CashProd · Profitability alt · Chandrashekar and Rao (2009)
Cash Productivity
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.26%
95% interval −1.17% to 5.48%
Next year
2026Q4–2027Q3
2.27%
95% interval −1.17% to 5.50%
Next five years
2026Q4–2031Q3
2.32%
95% interval −1.14% to 5.57%
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
+276% since 1951Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q1–2024Q4 | 1.46% | 12.25% | 0.12 | 1.03 |
| 2020Q1–2024Q4 | −4.14% | 19.95% | −0.21 | −0.46 |
| 2024Q1–2024Q4 | −7.81% | 11.26% | −0.69 | −0.69 |
| 1951Q1–2024Q4 | 5.81% | 13.06% | 0.44 | 3.83 |
| 2020Q1–2024Q4 | 11.94% | 18.66% | 0.64 | 1.43 |
| 2024Q1–2024Q4 | 2.60% | 8.03% | 0.32 | 0.32 |
| 1951Q1–2024Q4 | 2.76% | 14.01% | 0.20 | 1.70 |
| 2020Q1–2024Q4 | −2.14% | 19.71% | −0.11 | −0.24 |
| 2024Q1–2024Q4 | −8.65% | 14.27% | −0.61 | −0.61 |
| 1951Q1–2024Q4 | 6.74% | 14.37% | 0.47 | 4.04 |
| 2020Q1–2024Q4 | 14.43% | 19.93% | 0.72 | 1.62 |
| 2024Q1–2024Q4 | 1.78% | 13.06% | 0.14 | 0.14 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.08 | −0.19 – 0.32 | 0.27 |
| 2026Q4–2027Q3 | 0.08 | −0.18 – 0.31 | 0.26 |
| 2026Q4–2031Q3 | 0.08 | −0.15 – 0.31 | 0.25 |
| 2026Q4 | 0.41 | 0.18 – 0.64 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.16 – 0.62 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.13 – 0.59 | <0.01 |
| 2026Q4 | 0.16 | −0.08 – 0.39 | 0.09 |
| 2026Q4–2027Q3 | 0.16 | −0.08 – 0.39 | 0.09 |
| 2026Q4–2031Q3 | 0.16 | −0.07 – 0.39 | 0.09 |
| 2026Q4 | 0.44 | 0.20 – 0.68 | <0.01 |
| 2026Q4–2027Q3 | 0.42 | 0.18 – 0.64 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.13 – 0.60 | <0.01 |