HerfBE · Other · Hou and Robinson (2006)

Industry concentration (equity)

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

0.68%

95% interval −2.41% to 3.92%

Next year

2026Q4–2027Q3

0.67%

95% interval −2.43% to 3.91%

Next five years

2026Q4–2031Q3

0.62%

95% interval −2.51% to 3.89%

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

−23% since 1952Q1 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1952Q1–2024Q4	0.11%	11.10%	0.01	0.09
2020Q1–2024Q4	4.54%	22.25%	0.20	0.46
2024Q1–2024Q4	15.04%	26.19%	0.57	0.57
1952Q1–2024Q4	0.01%	8.27%	<0.01	0.01
2020Q1–2024Q4	−9.61%	12.57%	−0.76	−1.71
2024Q1–2024Q4	−7.26%	12.80%	−0.57	−0.57
1952Q1–2024Q4	0.55%	13.69%	0.04	0.34
2020Q1–2024Q4	4.22%	24.05%	0.18	0.39
2024Q1–2024Q4	16.90%	28.24%	0.60	0.60
1952Q1–2024Q4	0.67%	9.27%	0.07	0.62
2020Q1–2024Q4	−8.59%	13.45%	−0.64	−1.43
2024Q1–2024Q4	−11.55%	14.50%	−0.80	−0.80

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.03	−0.20 – 0.29	0.40
2026Q4–2027Q3	0.03	−0.20 – 0.27	0.41
2026Q4–2031Q3	0.02	−0.20 – 0.24	0.44
2026Q4	−0.29	−0.78 – 0.15	0.86
2026Q4–2027Q3	−0.23	−0.67 – 0.14	0.84
2026Q4–2031Q3	−0.11	−0.42 – 0.15	0.76
2026Q4	0.05	−0.18 – 0.29	0.34
2026Q4–2027Q3	0.05	−0.18 – 0.28	0.34
2026Q4–2031Q3	0.04	−0.18 – 0.26	0.35
2026Q4	−0.34	−0.70 – 0.08	0.95
2026Q4–2027Q3	−0.27	−0.60 – 0.09	0.93
2026Q4–2031Q3	−0.13	−0.38 – 0.14	0.83