DelFINL · External financing · Richardson et al. (2005)
Change in financial 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
1.63%
95% interval −0.68% to 3.92%
Next year
2026Q4–2027Q3
1.65%
95% interval −0.70% to 3.96%
Next five years
2026Q4–2031Q3
1.74%
95% interval −0.79% to 4.09%
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
+372% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | 2.70% | 6.68% | 0.40 | 3.44 |
| 2020Q1–2024Q4 | −3.77% | 11.28% | −0.33 | −0.75 |
| 2024Q1–2024Q4 | −23.76% | 13.74% | −1.73 | −1.73 |
| 1952Q3–2024Q4 | 6.58% | 5.13% | 1.28 | 10.90 |
| 2020Q1–2024Q4 | 1.21% | 7.43% | 0.16 | 0.36 |
| 2024Q1–2024Q4 | 8.15% | 6.07% | 1.34 | 1.34 |
| 1952Q3–2024Q4 | 2.53% | 8.76% | 0.29 | 2.46 |
| 2020Q1–2024Q4 | 3.68% | 12.83% | 0.29 | 0.64 |
| 2024Q1–2024Q4 | 4.23% | 3.83% | 1.11 | 1.11 |
| 1952Q3–2024Q4 | 8.04% | 6.88% | 1.17 | 9.96 |
| 2020Q1–2024Q4 | 1.77% | 9.82% | 0.18 | 0.40 |
| 2024Q1–2024Q4 | 17.91% | 7.88% | 2.27 | 2.27 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | −0.27 | −0.89 – 0.39 | 0.75 |
| 2026Q4–2027Q3 | −0.20 | −0.75 – 0.38 | 0.71 |
| 2026Q4–2031Q3 | −0.04 | −0.44 – 0.38 | 0.57 |
| 2026Q4 | 0.56 | 0.35 – 0.81 | <0.01 |
| 2026Q4–2027Q3 | 0.51 | 0.30 – 0.74 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.18 – 0.59 | <0.01 |
| 2026Q4 | 0.19 | −0.08 – 0.45 | 0.09 |
| 2026Q4–2027Q3 | 0.18 | −0.08 – 0.44 | 0.09 |
| 2026Q4–2031Q3 | 0.18 | −0.07 – 0.43 | 0.09 |
| 2026Q4 | 0.65 | 0.42 – 0.95 | <0.01 |
| 2026Q4–2027Q3 | 0.59 | 0.37 – 0.86 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.23 – 0.67 | <0.01 |