Coskewness · Risk · Harvey and Siddique (2000)

Coskewness

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.

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

Next quarter

2026Q4

3.14%

95% interval 0.34% to 6.71%

Next year

2026Q4–2027Q3

3.12%

95% interval 0.35% to 6.61%

Next five years

2026Q4–2031Q3

3.03%

95% interval 0.36% to 6.22%

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.

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+638% since 1927Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1927Q3–2024Q4	1.78%	11.61%	0.15	1.51
2020Q1–2024Q4	8.25%	13.39%	0.62	1.38
2024Q1–2024Q4	11.37%	17.05%	0.67	0.67
1927Q3–2024Q4	1.78%	11.61%	0.15	1.51
2020Q1–2024Q4	8.25%	13.39%	0.62	1.38
2024Q1–2024Q4	11.37%	17.05%	0.67	0.67
1927Q3–2024Q4	2.87%	12.77%	0.22	2.22
2020Q1–2024Q4	11.46%	14.91%	0.77	1.72
2024Q1–2024Q4	30.94%	20.72%	1.49	1.49
1927Q3–2024Q4	2.87%	12.77%	0.22	2.22
2020Q1–2024Q4	11.46%	14.91%	0.77	1.72
2024Q1–2024Q4	30.94%	20.72%	1.49	1.49
1927Q3–2024Q4	1.56%	10.46%	0.15	1.47
2020Q1–2024Q4	10.28%	10.44%	0.98	2.20
2024Q1–2024Q4	14.87%	8.21%	1.81	1.81

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.19	−0.03 – 0.44	0.05
2026Q4–2027Q3	0.18	−0.03 – 0.42	0.05
2026Q4–2031Q3	0.17	−0.03 – 0.37	0.05
2026Q4	0.19	−0.03 – 0.44	0.05
2026Q4–2027Q3	0.18	−0.03 – 0.42	0.05
2026Q4–2031Q3	0.16	−0.03 – 0.36	0.05
2026Q4	0.25	0.03 – 0.53	0.01
2026Q4–2027Q3	0.24	0.03 – 0.50	0.01
2026Q4–2031Q3	0.23	0.03 – 0.44	0.01
2026Q4	0.25	0.03 – 0.54	0.01
2026Q4–2027Q3	0.25	0.03 – 0.51	0.01
2026Q4–2031Q3	0.23	0.03 – 0.44	0.01
2026Q4	0.20	−0.04 – 0.51	0.05
2026Q4–2027Q3	0.19	−0.04 – 0.48	0.05
2026Q4–2031Q3	0.17	−0.04 – 0.39	0.05