Size · Size · Banz (1981)

Size

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

Expected return · posterior mean, % per quarter

Next quarter

−4.57%

95% interval −6.28% to −2.18%

Next year

−3.83%

95% interval −5.51% to −1.76%

Next five years

−1.70%

95% interval −3.49% to 0.00%

Next quarter

−2.21%

95% interval −4.06% to 0.33%

Next year

−1.67%

95% interval −3.54% to 0.56%

Next five years

−0.13%

95% interval −2.18% to 1.78%

Next quarter

−6.36%

95% interval −8.95% to −2.65%

Next year

−5.29%

95% interval −7.71% to −2.12%

Next five years

−2.18%

95% interval −4.46% to −0.05%

Next quarter

−2.10%

95% interval −4.50% to 1.28%

Next year

−1.44%

95% interval −3.86% to 1.53%

Next five years

0.47%

95% interval −2.16% to 2.89%

Next quarter

−1.10%

95% interval −2.07% to 0.20%

Next year

−0.86%

95% interval −1.86% to 0.29%

Next five years

−0.18%

95% interval −1.28% to 0.85%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

−99% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	−2.37%	23.30%	−0.10	−1.01
2020Q1–2024Q4	−22.54%	29.72%	−0.76	−1.70
2024Q1–2024Q4	−45.64%	28.50%	−1.60	−1.60
1926Q3–2024Q4	3.62%	27.59%	0.13	1.30
2020Q1–2024Q4	−10.07%	33.10%	−0.30	−0.68
2024Q1–2024Q4	−27.53%	34.87%	−0.79	−0.79
1926Q3–2024Q4	−2.16%	29.40%	−0.07	−0.73
2020Q1–2024Q4	−32.99%	38.82%	−0.85	−1.90
2024Q1–2024Q4	−69.96%	37.58%	−1.86	−1.86
1926Q3–2024Q4	7.63%	34.75%	0.22	2.18
2020Q1–2024Q4	−8.26%	45.26%	−0.18	−0.41
2024Q1–2024Q4	−28.94%	47.80%	−0.61	−0.61
1926Q3–2024Q4	1.06%	15.30%	0.07	0.69
2020Q1–2024Q4	−5.82%	17.51%	−0.33	−0.74
2024Q1–2024Q4	−10.35%	17.94%	−0.58	−0.58

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.399	−0.554 – −0.188	1.00
Next year	−0.333	−0.481 – −0.151	1.00
Next five years	−0.146	−0.299 – 0.000	0.97
Next quarter	−0.162	−0.300 – 0.024	0.96
Next year	−0.122	−0.260 – 0.041	0.94
Next five years	−0.009	−0.158 – 0.129	0.54
Next quarter	−0.439	−0.626 – −0.181	1.00
Next year	−0.363	−0.534 – −0.145	1.00
Next five years	−0.148	−0.303 – −0.003	0.98
Next quarter	−0.123	−0.265 – 0.074	0.91
Next year	−0.084	−0.225 – 0.089	0.85
Next five years	0.027	−0.124 – 0.167	0.35
Next quarter	−0.145	−0.276 – 0.027	0.96
Next year	−0.113	−0.245 – 0.038	0.93
Next five years	−0.023	−0.167 – 0.111	0.62