Beta · Risk · Fama and MacBeth (1973)
CAPM beta
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1928Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
−5.81%
95% interval −11.20% to 0.70%
Next year
2026Q4–2027Q3
−5.92%
95% interval −11.26% to 0.54%
Next five years
2026Q4–2031Q3
−6.23%
95% interval −11.45% to 0.11%
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
−100% since 1928Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1928Q2–2024Q4 | −6.06% | 19.55% | −0.31 | −3.05 |
| 2020Q1–2024Q4 | −5.46% | 23.98% | −0.23 | −0.51 |
| 2024Q1–2024Q4 | −9.23% | 33.04% | −0.28 | −0.28 |
| 1928Q2–2024Q4 | −4.30% | 20.14% | −0.21 | −2.10 |
| 2020Q1–2024Q4 | −0.05% | 22.71% | −<0.01 | −0.01 |
| 2024Q1–2024Q4 | −13.05% | 16.36% | −0.80 | −0.80 |
| 1928Q2–2024Q4 | −7.75% | 23.41% | −0.33 | −3.26 |
| 2020Q1–2024Q4 | 5.84% | 29.77% | 0.20 | 0.44 |
| 2024Q1–2024Q4 | 12.53% | 50.11% | 0.25 | 0.25 |
| 1928Q2–2024Q4 | −4.76% | 24.20% | −0.20 | −1.93 |
| 2020Q1–2024Q4 | 3.78% | 31.16% | 0.12 | 0.27 |
| 2024Q1–2024Q4 | −6.22% | 23.47% | −0.27 | −0.27 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | −0.27 | −0.48 – −0.05 | 0.99 |
| 2026Q4–2027Q3 | −0.26 | −0.47 – −0.05 | 0.99 |
| 2026Q4–2031Q3 | −0.23 | −0.44 – −0.03 | 0.99 |
| 2026Q4 | −0.22 | −0.43 – −0.01 | 0.98 |
| 2026Q4–2027Q3 | −0.21 | −0.41 – −<0.01 | 0.98 |
| 2026Q4–2031Q3 | −0.17 | −0.37 – 0.02 | 0.96 |
| 2026Q4 | −0.25 | −0.48 – 0.03 | 0.96 |
| 2026Q4–2027Q3 | −0.25 | −0.48 – 0.02 | 0.97 |
| 2026Q4–2031Q3 | −0.25 | −0.48 – <0.01 | 0.97 |
| 2026Q4 | −0.18 | −0.38 – 0.02 | 0.96 |
| 2026Q4–2027Q3 | −0.18 | −0.37 – 0.02 | 0.96 |
| 2026Q4–2031Q3 | −0.16 | −0.36 – 0.03 | 0.95 |