BookLeverage · Leverage · Fama and French (1992)

Book leverage (annual)

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.

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

Next quarter

2026Q4

−2.74%

95% interval −6.48% to 0.82%

Next year

2026Q4–2027Q3

−2.70%

95% interval −6.47% to 0.89%

Next five years

2026Q4–2031Q3

−2.55%

95% interval −6.52% to 1.25%

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

−93% since 1951Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	−1.26%	13.60%	−0.09	−0.79
2020Q1–2024Q4	−7.79%	13.01%	−0.60	−1.34
2024Q1–2024Q4	−11.57%	8.25%	−1.40	−1.40
1951Q3–2024Q4	−0.27%	13.12%	−0.02	−0.18
2020Q1–2024Q4	−9.56%	19.32%	−0.49	−1.11
2024Q1–2024Q4	−8.28%	14.58%	−0.57	−0.57
1951Q3–2024Q4	−2.49%	15.22%	−0.16	−1.40
2020Q1–2024Q4	−4.15%	13.55%	−0.31	−0.68
2024Q1–2024Q4	−10.53%	3.77%	−2.79	−2.79
1951Q3–2024Q4	−2.25%	15.67%	−0.14	−1.23
2020Q1–2024Q4	−10.99%	21.17%	−0.52	−1.16
2024Q1–2024Q4	−15.40%	17.73%	−0.87	−0.87

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.12	−0.39 – 0.12	0.82
2026Q4–2027Q3	−0.11	−0.36 – 0.12	0.82
2026Q4–2031Q3	−0.10	−0.32 – 0.13	0.81
2026Q4	−0.13	−0.53 – 0.17	0.76
2026Q4–2027Q3	−0.12	−0.48 – 0.17	0.75
2026Q4–2031Q3	−0.08	−0.35 – 0.17	0.71
2026Q4	−0.18	−0.43 – 0.05	0.93
2026Q4–2027Q3	−0.17	−0.40 – 0.06	0.93
2026Q4–2031Q3	−0.14	−0.35 – 0.07	0.90
2026Q4	−0.29	−0.68 – 0.04	0.95
2026Q4–2027Q3	−0.26	−0.61 – 0.04	0.95
2026Q4–2031Q3	−0.18	−0.43 – 0.06	0.92