CBOperProf · Profitability · Ball et al. (2016)
Cash-based operating profitability
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1962Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
8.55%
95% interval 5.34% to 11.61%
Next year
2026Q4–2027Q3
8.53%
95% interval 5.28% to 11.62%
Next five years
2026Q4–2031Q3
8.45%
95% interval 4.97% to 11.66%
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
+22,082% since 1962Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1962Q3–2024Q4 | 6.66% | 9.49% | 0.70 | 5.55 |
| 2020Q1–2024Q4 | 8.44% | 14.49% | 0.58 | 1.30 |
| 2024Q1–2024Q4 | 8.62% | 15.35% | 0.56 | 0.56 |
| 1962Q3–2024Q4 | 6.66% | 9.49% | 0.70 | 5.55 |
| 2020Q1–2024Q4 | 8.44% | 14.49% | 0.58 | 1.30 |
| 2024Q1–2024Q4 | 8.62% | 15.35% | 0.56 | 0.56 |
| 1962Q3–2024Q4 | 9.56% | 12.94% | 0.74 | 5.84 |
| 2020Q1–2024Q4 | 9.37% | 20.22% | 0.46 | 1.04 |
| 2024Q1–2024Q4 | 13.60% | 21.73% | 0.63 | 0.63 |
| 1962Q3–2024Q4 | 9.56% | 12.94% | 0.74 | 5.84 |
| 2020Q1–2024Q4 | 9.37% | 20.22% | 0.46 | 1.04 |
| 2024Q1–2024Q4 | 13.60% | 21.73% | 0.63 | 0.63 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.65 | 0.40 – 0.89 | <0.01 |
| 2026Q4–2027Q3 | 0.64 | 0.39 – 0.87 | <0.01 |
| 2026Q4–2031Q3 | 0.60 | 0.32 – 0.86 | <0.01 |
| 2026Q4 | 0.65 | 0.41 – 0.89 | <0.01 |
| 2026Q4–2027Q3 | 0.64 | 0.39 – 0.88 | <0.01 |
| 2026Q4–2031Q3 | 0.59 | 0.32 – 0.86 | <0.01 |
| 2026Q4 | 0.66 | 0.41 – 0.89 | <0.01 |
| 2026Q4–2027Q3 | 0.65 | 0.39 – 0.89 | <0.01 |
| 2026Q4–2031Q3 | 0.60 | 0.30 – 0.88 | <0.01 |
| 2026Q4 | 0.66 | 0.41 – 0.90 | <0.01 |
| 2026Q4–2027Q3 | 0.65 | 0.40 – 0.89 | <0.01 |
| 2026Q4–2031Q3 | 0.61 | 0.30 – 0.88 | <0.01 |