VolSD · Liquidity · Chordia, Subra, Anshuman (2001)
Volume Variance
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q2 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
0.82%
95% interval 0.43% to 1.21%
Next year
0.82%
95% interval 0.42% to 1.21%
Next five years
0.82%
95% interval 0.42% to 1.22%
Cumulative market-adjusted return
+2,196% since 1927Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q2–2024Q4 | 3.53% | 7.97% | 0.44 | 4.38 |
| 2020Q1–2024Q4 | 2.00% | 7.34% | 0.27 | 0.61 |
| 2024Q1–2024Q4 | 2.98% | 7.34% | 0.41 | 0.41 |
| 1927Q2–2024Q4 | 5.40% | 10.83% | 0.50 | 4.93 |
| 2020Q1–2024Q4 | −2.38% | 14.80% | −0.16 | −0.36 |
| 2024Q1–2024Q4 | 3.57% | 9.21% | 0.39 | 0.39 |
| 1927Q2–2024Q4 | 4.55% | 10.23% | 0.45 | 4.40 |
| 2020Q1–2024Q4 | 4.26% | 10.19% | 0.42 | 0.93 |
| 2024Q1–2024Q4 | 4.04% | 11.15% | 0.36 | 0.36 |
| 1927Q2–2024Q4 | 7.27% | 12.80% | 0.57 | 5.61 |
| 2020Q1–2024Q4 | −0.80% | 17.68% | −0.05 | −0.10 |
| 2024Q1–2024Q4 | 11.32% | 11.41% | 0.99 | 0.99 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.205 | 0.107 – 0.304 | 0.00 |
| Next year | 0.206 | 0.106 – 0.304 | 0.00 |
| Next five years | 0.206 | 0.104 – 0.306 | 0.00 |
| Next quarter | 0.205 | 0.081 – 0.322 | 0.00 |
| Next year | 0.209 | 0.086 – 0.322 | 0.00 |
| Next five years | 0.221 | 0.099 – 0.329 | 0.00 |
| Next quarter | 0.205 | 0.111 – 0.301 | 0.00 |
| Next year | 0.205 | 0.108 – 0.302 | 0.00 |
| Next five years | 0.203 | 0.095 – 0.306 | 0.00 |
| Next quarter | 0.239 | 0.136 – 0.346 | 0.00 |
| Next year | 0.242 | 0.133 – 0.348 | 0.00 |
| Next five years | 0.249 | 0.124 – 0.362 | 0.00 |