AOP · Other · Frankel and Lee (1998)
Analyst Optimism
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.38%
95% interval −1.71% to 6.28%
Next year
2026Q4–2027Q3
2.40%
95% interval −1.71% to 6.29%
Next five years
2026Q4–2031Q3
2.50%
95% interval −1.75% to 6.39%
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
+261% since 1976Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q3–2024Q4 | 3.57% | 11.83% | 0.30 | 2.10 |
| 2020Q1–2024Q4 | 4.61% | 16.68% | 0.28 | 0.62 |
| 2024Q1–2024Q4 | 5.01% | 1.71% | 2.92 | 2.92 |
| 1976Q3–2024Q4 | 4.59% | 8.47% | 0.54 | 3.77 |
| 2020Q1–2024Q4 | 4.28% | 10.54% | 0.41 | 0.91 |
| 2024Q1–2024Q4 | 4.87% | 6.43% | 0.76 | 0.76 |
| 1976Q3–2024Q4 | 3.52% | 13.22% | 0.27 | 1.85 |
| 2020Q1–2024Q4 | −3.11% | 16.73% | −0.19 | −0.42 |
| 2024Q1–2024Q4 | −4.33% | 6.06% | −0.71 | −0.71 |
| 1976Q3–2024Q4 | 4.33% | 9.79% | 0.44 | 3.08 |
| 2020Q1–2024Q4 | 3.80% | 13.20% | 0.29 | 0.64 |
| 2024Q1–2024Q4 | −1.73% | 7.81% | −0.22 | −0.22 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.27 | <0.01 – 0.54 | 0.02 |
| 2026Q4–2027Q3 | 0.27 | <0.01 – 0.53 | 0.02 |
| 2026Q4–2031Q3 | 0.25 | −0.01 – 0.52 | 0.03 |
| 2026Q4 | 0.44 | 0.17 – 0.71 | <0.01 |
| 2026Q4–2027Q3 | 0.42 | 0.15 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.08 – 0.66 | <0.01 |
| 2026Q4 | 0.18 | −0.13 – 0.48 | 0.13 |
| 2026Q4–2027Q3 | 0.18 | −0.12 – 0.47 | 0.12 |
| 2026Q4–2031Q3 | 0.18 | −0.10 – 0.47 | 0.12 |
| 2026Q4 | 0.32 | 0.04 – 0.61 | 0.01 |
| 2026Q4–2027Q3 | 0.32 | 0.03 – 0.61 | 0.01 |
| 2026Q4–2031Q3 | 0.30 | 0.01 – 0.61 | 0.02 |