RealizedVol · Volatility · Ang et al. (2006)

Realized (Total) Volatility

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

Expected return · posterior mean, % per quarter

Next quarter

1.72%

95% interval −0.26% to 3.61%

Next year

1.92%

95% interval 0.06% to 3.64%

Next five years

2.47%

95% interval 0.78% to 3.86%

Next quarter

1.73%

95% interval −0.27% to 3.60%

Next year

1.92%

95% interval 0.04% to 3.62%

Next five years

2.47%

95% interval 0.76% to 3.88%

Next quarter

2.37%

95% interval 0.40% to 4.48%

Next year

2.60%

95% interval 0.63% to 4.57%

Next five years

3.26%

95% interval 1.11% to 5.13%

Next quarter

2.36%

95% interval 0.42% to 4.48%

Next year

2.59%

95% interval 0.63% to 4.57%

Next five years

3.24%

95% interval 1.13% to 5.10%

Cumulative market-adjusted return

+2,254,729% since 1926Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q4–2024Q4	12.74%	21.96%	0.58	5.75
2020Q1–2024Q4	3.66%	22.48%	0.16	0.36
2024Q1–2024Q4	−12.88%	21.67%	−0.59	−0.59
1926Q4–2024Q4	12.74%	21.96%	0.58	5.75
2020Q1–2024Q4	3.66%	22.48%	0.16	0.36
2024Q1–2024Q4	−12.88%	21.67%	−0.59	−0.59
1926Q4–2024Q4	17.45%	27.08%	0.64	6.39
2020Q1–2024Q4	8.97%	28.68%	0.31	0.70
2024Q1–2024Q4	−12.56%	32.62%	−0.39	−0.39
1926Q4–2024Q4	17.45%	27.08%	0.64	6.39
2020Q1–2024Q4	8.97%	28.68%	0.31	0.70
2024Q1–2024Q4	−12.56%	32.62%	−0.39	−0.39

Horizon	Mean	95% interval	P(neg)
Next quarter	0.157	−0.024 – 0.329	0.05
Next year	0.175	0.005 – 0.331	0.02
Next five years	0.225	0.071 – 0.352	0.00
Next quarter	0.158	−0.025 – 0.329	0.05
Next year	0.175	0.003 – 0.331	0.02
Next five years	0.225	0.069 – 0.353	0.00
Next quarter	0.176	0.030 – 0.331	0.01
Next year	0.193	0.047 – 0.338	0.00
Next five years	0.240	0.082 – 0.379	0.00
Next quarter	0.175	0.032 – 0.331	0.01
Next year	0.192	0.047 – 0.338	0.00
Next five years	0.239	0.083 – 0.376	0.00