Cash · Asset composition · Palazzo (2012)

Cash to assets

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1971Q4 to 2024Q4.

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

Next quarter

2026Q4

0.57%

95% interval −4.20% to 5.42%

Next year

2026Q4–2027Q3

0.57%

95% interval −4.24% to 5.44%

Next five years

2026Q4–2031Q3

0.56%

95% interval −4.42% to 5.54%

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

−43% since 1971Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1971Q4–2024Q4	2.36%	14.91%	0.16	1.16
2020Q1–2024Q4	−1.68%	23.77%	−0.07	−0.16
2024Q1–2024Q4	8.71%	17.09%	0.51	0.51
1971Q4–2024Q4	2.81%	16.67%	0.17	1.23
2020Q1–2024Q4	−10.72%	25.06%	−0.43	−0.96
2024Q1–2024Q4	−3.40%	19.98%	−0.17	−0.17
1971Q4–2024Q4	0.67%	18.52%	0.04	0.26
2020Q1–2024Q4	−2.53%	33.18%	−0.08	−0.17
2024Q1–2024Q4	12.92%	21.31%	0.61	0.61
1971Q4–2024Q4	2.99%	19.30%	0.16	1.13
2020Q1–2024Q4	−13.94%	26.55%	−0.53	−1.17
2024Q1–2024Q4	−7.51%	25.29%	−0.30	−0.30

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.13	−0.13 – 0.39	0.16
2026Q4–2027Q3	0.13	−0.13 – 0.39	0.17
2026Q4–2031Q3	0.12	−0.13 – 0.38	0.17
2026Q4	0.02	−0.39 – 0.37	0.44
2026Q4–2027Q3	0.02	−0.35 – 0.35	0.43
2026Q4–2031Q3	0.05	−0.25 – 0.35	0.37
2026Q4	0.03	−0.23 – 0.29	0.41
2026Q4–2027Q3	0.03	−0.22 – 0.29	0.41
2026Q4–2031Q3	0.03	−0.22 – 0.28	0.41
2026Q4	−0.02	−0.43 – 0.35	0.51
2026Q4–2027Q3	−0.01	−0.39 – 0.34	0.49
2026Q4–2031Q3	0.03	−0.27 – 0.33	0.43