AdExp · R&D · Chan, Lakonishok and Sougiannis (2001)

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Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1964Q3 to 2024Q4.

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

Next quarter

2026Q4

2.93%

95% interval −5.11% to 10.65%

Next year

2026Q4–2027Q3

3.02%

95% interval −5.09% to 10.74%

Next five years

2026Q4–2031Q3

3.33%

95% interval −5.08% to 11.10%

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

+171% since 1964Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1964Q3–2024Q4	4.65%	18.41%	0.25	1.96
2020Q1–2024Q4	−1.95%	16.55%	−0.12	−0.26
2024Q1–2024Q4	2.30%	11.23%	0.20	0.20
1964Q3–2024Q4	4.91%	19.02%	0.26	2.01
2020Q1–2024Q4	4.47%	21.24%	0.21	0.47
2024Q1–2024Q4	−11.54%	13.42%	−0.86	−0.86
1964Q3–2024Q4	5.16%	28.03%	0.18	1.43
2020Q1–2024Q4	−3.93%	24.54%	−0.16	−0.36
2024Q1–2024Q4	−14.14%	11.39%	−1.24	−1.24
1964Q3–2024Q4	7.21%	24.94%	0.29	2.25
2020Q1–2024Q4	1.21%	31.62%	0.04	0.09
2024Q1–2024Q4	−24.35%	24.13%	−1.01	−1.01

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.16	−0.11 – 0.44	0.12
2026Q4–2027Q3	0.16	−0.11 – 0.43	0.12
2026Q4–2031Q3	0.16	−0.10 – 0.42	0.12
2026Q4	0.19	−0.10 – 0.46	0.09
2026Q4–2027Q3	0.19	−0.09 – 0.46	0.09
2026Q4–2031Q3	0.19	−0.08 – 0.45	0.08
2026Q4	0.10	−0.18 – 0.38	0.24
2026Q4–2027Q3	0.11	−0.17 – 0.38	0.23
2026Q4–2031Q3	0.11	−0.14 – 0.37	0.21
2026Q4	0.16	−0.21 – 0.47	0.18
2026Q4–2027Q3	0.16	−0.19 – 0.47	0.17
2026Q4–2031Q3	0.18	−0.13 – 0.47	0.14