EP · Valuation · Basu (1977)
Earnings-to-Price Ratio
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.57%
95% interval −0.26% to 7.13%
Next year
2026Q4–2027Q3
3.59%
95% interval −0.23% to 7.16%
Next five years
2026Q4–2031Q3
3.64%
95% interval −0.21% to 7.26%
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
+756% since 1951Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q1–2024Q4 | 4.41% | 13.51% | 0.33 | 2.81 |
| 2020Q1–2024Q4 | 4.48% | 20.13% | 0.22 | 0.50 |
| 2024Q1–2024Q4 | −14.35% | 4.42% | −3.25 | −3.25 |
| 1951Q1–2024Q4 | 3.76% | 10.94% | 0.34 | 2.95 |
| 2020Q1–2024Q4 | 8.14% | 19.99% | 0.41 | 0.91 |
| 2024Q1–2024Q4 | −13.58% | 2.16% | −6.30 | −6.30 |
| 1951Q1–2024Q4 | 4.14% | 15.80% | 0.26 | 2.25 |
| 2020Q1–2024Q4 | 9.83% | 23.87% | 0.41 | 0.92 |
| 2024Q1–2024Q4 | −26.23% | 5.69% | −4.61 | −4.61 |
| 1951Q1–2024Q4 | 3.65% | 13.10% | 0.28 | 2.40 |
| 2020Q1–2024Q4 | 8.99% | 23.92% | 0.38 | 0.84 |
| 2024Q1–2024Q4 | −21.60% | 3.84% | −5.62 | −5.62 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.27 | 0.03 – 0.51 | 0.02 |
| 2026Q4–2027Q3 | 0.27 | 0.03 – 0.50 | 0.02 |
| 2026Q4–2031Q3 | 0.26 | 0.02 – 0.50 | 0.02 |
| 2026Q4 | 0.30 | 0.07 – 0.53 | 0.01 |
| 2026Q4–2027Q3 | 0.30 | 0.07 – 0.53 | 0.01 |
| 2026Q4–2031Q3 | 0.29 | 0.06 – 0.52 | 0.01 |
| 2026Q4 | 0.23 | −0.02 – 0.45 | 0.03 |
| 2026Q4–2027Q3 | 0.22 | −0.01 – 0.45 | 0.03 |
| 2026Q4–2031Q3 | 0.22 | −0.01 – 0.44 | 0.03 |
| 2026Q4 | 0.24 | <0.01 – 0.47 | 0.02 |
| 2026Q4–2027Q3 | 0.24 | <0.01 – 0.46 | 0.02 |
| 2026Q4–2031Q3 | 0.23 | <0.01 – 0.46 | 0.02 |