ChEQ · Investment · Lockwood and Prombutr (2010)
Growth in book equity
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
4.81%
95% interval 0.64% to 8.83%
Next year
2026Q4–2027Q3
4.83%
95% interval 0.58% to 8.84%
Next five years
2026Q4–2031Q3
4.90%
95% interval 0.33% to 8.92%
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
+3,253% since 1962Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1962Q3–2024Q4 | 4.88% | 10.82% | 0.45 | 3.56 |
| 2020Q1–2024Q4 | 4.40% | 13.31% | 0.33 | 0.74 |
| 2024Q1–2024Q4 | −9.71% | 16.86% | −0.58 | −0.58 |
| 1962Q3–2024Q4 | 6.24% | 12.30% | 0.51 | 4.01 |
| 2020Q1–2024Q4 | 14.14% | 14.10% | 1.00 | 2.24 |
| 2024Q1–2024Q4 | −2.57% | 14.96% | −0.17 | −0.17 |
| 1962Q3–2024Q4 | 6.63% | 14.16% | 0.47 | 3.70 |
| 2020Q1–2024Q4 | 1.87% | 18.56% | 0.10 | 0.23 |
| 2024Q1–2024Q4 | −14.65% | 24.03% | −0.61 | −0.61 |
| 1962Q3–2024Q4 | 7.45% | 14.78% | 0.50 | 3.99 |
| 2020Q1–2024Q4 | 15.49% | 16.37% | 0.95 | 2.12 |
| 2024Q1–2024Q4 | −10.41% | 11.84% | −0.88 | −0.88 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.38 | 0.11 – 0.63 | <0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.11 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.08 – 0.63 | 0.01 |
| 2026Q4 | 0.43 | 0.17 – 0.67 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.15 – 0.65 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.08 – 0.62 | <0.01 |
| 2026Q4 | 0.34 | 0.05 – 0.62 | 0.01 |
| 2026Q4–2027Q3 | 0.34 | 0.04 – 0.62 | 0.01 |
| 2026Q4–2031Q3 | 0.32 | 0.02 – 0.62 | 0.02 |
| 2026Q4 | 0.39 | 0.12 – 0.65 | <0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.11 – 0.64 | <0.01 |
| 2026Q4–2031Q3 | 0.33 | 0.06 – 0.62 | 0.01 |