EBM · Valuation · Penman, Richardson and Tuna (2007)

Enterprise component of BM

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

1.50%

95% interval −0.71% to 3.71%

Next year

2026Q4–2027Q3

1.49%

95% interval −0.72% to 3.72%

Next five years

2026Q4–2031Q3

1.48%

95% interval −0.79% to 3.76%

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

+114% since 1962Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1962Q3–2024Q4	2.31%	11.70%	0.20	1.56
2020Q1–2024Q4	−1.18%	15.08%	−0.08	−0.18
2024Q1–2024Q4	−2.14%	6.18%	−0.35	−0.35
1962Q3–2024Q4	6.02%	7.77%	0.77	6.12
2020Q1–2024Q4	6.97%	9.17%	0.76	1.70
2024Q1–2024Q4	3.49%	4.01%	0.87	0.87
1962Q3–2024Q4	1.66%	9.41%	0.18	1.40
2020Q1–2024Q4	2.46%	12.06%	0.20	0.46
2024Q1–2024Q4	5.33%	7.14%	0.75	0.75
1962Q3–2024Q4	2.99%	6.23%	0.48	3.79
2020Q1–2024Q4	6.95%	7.61%	0.91	2.04
2024Q1–2024Q4	0.40%	6.93%	0.06	0.06

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.13	−0.13 – 0.39	0.17
2026Q4–2027Q3	0.13	−0.13 – 0.39	0.17
2026Q4–2031Q3	0.13	−0.12 – 0.39	0.16
2026Q4	0.66	0.40 – 0.91	<0.01
2026Q4–2027Q3	0.62	0.35 – 0.89	<0.01
2026Q4–2031Q3	0.54	0.24 – 0.86	<0.01
2026Q4	0.16	−0.07 – 0.39	0.09
2026Q4–2027Q3	0.16	−0.08 – 0.39	0.09
2026Q4–2031Q3	0.15	−0.08 – 0.39	0.10
2026Q4	0.52	0.23 – 0.78	<0.01
2026Q4–2027Q3	0.47	0.19 – 0.72	<0.01
2026Q4–2031Q3	0.34	0.11 – 0.58	<0.01