retConglomerate · Lead lag · Cohen and Lou (2012)

Conglomerate return

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.94%

95% interval −0.29% to 2.05%

Next year

0.98%

95% interval −0.21% to 2.05%

Next five years

1.10%

95% interval −0.04% to 2.11%

Next quarter

1.69%

95% interval 0.57% to 2.94%

Next year

1.77%

95% interval 0.62% to 2.94%

Next five years

1.99%

95% interval 0.75% to 3.01%

Next quarter

0.99%

95% interval −0.12% to 2.09%

Next year

1.01%

95% interval −0.10% to 2.09%

Next five years

1.05%

95% interval −0.07% to 2.12%

Next quarter

1.88%

95% interval 0.40% to 3.58%

Next year

2.01%

95% interval 0.51% to 3.58%

Next five years

2.37%

95% interval 0.80% to 3.71%

Cumulative market-adjusted return

+800% since 1976Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1976Q2–2024Q4	5.52%	14.00%	0.39	2.75
2020Q1–2024Q4	1.64%	12.10%	0.14	0.30
2024Q1–2024Q4	−4.96%	7.16%	−0.69	−0.69
1976Q2–2024Q4	10.88%	11.64%	0.94	6.53
2020Q1–2024Q4	4.87%	9.30%	0.52	1.17
2024Q1–2024Q4	−4.19%	2.22%	−1.89	−1.89
1976Q2–2024Q4	4.96%	15.59%	0.32	2.22
2020Q1–2024Q4	1.92%	13.94%	0.14	0.31
2024Q1–2024Q4	3.29%	12.93%	0.25	0.25
1976Q2–2024Q4	13.47%	14.44%	0.93	6.51
2020Q1–2024Q4	2.91%	13.51%	0.22	0.48
2024Q1–2024Q4	−6.80%	7.42%	−0.92	−0.92

Horizon	Mean	95% interval	P(neg)
Next quarter	0.134	−0.042 – 0.292	0.07
Next year	0.140	−0.030 – 0.292	0.05
Next five years	0.156	−0.005 – 0.302	0.03
Next quarter	0.292	0.099 – 0.506	0.00
Next year	0.304	0.108 – 0.506	0.00
Next five years	0.341	0.129 – 0.519	0.00
Next quarter	0.128	−0.016 – 0.268	0.04
Next year	0.130	−0.013 – 0.268	0.04
Next five years	0.135	−0.010 – 0.272	0.03
Next quarter	0.262	0.056 – 0.497	0.00
Next year	0.279	0.070 – 0.496	0.00
Next five years	0.328	0.110 – 0.512	0.00