RIO_Volatility · Short sale constraints · Nagel (2005)

Inst Own and Idio Vol

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

1.62%

95% interval 0.65% to 2.53%

Next year

1.53%

95% interval 0.54% to 2.52%

Next five years

1.28%

95% interval 0.06% to 2.47%

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

+3,451% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	5.52%	19.30%	0.29	2.83
2020Q1–2024Q4	16.77%	16.46%	1.02	2.28
2024Q1–2024Q4	−2.73%	16.55%	−0.17	−0.17

Horizon	Mean	95% interval	P(neg)
Next quarter	0.169	0.068 – 0.264	0.00
Next year	0.159	0.056 – 0.262	0.00
Next five years	0.132	0.006 – 0.256	0.02