CF · Valuation · Lakonishok, Shleifer, Vishny (1994)
Cash flow to market
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
6.52%
95% interval 1.42% to 11.02%
Next year
2026Q4–2027Q3
6.54%
95% interval 1.46% to 11.02%
Next five years
2026Q4–2031Q3
6.62%
95% interval 1.56% to 11.09%
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
+7,273% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 6.09% | 14.40% | 0.42 | 3.62 |
| 2020Q1–2024Q4 | −5.18% | 23.20% | −0.22 | −0.50 |
| 2024Q1–2024Q4 | −8.95% | 17.04% | −0.53 | −0.53 |
| 1951Q3–2024Q4 | 7.24% | 12.59% | 0.58 | 4.93 |
| 2020Q1–2024Q4 | 4.14% | 24.41% | 0.17 | 0.38 |
| 2024Q1–2024Q4 | −9.03% | 21.58% | −0.42 | −0.42 |
| 1951Q3–2024Q4 | 7.75% | 19.18% | 0.40 | 3.46 |
| 2020Q1–2024Q4 | 4.46% | 23.70% | 0.19 | 0.42 |
| 2024Q1–2024Q4 | −23.71% | 20.28% | −1.17 | −1.17 |
| 1951Q3–2024Q4 | 6.93% | 16.67% | 0.42 | 3.56 |
| 2020Q1–2024Q4 | 6.77% | 31.10% | 0.22 | 0.49 |
| 2024Q1–2024Q4 | 8.26% | 24.65% | 0.34 | 0.34 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.31 | −0.03 – 0.59 | 0.04 |
| 2026Q4–2027Q3 | 0.32 | −0.02 – 0.59 | 0.03 |
| 2026Q4–2031Q3 | 0.32 | −<0.01 – 0.59 | 0.03 |
| 2026Q4 | 0.52 | 0.29 – 0.74 | <0.01 |
| 2026Q4–2027Q3 | 0.52 | 0.28 – 0.75 | <0.01 |
| 2026Q4–2031Q3 | 0.51 | 0.25 – 0.75 | <0.01 |
| 2026Q4 | 0.34 | 0.07 – 0.57 | 0.01 |
| 2026Q4–2027Q3 | 0.34 | 0.07 – 0.58 | 0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.07 – 0.58 | 0.01 |
| 2026Q4 | 0.39 | 0.17 – 0.62 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.17 – 0.61 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.16 – 0.60 | <0.01 |