AM · Valuation · Fama and French (1992)

Total assets to market

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.

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

Next quarter

2026Q4

1.16%

95% interval −3.94% to 6.11%

Next year

2026Q4–2027Q3

1.19%

95% interval −3.95% to 6.15%

Next five years

2026Q4–2031Q3

1.31%

95% interval −3.98% to 6.30%

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

+0.1% since 1951Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	2.08%	16.02%	0.13	1.11
2020Q1–2024Q4	−1.76%	26.06%	−0.07	−0.15
2024Q1–2024Q4	1.20%	10.77%	0.11	0.11
1951Q3–2024Q4	8.44%	16.50%	0.51	4.38
2020Q1–2024Q4	15.73%	25.50%	0.62	1.38
2024Q1–2024Q4	4.70%	8.93%	0.53	0.53
1951Q3–2024Q4	2.05%	20.33%	0.10	0.86
2020Q1–2024Q4	−6.13%	28.85%	−0.21	−0.47
2024Q1–2024Q4	−6.83%	11.39%	−0.60	−0.60
1951Q3–2024Q4	10.34%	19.79%	0.52	4.48
2020Q1–2024Q4	21.81%	31.39%	0.69	1.55
2024Q1–2024Q4	9.11%	16.75%	0.54	0.54

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.10	−0.14 – 0.33	0.21
2026Q4–2027Q3	0.10	−0.13 – 0.33	0.21
2026Q4–2031Q3	0.09	−0.13 – 0.32	0.20
2026Q4	0.46	0.22 – 0.70	<0.01
2026Q4–2027Q3	0.44	0.19 – 0.68	<0.01
2026Q4–2031Q3	0.40	0.15 – 0.65	<0.01
2026Q4	0.06	−0.19 – 0.30	0.32
2026Q4–2027Q3	0.06	−0.19 – 0.30	0.32
2026Q4–2031Q3	0.06	−0.17 – 0.29	0.30
2026Q4	0.48	0.23 – 0.73	<0.01
2026Q4–2027Q3	0.45	0.20 – 0.69	<0.01
2026Q4–2031Q3	0.40	0.15 – 0.65	<0.01