Illiquidity · Liquidity · Amihud (2002)

Amihud's illiquidity

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.

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

Next quarter

2026Q4

−0.03%

95% interval −4.11% to 3.73%

Next year

2026Q4–2027Q3

0.03%

95% interval −4.07% to 3.77%

Next five years

2026Q4–2031Q3

0.31%

95% interval −3.89% to 3.95%

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

+102% since 1927Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1927Q3–2024Q4	1.46%	11.98%	0.12	1.21
2020Q1–2024Q4	−6.28%	7.92%	−0.79	−1.77
2024Q1–2024Q4	−2.94%	6.65%	−0.44	−0.44
1927Q3–2024Q4	2.65%	11.69%	0.23	2.24
2020Q1–2024Q4	−2.07%	6.70%	−0.31	−0.69
2024Q1–2024Q4	−0.72%	5.64%	−0.13	−0.13
1927Q3–2024Q4	1.70%	14.20%	0.12	1.18
2020Q1–2024Q4	−7.00%	9.97%	−0.70	−1.57
2024Q1–2024Q4	0.83%	9.14%	0.09	0.09
1927Q3–2024Q4	3.52%	13.51%	0.26	2.57
2020Q1–2024Q4	−1.42%	7.88%	−0.18	−0.40
2024Q1–2024Q4	−0.40%	4.14%	−0.10	−0.10

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.08	−0.36 – 0.22	0.69
2026Q4–2027Q3	−0.06	−0.33 – 0.22	0.67
2026Q4–2031Q3	−0.02	−0.25 – 0.23	0.58
2026Q4	0.07	−0.19 – 0.33	0.32
2026Q4–2027Q3	0.07	−0.17 – 0.33	0.30
2026Q4–2031Q3	0.08	−0.14 – 0.32	0.26
2026Q4	−<0.01	−0.29 – 0.26	0.49
2026Q4–2027Q3	<0.01	−0.27 – 0.26	0.48
2026Q4–2031Q3	0.03	−0.21 – 0.26	0.42
2026Q4	0.12	−0.14 – 0.38	0.20
2026Q4–2027Q3	0.12	−0.13 – 0.37	0.19
2026Q4–2031Q3	0.12	−0.10 – 0.37	0.16