.047	−0.099 – 0.189	0.26
Next year	0.049	−0.094 – 0.187	0.24
Next five years	0.055	−0.084 – 0.190	0.21
Next quarter	0.019	−0.117 – 0.155	0.39
Next year	0.021	−0.116 – 0.155	0.38
Next five years	0.027	−0.112 – 0.162	0.34
Next quarter	0.028	−0.167 – 0.218	0.40
Next year	0.041	−0.147 – 0.218	0.33
Next five years	0.080	−0.098 – 0.234	0.17