DelCOL · External financing · Richardson et al. (2005)
Change in current operating liabilities
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
−0.01%
95% interval −3.09% to 3.28%
Next year
2026Q4–2027Q3
−0.02%
95% interval −3.10% to 3.25%
Next five years
2026Q4–2031Q3
−0.07%
95% interval −3.14% to 3.18%
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
−58% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | −0.46% | 10.94% | −0.04 | −0.35 |
| 2020Q1–2024Q4 | −1.23% | 14.42% | −0.09 | −0.19 |
| 2024Q1–2024Q4 | −2.22% | 10.01% | −0.22 | −0.22 |
| 1952Q3–2024Q4 | 3.69% | 6.84% | 0.54 | 4.59 |
| 2020Q1–2024Q4 | 5.88% | 9.60% | 0.61 | 1.37 |
| 2024Q1–2024Q4 | −1.32% | 9.70% | −0.14 | −0.14 |
| 1952Q3–2024Q4 | −0.30% | 13.23% | −0.02 | −0.19 |
| 2020Q1–2024Q4 | 9.83% | 17.61% | 0.56 | 1.25 |
| 2024Q1–2024Q4 | 5.86% | 8.64% | 0.68 | 0.68 |
| 1952Q3–2024Q4 | 5.03% | 8.15% | 0.62 | 5.26 |
| 2020Q1–2024Q4 | 8.90% | 10.08% | 0.88 | 1.97 |
| 2024Q1–2024Q4 | 3.68% | 9.60% | 0.38 | 0.38 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | −0.04 | −0.26 – 0.18 | 0.64 |
| 2026Q4–2027Q3 | −0.04 | −0.26 – 0.18 | 0.64 |
| 2026Q4–2031Q3 | −0.04 | −0.26 – 0.18 | 0.64 |
| 2026Q4 | 0.46 | 0.22 – 0.69 | <0.01 |
| 2026Q4–2027Q3 | 0.44 | 0.20 – 0.67 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.13 – 0.64 | <0.01 |
| 2026Q4 | −<0.01 | −0.23 – 0.25 | 0.51 |
| 2026Q4–2027Q3 | −<0.01 | −0.23 – 0.24 | 0.51 |
| 2026Q4–2031Q3 | −0.01 | −0.23 – 0.22 | 0.52 |
| 2026Q4 | 0.58 | 0.34 – 0.82 | <0.01 |
| 2026Q4–2027Q3 | 0.54 | 0.31 – 0.76 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.19 – 0.67 | <0.01 |