BidAskSpread · Liquidity · Amihud and Mendelson (1986)

Bid-ask spread

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

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

Next quarter

2026Q4

−22.60%

95% interval −35.22% to −8.62%

Next year

2026Q4–2027Q3

−21.76%

95% interval −34.39% to −8.19%

Next five years

2026Q4–2031Q3

−18.49%

95% interval −30.93% to −6.67%

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.

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

−100% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	−8.99%	22.94%	−0.39	−3.89
2020Q1–2024Q4	−24.85%	18.71%	−1.33	−2.97
2024Q1–2024Q4	−30.20%	15.40%	−1.96	−1.96
1926Q3–2024Q4	−2.42%	27.46%	−0.09	−0.88
2020Q1–2024Q4	−17.08%	27.67%	−0.62	−1.38
2024Q1–2024Q4	−24.04%	25.46%	−0.94	−0.94
1926Q3–2024Q4	−9.58%	27.49%	−0.35	−3.46
2020Q1–2024Q4	−46.91%	28.42%	−1.65	−3.69
2024Q1–2024Q4	−52.67%	16.06%	−3.28	−3.28
1926Q3–2024Q4	−0.05%	35.93%	−<0.01	−0.01
2020Q1–2024Q4	−20.00%	36.74%	−0.54	−1.22
2024Q1–2024Q4	−31.60%	32.91%	−0.96	−0.96
1926Q3–2024Q4	−1.47%	31.64%	−0.05	−0.46
2020Q1–2024Q4	−18.71%	32.43%	−0.58	−1.29
2024Q1–2024Q4	−26.47%	30.38%	−0.87	−0.87

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.56	−0.87 – −0.25	1.00
2026Q4–2027Q3	−0.50	−0.77 – −0.22	1.00
2026Q4–2031Q3	−0.35	−0.57 – −0.13	1.00
2026Q4	−0.37	−0.67 – −0.04	0.99
2026Q4–2027Q3	−0.33	−0.60 – −0.02	0.98
2026Q4–2031Q3	−0.21	−0.42 – 0.02	0.96
2026Q4	−0.83	−1.31 – −0.31	1.00
2026Q4–2027Q3	−0.74	−1.14 – −0.29	1.00
2026Q4–2031Q3	−0.49	−0.75 – −0.20	1.00
2026Q4	−0.31	−0.63 – 0.04	0.96
2026Q4–2027Q3	−0.27	−0.56 – 0.05	0.95
2026Q4–2031Q3	−0.16	−0.38 – 0.08	0.90
2026Q4	−0.34	−0.65 – <0.01	0.97
2026Q4–2027Q3	−0.30	−0.58 – 0.01	0.97
2026Q4–2031Q3	−0.19	−0.40 – 0.05	0.94