ReturnSkew · Risk · Bali, Engle and Murray (2015)

Return skewness

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.31%

95% interval −0.03% to 0.65%

Next year

0.33%

95% interval −0.05% to 0.69%

Next five years

0.38%

95% interval −0.09% to 0.82%

Next quarter

1.66%

95% interval 1.34% to 1.97%

Next year

1.64%

95% interval 1.28% to 1.99%

Next five years

1.58%

95% interval 1.06% to 2.03%

Next quarter

0.14%

95% interval −0.32% to 0.61%

Next year

0.20%

95% interval −0.31% to 0.70%

Next five years

0.36%

95% interval −0.31% to 1.02%

Next quarter

2.60%

95% interval 2.17% to 2.99%

Next year

2.42%

95% interval 1.93% to 2.88%

Next five years

1.90%

95% interval 1.14% to 2.65%

Cumulative market-adjusted return

+409% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	1.88%	6.81%	0.28	2.74
2020Q1–2024Q4	1.42%	7.93%	0.18	0.40
2024Q1–2024Q4	−4.00%	6.17%	−0.65	−0.65
1926Q3–2024Q4	7.28%	7.19%	1.01	10.06
2020Q1–2024Q4	4.64%	9.97%	0.46	1.04
2024Q1–2024Q4	7.53%	8.30%	0.91	0.91
1926Q3–2024Q4	2.16%	9.21%	0.23	2.33
2020Q1–2024Q4	2.05%	8.52%	0.24	0.54
2024Q1–2024Q4	−6.26%	4.70%	−1.33	−1.33
1926Q3–2024Q4	8.85%	9.82%	0.90	8.95
2020Q1–2024Q4	6.26%	13.55%	0.46	1.03
2024Q1–2024Q4	15.51%	8.82%	1.76	1.76

Horizon	Mean	95% interval	P(neg)
Next quarter	0.091	−0.010 – 0.193	0.04
Next year	0.096	−0.014 – 0.203	0.04
Next five years	0.111	−0.026 – 0.241	0.05
Next quarter	0.465	0.373 – 0.554	0.00
Next year	0.458	0.355 – 0.556	0.00
Next five years	0.439	0.293 – 0.563	0.00
Next quarter	0.030	−0.072 – 0.135	0.29
Next year	0.043	−0.069 – 0.153	0.23
Next five years	0.079	−0.068 – 0.221	0.14
Next quarter	0.547	0.452 – 0.632	0.00
Next year	0.504	0.398 – 0.603	0.00
Next five years	0.388	0.233 – 0.540	0.00