DelDRC · Investment alt · Prakash and Sinha (2013)
Deferred Revenue
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 2001Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
0.51%
95% interval −6.77% to 8.10%
Next year
2026Q4–2027Q3
0.42%
95% interval −6.82% to 7.96%
Next five years
2026Q4–2031Q3
0.09%
95% interval −7.03% to 7.52%
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
−53% since 2001Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 2000Q3–2024Q4 | 9.81% | 25.57% | 0.38 | 1.90 |
| 2020Q1–2024Q4 | 4.81% | 12.37% | 0.39 | 0.87 |
| 2024Q1–2024Q4 | 5.36% | 4.18% | 1.28 | 1.28 |
| 2000Q3–2024Q4 | 7.77% | 24.72% | 0.31 | 1.55 |
| 2020Q1–2024Q4 | 1.67% | 8.85% | 0.19 | 0.42 |
| 2024Q1–2024Q4 | 4.67% | 7.29% | 0.64 | 0.64 |
| 2001Q3–2024Q4 | −1.27% | 18.40% | −0.07 | −0.34 |
| 2020Q1–2024Q4 | −0.10% | 19.29% | −<0.01 | −0.01 |
| 2024Q1–2024Q4 | 24.64% | 24.27% | 1.02 | 1.02 |
| 2001Q3–2024Q4 | −0.71% | 17.24% | −0.04 | −0.20 |
| 2020Q1–2024Q4 | 1.52% | 13.66% | 0.11 | 0.25 |
| 2024Q1–2024Q4 | 14.05% | 5.14% | 2.73 | 2.73 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.28 | −0.04 – 0.62 | 0.04 |
| 2026Q4–2027Q3 | 0.28 | −0.05 – 0.62 | 0.05 |
| 2026Q4–2031Q3 | 0.25 | −0.06 – 0.61 | 0.06 |
| 2026Q4 | 0.22 | −0.10 – 0.56 | 0.09 |
| 2026Q4–2027Q3 | 0.22 | −0.10 – 0.56 | 0.09 |
| 2026Q4–2031Q3 | 0.20 | −0.11 – 0.55 | 0.11 |
| 2026Q4 | 0.03 | −0.37 – 0.45 | 0.45 |
| 2026Q4–2027Q3 | 0.02 | −0.37 – 0.40 | 0.46 |
| 2026Q4–2031Q3 | −0.01 | −0.37 – 0.32 | 0.50 |
| 2026Q4 | 0.03 | −0.35 – 0.40 | 0.44 |
| 2026Q4–2027Q3 | 0.02 | −0.35 – 0.37 | 0.44 |
| 2026Q4–2031Q3 | <0.01 | −0.35 – 0.32 | 0.47 |