DelBreadth · Ownership · Chen, Hong and Stein (2002)
Breadth of ownership
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1980Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.16%
95% interval −1.20% to 5.49%
Next year
2026Q4–2027Q3
2.14%
95% interval −1.23% to 5.51%
Next five years
2026Q4–2031Q3
2.07%
95% interval −1.41% to 5.58%
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
+95% since 1980Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1980Q3–2024Q4 | 1.85% | 10.36% | 0.18 | 1.19 |
| 2020Q1–2024Q4 | 6.06% | 15.96% | 0.38 | 0.85 |
| 2024Q1–2024Q4 | 11.97% | 11.49% | 1.04 | 1.04 |
| 1980Q3–2024Q4 | 5.72% | 10.79% | 0.53 | 3.54 |
| 2020Q1–2024Q4 | 5.66% | 10.56% | 0.54 | 1.20 |
| 2024Q1–2024Q4 | 17.19% | 7.35% | 2.34 | 2.34 |
| 1980Q3–2024Q4 | 2.24% | 12.15% | 0.18 | 1.23 |
| 2020Q1–2024Q4 | 8.11% | 17.73% | 0.46 | 1.02 |
| 2024Q1–2024Q4 | 15.26% | 14.64% | 1.04 | 1.04 |
| 1980Q3–2024Q4 | 7.48% | 13.69% | 0.55 | 3.64 |
| 2020Q1–2024Q4 | 11.00% | 15.07% | 0.73 | 1.63 |
| 2024Q1–2024Q4 | 22.33% | 11.91% | 1.87 | 1.87 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.16 | −0.11 – 0.44 | 0.12 |
| 2026Q4–2027Q3 | 0.16 | −0.11 – 0.43 | 0.12 |
| 2026Q4–2031Q3 | 0.15 | −0.11 – 0.42 | 0.13 |
| 2026Q4 | 0.42 | 0.14 – 0.71 | <0.01 |
| 2026Q4–2027Q3 | 0.40 | 0.13 – 0.70 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.08 – 0.68 | 0.01 |
| 2026Q4 | 0.18 | −0.10 – 0.45 | 0.10 |
| 2026Q4–2027Q3 | 0.17 | −0.10 – 0.44 | 0.11 |
| 2026Q4–2031Q3 | 0.16 | −0.11 – 0.42 | 0.12 |
| 2026Q4 | 0.46 | 0.18 – 0.73 | <0.01 |
| 2026Q4–2027Q3 | 0.44 | 0.17 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.11 – 0.70 | <0.01 |