roaq · Profitability · Balakrishnan, Bartov and Faurel (2010)

Return on assets (qtrly)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1966Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

2.37%

95% interval 0.82% to 3.84%

Next year

2.19%

95% interval 0.81% to 3.56%

Next five years

1.67%

95% interval 0.47% to 2.91%

Next quarter

3.50%

95% interval 2.50% to 4.43%

Next year

3.38%

95% interval 2.33% to 4.40%

Next five years

3.03%

95% interval 1.58% to 4.32%

Next quarter

2.86%

95% interval 1.01% to 4.76%

Next year

2.70%

95% interval 1.02% to 4.46%

Next five years

2.23%

95% interval 0.73% to 3.80%

Next quarter

5.50%

95% interval 3.69% to 6.98%

Next year

5.11%

95% interval 3.55% to 6.55%

Next five years

3.97%

95% interval 2.30% to 5.58%

Cumulative market-adjusted return

+2,451% since 1966Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1966Q3–2024Q4	6.84%	16.23%	0.42	3.22
2020Q1–2024Q4	18.37%	20.86%	0.88	1.97
2024Q1–2024Q4	27.70%	16.55%	1.67	1.67
1966Q3–2024Q4	14.69%	17.08%	0.86	6.58
2020Q1–2024Q4	16.48%	24.31%	0.68	1.52
2024Q1–2024Q4	13.40%	18.22%	0.74	0.74
1966Q3–2024Q4	9.42%	21.64%	0.44	3.33
2020Q1–2024Q4	30.42%	29.07%	1.05	2.34
2024Q1–2024Q4	36.69%	25.97%	1.41	1.41
1966Q3–2024Q4	18.09%	20.15%	0.90	6.87
2020Q1–2024Q4	29.77%	27.25%	1.09	2.44
2024Q1–2024Q4	35.36%	24.19%	1.46	1.46

Horizon	Mean	95% interval
Next quarter	0.293	0.100 – 0.482
Next year	0.271	0.100 – 0.443
Next five years	0.206	0.058 – 0.357
Next quarter	0.412	0.292 – 0.522
Next year	0.397	0.273 – 0.516
Next five years	0.355	0.184 – 0.506
Next quarter	0.265	0.094 – 0.446
Next year	0.250	0.094 – 0.415
Next five years	0.206	0.067 – 0.352
Next quarter	0.552	0.366 – 0.708
Next year	0.510	0.352 – 0.658
Next five years	0.394	0.228 – 0.554