DelNetFin · Investment alt · Richardson et al. (2005)
Change in net financial assets
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
2.52%
95% interval 0.21% to 4.79%
Next year
2026Q4–2027Q3
2.52%
95% interval 0.20% to 4.80%
Next five years
2026Q4–2031Q3
2.53%
95% interval 0.15% to 4.82%
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
+444% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | 1.67% | 7.18% | 0.23 | 1.98 |
| 2020Q1–2024Q4 | −0.31% | 8.49% | −0.04 | −0.08 |
| 2024Q1–2024Q4 | 13.59% | 8.28% | 1.64 | 1.64 |
| 1952Q3–2024Q4 | 4.64% | 5.30% | 0.88 | 7.47 |
| 2020Q1–2024Q4 | −3.47% | 7.23% | −0.48 | −1.07 |
| 2024Q1–2024Q4 | 6.98% | 6.13% | 1.14 | 1.14 |
| 1952Q3–2024Q4 | 2.86% | 10.24% | 0.28 | 2.38 |
| 2020Q1–2024Q4 | 4.69% | 16.26% | 0.29 | 0.64 |
| 2024Q1–2024Q4 | −7.42% | 21.20% | −0.35 | −0.35 |
| 1952Q3–2024Q4 | 4.94% | 6.97% | 0.71 | 6.03 |
| 2020Q1–2024Q4 | −7.04% | 7.49% | −0.94 | −2.10 |
| 2024Q1–2024Q4 | 1.41% | 8.84% | 0.16 | 0.16 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.19 | −0.05 – 0.43 | 0.06 |
| 2026Q4–2027Q3 | 0.19 | −0.05 – 0.42 | 0.06 |
| 2026Q4–2031Q3 | 0.18 | −0.05 – 0.41 | 0.07 |
| 2026Q4 | 0.16 | −0.12 – 0.55 | 0.17 |
| 2026Q4–2027Q3 | 0.15 | −0.11 – 0.52 | 0.16 |
| 2026Q4–2031Q3 | 0.15 | −0.07 – 0.46 | 0.12 |
| 2026Q4 | 0.25 | 0.02 – 0.47 | 0.02 |
| 2026Q4–2027Q3 | 0.25 | 0.02 – 0.47 | 0.02 |
| 2026Q4–2031Q3 | 0.24 | 0.01 – 0.47 | 0.02 |
| 2026Q4 | −0.12 | −0.44 – 0.36 | 0.75 |
| 2026Q4–2027Q3 | −0.09 | −0.39 – 0.36 | 0.72 |
| 2026Q4–2031Q3 | <0.01 | −0.24 – 0.36 | 0.56 |