Accruals · Accruals · Sloan (1996)
Accruals
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.43%
95% interval −0.07% to 7.87%
Next year
2026Q4–2027Q3
4.46%
95% interval −<0.01% to 7.87%
Next five years
2026Q4–2031Q3
4.60%
95% interval 0.29% to 7.90%
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
+3,932% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | 4.74% | 9.56% | 0.50 | 4.23 |
| 2020Q1–2024Q4 | 3.82% | 10.70% | 0.36 | 0.80 |
| 2024Q1–2024Q4 | −0.66% | 5.63% | −0.12 | −0.12 |
| 1952Q3–2024Q4 | 3.79% | 5.89% | 0.64 | 5.48 |
| 2020Q1–2024Q4 | 2.86% | 4.79% | 0.60 | 1.33 |
| 2024Q1–2024Q4 | −2.25% | 3.65% | −0.62 | −0.62 |
| 1952Q3–2024Q4 | 5.89% | 12.42% | 0.47 | 4.04 |
| 2020Q1–2024Q4 | −1.26% | 15.54% | −0.08 | −0.18 |
| 2024Q1–2024Q4 | −11.69% | 3.45% | −3.39 | −3.39 |
| 1952Q3–2024Q4 | 5.20% | 7.26% | 0.72 | 6.10 |
| 2020Q1–2024Q4 | 0.95% | 6.59% | 0.14 | 0.32 |
| 2024Q1–2024Q4 | −5.41% | 5.04% | −1.07 | −1.07 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.45 | 0.21 – 0.67 | <0.01 |
| 2026Q4–2027Q3 | 0.44 | 0.21 – 0.67 | <0.01 |
| 2026Q4–2031Q3 | 0.44 | 0.19 – 0.68 | <0.01 |
| 2026Q4 | 0.31 | −0.04 – 0.68 | 0.04 |
| 2026Q4–2027Q3 | 0.30 | −0.03 – 0.67 | 0.04 |
| 2026Q4–2031Q3 | 0.28 | −0.02 – 0.65 | 0.03 |
| 2026Q4 | 0.36 | −0.01 – 0.64 | 0.03 |
| 2026Q4–2027Q3 | 0.36 | −<0.01 – 0.64 | 0.03 |
| 2026Q4–2031Q3 | 0.36 | 0.02 – 0.65 | 0.02 |
| 2026Q4 | 0.13 | −0.24 – 0.61 | 0.31 |
| 2026Q4–2027Q3 | 0.13 | −0.20 – 0.58 | 0.28 |
| 2026Q4–2031Q3 | 0.16 | −0.12 – 0.56 | 0.18 |