BetaTailRisk · Risk · Kelly and Jiang (2014)

Tail risk beta

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1932Q1 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

6.04%

95% interval −2.36% to 15.70%

Next year

2026Q4–2027Q3

5.64%

95% interval −2.43% to 15.17%

Next five years

2026Q4–2031Q3

4.10%

95% interval −2.76% to 13.01%

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

−86% since 1932Q1 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1932Q1–2024Q4	−1.21%	13.31%	−0.09	−0.88
2020Q1–2024Q4	9.89%	14.41%	0.69	1.53
2024Q1–2024Q4	28.24%	23.43%	1.21	1.21
1932Q1–2024Q4	−1.30%	10.99%	−0.12	−1.14
2020Q1–2024Q4	2.86%	8.46%	0.34	0.76
2024Q1–2024Q4	−5.65%	8.34%	−0.68	−0.68
1932Q1–2024Q4	−0.66%	17.13%	−0.04	−0.37
2020Q1–2024Q4	22.17%	21.80%	1.02	2.27
2024Q1–2024Q4	53.31%	36.78%	1.45	1.45
1932Q1–2024Q4	−1.17%	13.57%	−0.09	−0.83
2020Q1–2024Q4	2.76%	11.59%	0.24	0.53
2024Q1–2024Q4	−7.09%	10.25%	−0.69	−0.69

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.16	−0.20 – 0.61	0.25
2026Q4–2027Q3	0.13	−0.20 – 0.52	0.27
2026Q4–2031Q3	0.05	−0.21 – 0.32	0.38
2026Q4	−0.06	−0.31 – 0.18	0.69
2026Q4–2027Q3	−0.06	−0.29 – 0.16	0.69
2026Q4–2031Q3	−0.06	−0.26 – 0.14	0.70
2026Q4	0.36	−0.14 – 0.93	0.12
2026Q4–2027Q3	0.31	−0.14 – 0.80	0.13
2026Q4–2031Q3	0.17	−0.15 – 0.50	0.18
2026Q4	−0.04	−0.27 – 0.21	0.62
2026Q4–2027Q3	−0.04	−0.26 – 0.19	0.63
2026Q4–2031Q3	−0.04	−0.24 – 0.15	0.65