BMdec · Valuation · Fama and French (1992)

Book to market using December ME

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

0.93%

95% interval −3.97% to 6.02%

Next year

2026Q4–2027Q3

1.03%

95% interval −3.94% to 6.09%

Next five years

2026Q4–2031Q3

1.44%

95% interval −3.83% to 6.36%

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

+589% since 1952Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	4.03%	13.79%	0.29	2.49
2020Q1–2024Q4	−4.59%	20.57%	−0.22	−0.50
2024Q1–2024Q4	−10.40%	13.12%	−0.79	−0.79
1952Q3–2024Q4	10.52%	12.74%	0.83	7.03
2020Q1–2024Q4	14.77%	16.53%	0.89	2.00
2024Q1–2024Q4	9.95%	9.69%	1.03	1.03
1952Q3–2024Q4	3.93%	16.05%	0.25	2.09
2020Q1–2024Q4	−2.61%	25.28%	−0.10	−0.23
2024Q1–2024Q4	−10.55%	17.26%	−0.61	−0.61
1952Q3–2024Q4	11.93%	14.48%	0.82	7.02
2020Q1–2024Q4	14.19%	17.28%	0.82	1.84
2024Q1–2024Q4	14.30%	14.99%	0.95	0.95

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.06	−0.30 – 0.42	0.39
2026Q4–2027Q3	0.07	−0.27 – 0.41	0.37
2026Q4–2031Q3	0.10	−0.19 – 0.41	0.29
2026Q4	0.71	0.47 – 0.96	<0.01
2026Q4–2027Q3	0.68	0.43 – 0.94	<0.01
2026Q4–2031Q3	0.61	0.31 – 0.93	<0.01
2026Q4	0.06	−0.25 – 0.38	0.38
2026Q4–2027Q3	0.06	−0.23 – 0.37	0.36
2026Q4–2031Q3	0.08	−0.17 – 0.37	0.30
2026Q4	0.69	0.45 – 0.93	<0.01
2026Q4–2027Q3	0.66	0.42 – 0.91	<0.01
2026Q4–2031Q3	0.57	0.29 – 0.89	<0.01