std_turn · Liquidity · Chordia, Subra, Anshuman (2001)
Share turnover volatility
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1928Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.95%
95% interval 1.15% to 2.77%
Next year
1.96%
95% interval 1.10% to 2.80%
Next five years
2.00%
95% interval 0.97% to 2.92%
Cumulative market-adjusted return
+162,583% since 1928Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1928Q1–2024Q4 | 9.03% | 16.23% | 0.56 | 5.48 |
| 2020Q1–2024Q4 | 1.40% | 25.95% | 0.05 | 0.12 |
| 2024Q1–2024Q4 | 4.86% | 21.61% | 0.23 | 0.23 |
| 1928Q1–2024Q4 | 10.39% | 17.70% | 0.59 | 5.78 |
| 2020Q1–2024Q4 | 2.72% | 28.01% | 0.10 | 0.22 |
| 2024Q1–2024Q4 | −0.28% | 24.02% | −0.01 | −0.01 |
| 1928Q1–2024Q4 | 11.65% | 19.25% | 0.61 | 5.96 |
| 2020Q1–2024Q4 | 2.92% | 33.34% | 0.09 | 0.20 |
| 2024Q1–2024Q4 | 1.60% | 39.23% | 0.04 | 0.04 |
| 1928Q1–2024Q4 | 13.68% | 19.93% | 0.69 | 6.76 |
| 2020Q1–2024Q4 | 10.41% | 30.91% | 0.34 | 0.75 |
| 2024Q1–2024Q4 | 27.26% | 26.37% | 1.03 | 1.03 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.241 | 0.142 – 0.342 | 0.00 |
| Next year | 0.242 | 0.136 – 0.345 | 0.00 |
| Next five years | 0.246 | 0.119 – 0.360 | 0.00 |
| Next quarter | 0.256 | 0.154 – 0.359 | 0.00 |
| Next year | 0.258 | 0.151 – 0.362 | 0.00 |
| Next five years | 0.263 | 0.142 – 0.376 | 0.00 |
| Next quarter | 0.268 | 0.152 – 0.373 | 0.00 |
| Next year | 0.270 | 0.154 – 0.373 | 0.00 |
| Next five years | 0.276 | 0.158 – 0.379 | 0.00 |
| Next quarter | 0.332 | 0.233 – 0.432 | 0.00 |
| Next year | 0.329 | 0.230 – 0.431 | 0.00 |
| Next five years | 0.320 | 0.210 – 0.427 | 0.00 |