AbnormalAccruals · Accruals · Xie (2001)
Abnormal Accruals
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.30%
95% interval −2.53% to 6.47%
Next year
2026Q4–2027Q3
2.35%
95% interval −2.48% to 6.49%
Next five years
2026Q4–2031Q3
2.53%
95% interval −2.28% to 6.61%
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
+351% since 1972Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q3–2024Q4 | 3.43% | 9.07% | 0.38 | 2.74 |
| 2020Q1–2024Q4 | 3.87% | 14.89% | 0.26 | 0.58 |
| 2024Q1–2024Q4 | −1.03% | 2.50% | −0.41 | −0.41 |
| 1972Q3–2024Q4 | 1.63% | 5.39% | 0.30 | 2.20 |
| 2020Q1–2024Q4 | 1.90% | 7.29% | 0.26 | 0.58 |
| 2024Q1–2024Q4 | −4.01% | 10.66% | −0.38 | −0.38 |
| 1972Q3–2024Q4 | 3.82% | 13.60% | 0.28 | 2.04 |
| 2020Q1–2024Q4 | −5.85% | 20.30% | −0.29 | −0.64 |
| 2024Q1–2024Q4 | −10.57% | 9.79% | −1.08 | −1.08 |
| 1972Q3–2024Q4 | 0.87% | 8.56% | 0.10 | 0.73 |
| 2020Q1–2024Q4 | 0.57% | 12.33% | 0.05 | 0.10 |
| 2024Q1–2024Q4 | −13.46% | 16.66% | −0.81 | −0.81 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.32 | 0.05 – 0.58 | 0.01 |
| 2026Q4–2027Q3 | 0.32 | 0.05 – 0.58 | 0.01 |
| 2026Q4–2031Q3 | 0.31 | 0.03 – 0.58 | 0.01 |
| 2026Q4 | 0.12 | −0.15 – 0.42 | 0.21 |
| 2026Q4–2027Q3 | 0.11 | −0.14 – 0.41 | 0.21 |
| 2026Q4–2031Q3 | 0.11 | −0.12 – 0.40 | 0.20 |
| 2026Q4 | 0.17 | −0.19 – 0.47 | 0.16 |
| 2026Q4–2027Q3 | 0.17 | −0.17 – 0.47 | 0.15 |
| 2026Q4–2031Q3 | 0.18 | −0.12 – 0.47 | 0.13 |
| 2026Q4 | −0.10 | −0.40 – 0.24 | 0.72 |
| 2026Q4–2027Q3 | −0.08 | −0.36 – 0.24 | 0.70 |
| 2026Q4–2031Q3 | −0.03 | −0.28 – 0.25 | 0.62 |