betaVIX · Volatility · Ang et al. (2006)

Systematic volatility

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1986Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.67%

95% interval 0.97% to 2.40%

Next year

1.61%

95% interval 0.81% to 2.44%

Next five years

1.45%

95% interval 0.27% to 2.55%

Next quarter

1.67%

95% interval 0.97% to 2.39%

Next year

1.61%

95% interval 0.81% to 2.42%

Next five years

1.44%

95% interval 0.27% to 2.53%

Next quarter

2.64%

95% interval 1.22% to 3.95%

Next year

2.50%

95% interval 1.18% to 3.80%

Next five years

2.12%

95% interval 0.71% to 3.49%

Next quarter

2.63%

95% interval 1.20% to 3.96%

Next year

2.50%

95% interval 1.17% to 3.81%

Next five years

2.12%

95% interval 0.69% to 3.51%

Cumulative market-adjusted return

+1,825% since 1986Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1986Q2–2024Q4	8.34%	11.46%	0.73	4.53
2020Q1–2024Q4	12.35%	13.01%	0.95	2.12
2024Q1–2024Q4	3.27%	11.42%	0.29	0.29
1986Q2–2024Q4	8.34%	11.46%	0.73	4.53
2020Q1–2024Q4	12.35%	13.01%	0.95	2.12
2024Q1–2024Q4	3.27%	11.42%	0.29	0.29
1986Q2–2024Q4	10.02%	16.33%	0.61	3.82
2020Q1–2024Q4	24.29%	18.31%	1.33	2.97
2024Q1–2024Q4	10.48%	18.73%	0.56	0.56
1986Q2–2024Q4	10.02%	16.33%	0.61	3.82
2020Q1–2024Q4	24.29%	18.31%	1.33	2.97
2024Q1–2024Q4	10.48%	18.73%	0.56	0.56

Horizon	Mean	95% interval	P(neg)
Next quarter	0.295	0.171 – 0.422	0.00
Next year	0.284	0.142 – 0.427	0.00
Next five years	0.253	0.047 – 0.444	0.01
Next quarter	0.294	0.170 – 0.421	0.00
Next year	0.283	0.142 – 0.426	0.00
Next five years	0.252	0.046 – 0.442	0.01
Next quarter	0.325	0.149 – 0.492	0.00
Next year	0.308	0.144 – 0.469	0.00
Next five years	0.260	0.087 – 0.428	0.00
Next quarter	0.324	0.147 – 0.492	0.00
Next year	0.307	0.143 – 0.471	0.00
Next five years	0.259	0.084 – 0.430	0.00