HerfAsset · Other · Hou and Robinson (2006)

Industry concentration (assets)

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q1 to 2024Q4.

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

Next quarter

2026Q4

0.35%

95% interval −3.18% to 4.25%

Next year

2026Q4–2027Q3

0.30%

95% interval −3.22% to 4.18%

Next five years

2026Q4–2031Q3

0.14%

95% interval −3.36% to 3.96%

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

−62% since 1952Q1 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1952Q1–2024Q4	0.28%	11.49%	0.02	0.21
2020Q1–2024Q4	4.08%	23.58%	0.17	0.39
2024Q1–2024Q4	13.95%	30.05%	0.46	0.46
1952Q1–2024Q4	−0.53%	8.33%	−0.06	−0.54
2020Q1–2024Q4	−8.64%	13.57%	−0.64	−1.42
2024Q1–2024Q4	−8.35%	13.30%	−0.63	−0.63
1952Q1–2024Q4	−0.32%	14.32%	−0.02	−0.19
2020Q1–2024Q4	10.73%	25.73%	0.42	0.93
2024Q1–2024Q4	13.86%	32.94%	0.42	0.42
1952Q1–2024Q4	0.12%	9.71%	0.01	0.10
2020Q1–2024Q4	−4.70%	18.01%	−0.26	−0.58
2024Q1–2024Q4	−9.51%	24.11%	−0.39	−0.39

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.04	−0.19 – 0.29	0.37
2026Q4–2027Q3	0.04	−0.19 – 0.27	0.38
2026Q4–2031Q3	0.03	−0.19 – 0.25	0.40
2026Q4	−0.32	−0.80 – 0.09	0.92
2026Q4–2027Q3	−0.26	−0.68 – 0.09	0.89
2026Q4–2031Q3	−0.13	−0.42 – 0.11	0.82
2026Q4	0.02	−0.22 – 0.30	0.44
2026Q4–2027Q3	0.02	−0.22 – 0.28	0.45
2026Q4–2031Q3	0.01	−0.22 – 0.23	0.48
2026Q4	−0.23	−0.56 – 0.14	0.89
2026Q4–2027Q3	−0.19	−0.49 – 0.14	0.87
2026Q4–2031Q3	−0.10	−0.33 – 0.15	0.79