DelLTI · Investment · Richardson et al. (2005)
Change in long-term investment
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
2.83%
95% interval 0.53% to 5.65%
Next year
2026Q4–2027Q3
2.80%
95% interval 0.52% to 5.56%
Next five years
2026Q4–2031Q3
2.67%
95% interval 0.47% to 5.25%
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
+360% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1953Q3–2024Q4 | 1.79% | 5.54% | 0.32 | 2.73 |
| 2020Q1–2024Q4 | 6.08% | 7.79% | 0.78 | 1.75 |
| 2024Q1–2024Q4 | 1.81% | 6.23% | 0.29 | 0.29 |
| 1953Q3–2024Q4 | 1.90% | 4.86% | 0.39 | 3.30 |
| 2020Q1–2024Q4 | 4.51% | 5.03% | 0.90 | 2.01 |
| 2024Q1–2024Q4 | 5.16% | 4.91% | 1.05 | 1.05 |
| 1952Q3–2024Q4 | 2.49% | 8.79% | 0.28 | 2.41 |
| 2020Q1–2024Q4 | 8.75% | 14.52% | 0.60 | 1.35 |
| 2024Q1–2024Q4 | 22.81% | 19.42% | 1.17 | 1.17 |
| 1952Q3–2024Q4 | 3.02% | 6.19% | 0.49 | 4.16 |
| 2020Q1–2024Q4 | 6.41% | 6.81% | 0.94 | 2.11 |
| 2024Q1–2024Q4 | 6.87% | 6.12% | 1.12 | 1.12 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.32 | 0.08 – 0.56 | <0.01 |
| 2026Q4–2027Q3 | 0.31 | 0.08 – 0.54 | <0.01 |
| 2026Q4–2031Q3 | 0.29 | 0.06 – 0.51 | 0.01 |
| 2026Q4 | 0.40 | 0.16 – 0.65 | <0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.15 – 0.61 | <0.01 |
| 2026Q4–2031Q3 | 0.32 | 0.10 – 0.55 | <0.01 |
| 2026Q4 | 0.32 | 0.06 – 0.65 | 0.01 |
| 2026Q4–2027Q3 | 0.31 | 0.06 – 0.60 | 0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.05 – 0.51 | 0.01 |
| 2026Q4 | 0.52 | 0.26 – 0.78 | <0.01 |
| 2026Q4–2027Q3 | 0.48 | 0.24 – 0.71 | <0.01 |
| 2026Q4–2031Q3 | 0.39 | 0.16 – 0.62 | <0.01 |