RIO_Turnover · Short sale constraints · Nagel (2005)

Inst Own and Turnover

Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.77%

95% interval −0.01% to 1.56%

Next year

0.76%

95% interval −0.09% to 1.60%

Next five years

0.72%

95% interval −0.32% to 1.72%

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

+583% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	3.33%	16.90%	0.20	1.95
2020Q1–2024Q4	7.61%	15.39%	0.49	1.11
2024Q1–2024Q4	−5.85%	15.81%	−0.37	−0.37

Horizon	Mean	95% interval	P(neg)
Next quarter	0.092	−0.002 – 0.185	0.03
Next year	0.090	−0.010 – 0.189	0.04
Next five years	0.085	−0.038 – 0.203	0.08