CPVolSpread · Optionrisk · Bali and Hovakimian (2009)
Call minus Put Vol
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1996Q2 to 2022Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
12.65%
95% interval 8.51% to 16.83%
Next year
2026Q4–2027Q3
12.51%
95% interval 8.24% to 16.83%
Next five years
2026Q4–2031Q3
11.92%
95% interval 7.06% to 16.63%
Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2022Q4. The 15 quarters between then and 2026Q4 are unobserved and are integrated out under the model.
Cumulative market-adjusted return
+7,070% since 1996Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1996Q2–2022Q4 | 8.71% | 7.79% | 1.12 | 5.78 |
| 2018Q1–2022Q4 | 6.02% | 8.06% | 0.75 | 1.67 |
| 2022Q1–2022Q4 | 9.18% | 11.84% | 0.78 | 0.78 |
| 1996Q2–2022Q4 | 8.71% | 7.79% | 1.12 | 5.78 |
| 2018Q1–2022Q4 | 6.02% | 8.06% | 0.75 | 1.67 |
| 2022Q1–2022Q4 | 9.18% | 11.84% | 0.78 | 0.78 |
| 1996Q2–2022Q4 | 16.95% | 11.88% | 1.43 | 7.38 |
| 2018Q1–2022Q4 | 14.21% | 12.96% | 1.10 | 2.45 |
| 2022Q1–2022Q4 | 30.33% | 17.29% | 1.75 | 1.75 |
| 1996Q2–2022Q4 | 16.95% | 11.88% | 1.43 | 7.38 |
| 2018Q1–2022Q4 | 14.21% | 12.96% | 1.10 | 2.45 |
| 2022Q1–2022Q4 | 30.33% | 17.29% | 1.75 | 1.75 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.76 | 0.38 – 1.16 | <0.01 |
| 2026Q4–2027Q3 | 0.72 | 0.33 – 1.15 | <0.01 |
| 2026Q4–2031Q3 | 0.61 | 0.19 – 1.15 | <0.01 |
| 2026Q4 | 0.76 | 0.38 – 1.16 | <0.01 |
| 2026Q4–2027Q3 | 0.72 | 0.33 – 1.15 | <0.01 |
| 2026Q4–2031Q3 | 0.61 | 0.20 – 1.14 | <0.01 |
| 2026Q4 | 1.07 | 0.72 – 1.42 | <0.01 |
| 2026Q4–2027Q3 | 0.99 | 0.63 – 1.38 | <0.01 |
| 2026Q4–2031Q3 | 0.77 | 0.38 – 1.35 | <0.01 |
| 2026Q4 | 1.07 | 0.72 – 1.43 | 0.00 |
| 2026Q4–2027Q3 | 0.99 | 0.64 – 1.37 | 0.00 |
| 2026Q4–2031Q3 | 0.79 | 0.39 – 1.36 | 0.00 |