std_turn · Liquidity · Chordia, Subra, Anshuman (2001)
Share turnover volatility
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1928Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
10.33%
95% interval 5.89% to 14.37%
Next year
2026Q4–2027Q3
10.35%
95% interval 5.88% to 14.38%
Next five years
2026Q4–2031Q3
10.40%
95% interval 5.79% to 14.41%
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
+1,178,129% 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, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.47 | 0.25 – 0.69 | <0.01 |
| 2026Q4–2027Q3 | 0.46 | 0.23 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.43 | 0.17 – 0.68 | <0.01 |
| 2026Q4 | 0.52 | 0.29 – 0.73 | <0.01 |
| 2026Q4–2027Q3 | 0.51 | 0.28 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.48 | 0.22 – 0.72 | <0.01 |
| 2026Q4 | 0.54 | 0.31 – 0.75 | <0.01 |
| 2026Q4–2027Q3 | 0.53 | 0.29 – 0.75 | <0.01 |
| 2026Q4–2031Q3 | 0.52 | 0.24 – 0.75 | <0.01 |
| 2026Q4 | 0.65 | 0.45 – 0.85 | <0.01 |
| 2026Q4–2027Q3 | 0.64 | 0.43 – 0.84 | <0.01 |
| 2026Q4–2031Q3 | 0.60 | 0.37 – 0.82 | <0.01 |