BM · Valuation · Stattman (1980)
Book to market, original (Stattman 1980)
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
5.17%
95% interval 0.95% to 9.50%
Next year
2026Q4–2027Q3
5.12%
95% interval 0.83% to 9.53%
Next five years
2026Q4–2031Q3
4.94%
95% interval 0.33% to 9.63%
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
+1,692% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 4.02% | 13.54% | 0.30 | 2.55 |
| 2020Q1–2024Q4 | 5.52% | 20.73% | 0.27 | 0.59 |
| 2024Q1–2024Q4 | −0.85% | 7.37% | −0.12 | −0.12 |
| 1951Q3–2024Q4 | 7.59% | 12.97% | 0.59 | 5.02 |
| 2020Q1–2024Q4 | 16.21% | 20.32% | 0.80 | 1.78 |
| 2024Q1–2024Q4 | 6.61% | 3.31% | 2.00 | 2.00 |
| 1951Q3–2024Q4 | 5.47% | 17.78% | 0.31 | 2.64 |
| 2020Q1–2024Q4 | 15.66% | 25.56% | 0.61 | 1.37 |
| 2024Q1–2024Q4 | 3.30% | 7.46% | 0.44 | 0.44 |
| 1951Q3–2024Q4 | 8.76% | 16.52% | 0.53 | 4.54 |
| 2020Q1–2024Q4 | 18.69% | 25.90% | 0.72 | 1.61 |
| 2024Q1–2024Q4 | 1.00% | 4.71% | 0.21 | 0.21 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.24 | −<0.01 – 0.47 | 0.03 |
| 2026Q4–2027Q3 | 0.23 | −0.01 – 0.47 | 0.03 |
| 2026Q4–2031Q3 | 0.22 | −0.02 – 0.46 | 0.03 |
| 2026Q4 | 0.51 | 0.28 – 0.75 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.25 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.18 – 0.69 | <0.01 |
| 2026Q4 | 0.29 | 0.05 – 0.54 | 0.01 |
| 2026Q4–2027Q3 | 0.28 | 0.04 – 0.51 | 0.01 |
| 2026Q4–2031Q3 | 0.23 | 0.01 – 0.46 | 0.02 |
| 2026Q4 | 0.44 | 0.20 – 0.68 | <0.01 |
| 2026Q4–2027Q3 | 0.42 | 0.18 – 0.66 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.12 – 0.63 | <0.01 |