BetaFP · Other · Frazzini and Pedersen (2014)
Frazzini-Pedersen 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
−4.44%
95% interval −11.31% to 5.49%
Next year
2026Q4–2027Q3
−4.64%
95% interval −11.33% to 5.14%
Next five years
2026Q4–2031Q3
−5.32%
95% interval −11.48% to 3.80%
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 | −7.29% | 17.58% | −0.41 | −4.08 |
| 2020Q1–2024Q4 | 3.48% | 20.03% | 0.17 | 0.39 |
| 2024Q1–2024Q4 | 10.13% | 19.22% | 0.53 | 0.53 |
| 1928Q2–2024Q4 | −7.86% | 19.02% | −0.41 | −4.07 |
| 2020Q1–2024Q4 | −12.44% | 14.08% | −0.88 | −1.98 |
| 2024Q1–2024Q4 | −22.35% | 14.89% | −1.50 | −1.50 |
| 1928Q2–2024Q4 | −8.37% | 21.88% | −0.38 | −3.76 |
| 2020Q1–2024Q4 | 11.65% | 26.96% | 0.43 | 0.97 |
| 2024Q1–2024Q4 | 38.73% | 25.60% | 1.51 | 1.51 |
| 1928Q2–2024Q4 | −9.52% | 24.21% | −0.39 | −3.87 |
| 2020Q1–2024Q4 | −12.06% | 19.18% | −0.63 | −1.41 |
| 2024Q1–2024Q4 | −28.28% | 16.21% | −1.74 | −1.74 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | −0.28 | −0.55 – 0.05 | 0.95 |
| 2026Q4–2027Q3 | −0.28 | −0.54 – 0.04 | 0.96 |
| 2026Q4–2031Q3 | −0.28 | −0.54 – 0.02 | 0.97 |
| 2026Q4 | −0.47 | −0.70 – −0.23 | 1.00 |
| 2026Q4–2027Q3 | −0.43 | −0.65 – −0.21 | 1.00 |
| 2026Q4–2031Q3 | −0.34 | −0.54 – −0.13 | 1.00 |
| 2026Q4 | −0.20 | −0.52 – 0.25 | 0.84 |
| 2026Q4–2027Q3 | −0.21 | −0.51 – 0.22 | 0.85 |
| 2026Q4–2031Q3 | −0.23 | −0.51 – 0.12 | 0.90 |
| 2026Q4 | −0.43 | −0.65 – −0.21 | 1.00 |
| 2026Q4–2027Q3 | −0.40 | −0.61 – −0.19 | 1.00 |
| 2026Q4–2031Q3 | −0.33 | −0.53 – −0.13 | 1.00 |