DolVol · Volume · Brennan, Chordia, Subra (1998)

Past trading volume

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

−1.56%

95% interval −7.43% to 2.67%

Next year

2026Q4–2027Q3

−1.48%

95% interval −7.27% to 2.68%

Next five years

2026Q4–2031Q3

−1.16%

95% interval −6.56% to 2.74%

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

−65% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	0.70%	12.92%	0.05	0.54
2020Q1–2024Q4	−12.81%	12.13%	−1.06	−2.36
2024Q1–2024Q4	−23.49%	9.16%	−2.57	−2.57
1926Q3–2024Q4	6.27%	22.70%	0.28	2.74
2020Q1–2024Q4	−3.38%	12.42%	−0.27	−0.61
2024Q1–2024Q4	−6.78%	9.56%	−0.71	−0.71
1926Q3–2024Q4	0.13%	15.50%	0.01	0.09
2020Q1–2024Q4	−11.13%	14.04%	−0.79	−1.77
2024Q1–2024Q4	−21.39%	5.78%	−3.70	−3.70
1926Q3–2024Q4	9.50%	25.72%	0.37	3.66
2020Q1–2024Q4	−3.08%	11.29%	−0.27	−0.61
2024Q1–2024Q4	−4.99%	9.67%	−0.52	−0.52

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.11	−0.57 – 0.21	0.63
2026Q4–2027Q3	−0.09	−0.51 – 0.21	0.63
2026Q4–2031Q3	−0.04	−0.35 – 0.21	0.58
2026Q4	0.09	−0.20 – 0.38	0.29
2026Q4–2027Q3	0.10	−0.18 – 0.39	0.27
2026Q4–2031Q3	0.12	−0.13 – 0.39	0.21
2026Q4	−0.10	−0.48 – 0.17	0.69
2026Q4–2027Q3	−0.09	−0.44 – 0.17	0.69
2026Q4–2031Q3	−0.06	−0.33 – 0.18	0.66
2026Q4	0.14	−0.15 – 0.45	0.20
2026Q4–2027Q3	0.14	−0.14 – 0.45	0.19
2026Q4–2031Q3	0.15	−0.10 – 0.44	0.14