ChTax · Other · Thomas and Zhang (2011)
Change in Taxes
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1962Q4 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.99%
95% interval 0.78% to 7.26%
Next year
2026Q4–2027Q3
4.00%
95% interval 0.75% to 7.29%
Next five years
2026Q4–2031Q3
4.03%
95% interval 0.59% to 7.42%
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
+1,059% since 1962Q4 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1962Q4–2024Q4 | 3.81% | 10.03% | 0.38 | 3.00 |
| 2020Q1–2024Q4 | 3.59% | 10.80% | 0.33 | 0.74 |
| 2024Q1–2024Q4 | 22.89% | 12.01% | 1.91 | 1.91 |
| 1962Q4–2024Q4 | 9.49% | 7.81% | 1.22 | 9.59 |
| 2020Q1–2024Q4 | 5.40% | 6.22% | 0.87 | 1.94 |
| 2024Q1–2024Q4 | 12.19% | 3.06% | 3.98 | 3.98 |
| 1962Q4–2024Q4 | 4.83% | 13.29% | 0.36 | 2.86 |
| 2020Q1–2024Q4 | 3.20% | 14.42% | 0.22 | 0.50 |
| 2024Q1–2024Q4 | 23.04% | 19.84% | 1.16 | 1.16 |
| 1962Q4–2024Q4 | 11.33% | 10.09% | 1.12 | 8.86 |
| 2020Q1–2024Q4 | 6.67% | 8.34% | 0.80 | 1.79 |
| 2024Q1–2024Q4 | 11.99% | 6.44% | 1.86 | 1.86 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.34 | 0.09 – 0.58 | <0.01 |
| 2026Q4–2027Q3 | 0.33 | 0.09 – 0.57 | <0.01 |
| 2026Q4–2031Q3 | 0.30 | 0.06 – 0.54 | 0.01 |
| 2026Q4 | 0.75 | 0.52 – 1.02 | <0.01 |
| 2026Q4–2027Q3 | 0.69 | 0.47 – 0.96 | <0.01 |
| 2026Q4–2031Q3 | 0.52 | 0.30 – 0.84 | <0.01 |
| 2026Q4 | 0.30 | 0.06 – 0.55 | 0.01 |
| 2026Q4–2027Q3 | 0.30 | 0.06 – 0.55 | 0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.04 – 0.54 | 0.01 |
| 2026Q4 | 0.69 | 0.45 – 0.96 | <0.01 |
| 2026Q4–2027Q3 | 0.64 | 0.41 – 0.91 | <0.01 |
| 2026Q4–2031Q3 | 0.51 | 0.27 – 0.83 | <0.01 |