DelCOA · Investment alt · Richardson et al. (2005)
Change in current operating assets
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.77%
95% interval 0.76% to 6.81%
Next year
2026Q4–2027Q3
3.77%
95% interval 0.72% to 6.83%
Next five years
2026Q4–2031Q3
3.81%
95% interval 0.51% to 6.97%
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
+1,580% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | 2.55% | 10.02% | 0.25 | 2.17 |
| 2020Q1–2024Q4 | −6.84% | 13.04% | −0.52 | −1.17 |
| 2024Q1–2024Q4 | −21.58% | 13.45% | −1.60 | −1.60 |
| 1952Q3–2024Q4 | 5.87% | 7.24% | 0.81 | 6.90 |
| 2020Q1–2024Q4 | 8.25% | 8.34% | 0.99 | 2.21 |
| 2024Q1–2024Q4 | 3.54% | 2.59% | 1.37 | 1.37 |
| 1952Q3–2024Q4 | 4.71% | 12.65% | 0.37 | 3.17 |
| 2020Q1–2024Q4 | 2.31% | 13.64% | 0.17 | 0.38 |
| 2024Q1–2024Q4 | 3.61% | 16.06% | 0.22 | 0.22 |
| 1952Q3–2024Q4 | 7.85% | 9.08% | 0.87 | 7.37 |
| 2020Q1–2024Q4 | 8.07% | 8.36% | 0.96 | 2.16 |
| 2024Q1–2024Q4 | 5.73% | 5.33% | 1.07 | 1.07 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.03 | −0.45 – 0.41 | 0.41 |
| 2026Q4–2027Q3 | 0.05 | −0.40 – 0.40 | 0.39 |
| 2026Q4–2031Q3 | 0.08 | −0.26 – 0.40 | 0.32 |
| 2026Q4 | 0.60 | 0.32 – 0.88 | <0.01 |
| 2026Q4–2027Q3 | 0.56 | 0.28 – 0.85 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.18 – 0.83 | <0.01 |
| 2026Q4 | 0.30 | 0.06 – 0.54 | 0.01 |
| 2026Q4–2027Q3 | 0.29 | 0.05 – 0.53 | 0.01 |
| 2026Q4–2031Q3 | 0.27 | 0.03 – 0.52 | 0.01 |
| 2026Q4 | 0.59 | 0.30 – 0.91 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.26 – 0.87 | <0.01 |
| 2026Q4–2031Q3 | 0.45 | 0.16 – 0.84 | <0.01 |