sinAlgo · Other · Hong and Kacperczyk (2009)
Sin Stock (selection criteria)
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1926Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
−0.49%
95% interval −2.31% to 1.11%
Next year
−0.29%
95% interval −1.87% to 1.10%
Next five years
0.30%
95% interval −0.80% to 1.21%
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+440% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 2.67% | 14.17% | 0.19 | 1.87 |
| 2020Q1–2024Q4 | −7.95% | 11.75% | −0.68 | −1.51 |
| 2024Q1–2024Q4 | −25.86% | 2.65% | −9.76 | −9.76 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | −0.070 | −0.331 – 0.156 | 0.65 |
| Next year | −0.041 | −0.266 – 0.155 | 0.60 |
| Next five years | 0.043 | −0.113 – 0.171 | 0.26 |