SP · Valuation · Barbee, Mukherji and Raines (1996)

Sales-to-price

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.52%

95% interval −1.33% to 1.89%

Next year

0.60%

95% interval −1.05% to 1.88%

Next five years

0.86%

95% interval −0.43% to 1.93%

Next quarter

2.65%

95% interval 1.57% to 3.74%

Next year

2.59%

95% interval 1.56% to 3.66%

Next five years

2.41%

95% interval 1.34% to 3.47%

Next quarter

2.45%

95% interval 0.92% to 3.91%

Next year

2.35%

95% interval 0.92% to 3.80%

Next five years

2.06%

95% interval 0.60% to 3.55%

Next quarter

3.29%

95% interval 1.98% to 4.55%

Next year

3.21%

95% interval 1.95% to 4.48%

Next five years

2.97%

95% interval 1.59% to 4.31%

Cumulative market-adjusted return

+968% since 1951Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	4.60%	16.75%	0.27	2.35
2020Q1–2024Q4	−1.76%	28.50%	−0.06	−0.14
2024Q1–2024Q4	−28.10%	12.47%	−2.25	−2.25
1951Q3–2024Q4	10.53%	17.03%	0.62	5.30
2020Q1–2024Q4	25.09%	26.10%	0.96	2.15
2024Q1–2024Q4	8.28%	18.39%	0.45	0.45
1951Q3–2024Q4	8.73%	22.96%	0.38	3.26
2020Q1–2024Q4	29.52%	33.33%	0.89	1.98
2024Q1–2024Q4	−1.10%	17.88%	−0.06	−0.06
1951Q3–2024Q4	13.08%	21.01%	0.62	5.34
2020Q1–2024Q4	34.04%	29.48%	1.15	2.58
2024Q1–2024Q4	5.44%	27.32%	0.20	0.20

Horizon	Mean	95% interval	P(neg)
Next quarter	0.061	−0.161 – 0.226	0.25
Next year	0.072	−0.127 – 0.224	0.21
Next five years	0.103	−0.051 – 0.231	0.08
Next quarter	0.312	0.184 – 0.444	0.00
Next year	0.305	0.183 – 0.431	0.00
Next five years	0.283	0.157 – 0.408	0.00
Next quarter	0.214	0.080 – 0.343	0.00
Next year	0.205	0.080 – 0.333	0.00
Next five years	0.179	0.052 – 0.309	0.00
Next quarter	0.314	0.188 – 0.436	0.00
Next year	0.306	0.186 – 0.427	0.00
Next five years	0.282	0.150 – 0.410	0.00