Herf · Other · Hou and Robinson (2006)

Industry concentration (sales)

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q2 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

−1.62%

95% interval −4.74% to 1.65%

Next year

2026Q4–2027Q3

−1.64%

95% interval −4.77% to 1.61%

Next five years

2026Q4–2031Q3

−1.66%

95% interval −4.87% to 1.63%

Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q4. The 7 quarters between then and 2026Q4 are unobserved and are integrated out under the model.

Cumulative market-adjusted return

−87% since 1951Q2 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1951Q2–2024Q4	−0.14%	12.03%	−0.01	−0.10
2020Q1–2024Q4	3.05%	25.90%	0.12	0.26
2024Q1–2024Q4	17.59%	36.29%	0.48	0.48
1951Q2–2024Q4	−0.29%	7.97%	−0.04	−0.31
2020Q1–2024Q4	−10.88%	14.55%	−0.75	−1.67
2024Q1–2024Q4	−9.70%	13.98%	−0.69	−0.69
1951Q2–2024Q4	−1.80%	13.91%	−0.13	−1.11
2020Q1–2024Q4	−1.65%	28.86%	−0.06	−0.13
2024Q1–2024Q4	12.78%	41.77%	0.31	0.31
1951Q2–2024Q4	−0.75%	9.18%	−0.08	−0.70
2020Q1–2024Q4	−12.27%	17.62%	−0.70	−1.56
2024Q1–2024Q4	−16.25%	16.11%	−1.01	−1.01

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.02	−0.22 – 0.29	0.46
2026Q4–2027Q3	0.01	−0.22 – 0.26	0.47
2026Q4–2031Q3	<0.01	−0.22 – 0.22	0.50
2026Q4	−0.58	−1.07 – −0.01	0.98
2026Q4–2027Q3	−0.48	−0.92 – 0.02	0.97
2026Q4–2031Q3	−0.25	−0.57 – 0.08	0.92
2026Q4	−0.12	−0.34 – 0.12	0.85
2026Q4–2027Q3	−0.12	−0.34 – 0.11	0.85
2026Q4–2031Q3	−0.11	−0.33 – 0.11	0.85
2026Q4	−0.69	−1.15 – −0.11	0.99
2026Q4–2027Q3	−0.57	−0.98 – −0.06	0.99
2026Q4–2031Q3	−0.30	−0.60 – 0.02	0.96