DelEqu · Investment · Richardson et al. (2005)
Change in equity to assets
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1962Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.36%
95% interval −1.88% to 9.19%
Next year
2026Q4–2027Q3
4.42%
95% interval −1.76% to 9.19%
Next five years
2026Q4–2031Q3
4.65%
95% interval −1.33% to 9.25%
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
+2,518% since 1962Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1962Q3–2024Q4 | 3.66% | 11.83% | 0.31 | 2.45 |
| 2020Q1–2024Q4 | 3.12% | 14.69% | 0.21 | 0.48 |
| 2024Q1–2024Q4 | −12.45% | 11.44% | −1.09 | −1.09 |
| 1962Q3–2024Q4 | 6.01% | 12.80% | 0.47 | 3.71 |
| 2020Q1–2024Q4 | 10.99% | 15.02% | 0.73 | 1.64 |
| 2024Q1–2024Q4 | −8.12% | 16.35% | −0.50 | −0.50 |
| 1962Q3–2024Q4 | 6.49% | 16.06% | 0.40 | 3.20 |
| 2020Q1–2024Q4 | 2.16% | 23.17% | 0.09 | 0.21 |
| 2024Q1–2024Q4 | −48.58% | 8.46% | −5.74 | −5.74 |
| 1962Q3–2024Q4 | 8.44% | 16.44% | 0.51 | 4.06 |
| 2020Q1–2024Q4 | 13.18% | 18.90% | 0.70 | 1.56 |
| 2024Q1–2024Q4 | −18.60% | 22.00% | −0.85 | −0.85 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.26 | 0.01 – 0.51 | 0.02 |
| 2026Q4–2027Q3 | 0.26 | 0.01 – 0.51 | 0.02 |
| 2026Q4–2031Q3 | 0.26 | <0.01 – 0.50 | 0.02 |
| 2026Q4 | 0.38 | 0.12 – 0.64 | <0.01 |
| 2026Q4–2027Q3 | 0.37 | 0.11 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.07 – 0.62 | 0.01 |
| 2026Q4 | 0.27 | −0.12 – 0.57 | 0.08 |
| 2026Q4–2027Q3 | 0.27 | −0.10 – 0.57 | 0.07 |
| 2026Q4–2031Q3 | 0.28 | −0.06 – 0.58 | 0.06 |
| 2026Q4 | 0.39 | 0.08 – 0.67 | 0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.07 – 0.66 | 0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.05 – 0.66 | 0.01 |