RIO_MB · Short sale constraints · Nagel (2005)

Inst Own and Market to Book

Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1963Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.45%

95% interval −1.29% to 0.61%

Next year

−0.20%

95% interval −1.19% to 0.89%

Next five years

0.52%

95% interval −0.91% to 1.89%

OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.

Cumulative market-adjusted return

+1,182% since 1963Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	5.30%	15.36%	0.34	2.70
2020Q1–2024Q4	−4.77%	12.77%	−0.37	−0.84
2024Q1–2024Q4	−5.48%	7.07%	−0.77	−0.77

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.060	−0.173 – 0.080	0.84
Next year	−0.027	−0.158 – 0.117	0.67
Next five years	0.067	−0.118 – 0.247	0.23