AnalystValue · Valuation · Frankel and Lee (1998)

Analyst Value

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

5.61%

95% interval 0.12% to 11.02%

Next year

2026Q4–2027Q3

5.56%

95% interval −0.02% to 11.04%

Next five years

2026Q4–2031Q3

5.39%

95% interval −0.47% to 11.12%

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

+759% since 1976Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1976Q3–2024Q4	6.07%	17.25%	0.35	2.45
2020Q1–2024Q4	6.24%	24.07%	0.26	0.58
2024Q1–2024Q4	−2.87%	7.46%	−0.39	−0.39
1976Q3–2024Q4	6.29%	17.10%	0.37	2.56
2020Q1–2024Q4	11.96%	23.83%	0.50	1.12
2024Q1–2024Q4	−0.88%	15.93%	−0.06	−0.06
1976Q3–2024Q4	6.24%	19.23%	0.32	2.26
2020Q1–2024Q4	7.02%	25.97%	0.27	0.60
2024Q1–2024Q4	14.61%	19.00%	0.77	0.77
1976Q3–2024Q4	5.34%	18.65%	0.29	1.99
2020Q1–2024Q4	11.58%	26.10%	0.44	0.99
2024Q1–2024Q4	−6.40%	19.38%	−0.33	−0.33

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.29	<0.01 – 0.57	0.02
2026Q4–2027Q3	0.28	<0.01 – 0.55	0.02
2026Q4–2031Q3	0.26	−0.01 – 0.53	0.03
2026Q4	0.34	0.06 – 0.62	0.01
2026Q4–2027Q3	0.33	0.05 – 0.60	0.01
2026Q4–2031Q3	0.31	0.04 – 0.57	0.01
2026Q4	0.29	0.01 – 0.57	0.02
2026Q4–2027Q3	0.28	−<0.01 – 0.54	0.03
2026Q4–2031Q3	0.24	−0.02 – 0.51	0.03
2026Q4	0.27	−0.01 – 0.54	0.03
2026Q4–2027Q3	0.26	−0.01 – 0.53	0.03
2026Q4–2031Q3	0.24	−0.02 – 0.50	0.03