Market
⚠ weakenedRisk· Price data
The equity risk premium — excess return of the market over the risk-free rate. The oldest and most fundamental factor, first formalized in the CAPM. Investors are compensated for bearing undiversifiable market risk.
IS Sharpe (1926–1963)
0.474
+8.7% p.a.
OOS Sharpe (1964–2026)
0.444
+7.2% p.a.
Sharpe decay
+6.3%
(IS − OOS) / |IS|
IS vol
18.3%
annualized
Cumulative return (last 40 years, monthly)
+2203%1986-012026-04
Publication details
PaperSharpe (1964), Lintner (1965)
JournalJournal of Finance
Publication year1964
More Risk anomalies
Return skewness+0.47Idiosyncratic skewness (3F model)+0.39EPS Forecast Dispersion+0.32Coskewness using daily returns+0.30Coskewness+0.28Systematic volatility+0.22
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