EntMult · Valuation · Loughran and Wellman (2011)
Enterprise Multiple
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.45%
95% interval −2.33% to 9.80%
Next year
2026Q4–2027Q3
4.53%
95% interval −2.22% to 9.82%
Next five years
2026Q4–2031Q3
4.82%
95% interval −1.76% to 9.91%
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
+4,141% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 6.08% | 14.99% | 0.41 | 3.48 |
| 2020Q1–2024Q4 | −2.18% | 27.38% | −0.08 | −0.18 |
| 2024Q1–2024Q4 | −6.79% | 12.52% | −0.54 | −0.54 |
| 1951Q3–2024Q4 | 8.87% | 10.84% | 0.82 | 7.02 |
| 2020Q1–2024Q4 | 10.45% | 23.01% | 0.45 | 1.02 |
| 2024Q1–2024Q4 | −1.86% | 2.24% | −0.83 | −0.83 |
| 1951Q3–2024Q4 | 6.86% | 18.59% | 0.37 | 3.16 |
| 2020Q1–2024Q4 | −5.33% | 33.75% | −0.16 | −0.35 |
| 2024Q1–2024Q4 | −19.25% | 12.63% | −1.52 | −1.52 |
| 1951Q3–2024Q4 | 10.80% | 13.49% | 0.80 | 6.86 |
| 2020Q1–2024Q4 | 12.19% | 27.71% | 0.44 | 0.98 |
| 2024Q1–2024Q4 | −1.98% | 6.46% | −0.31 | −0.31 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.30 | −0.02 – 0.57 | 0.03 |
| 2026Q4–2027Q3 | 0.30 | −0.01 – 0.57 | 0.03 |
| 2026Q4–2031Q3 | 0.29 | −<0.01 – 0.57 | 0.03 |
| 2026Q4 | 0.62 | 0.34 – 0.90 | <0.01 |
| 2026Q4–2027Q3 | 0.58 | 0.30 – 0.87 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.20 – 0.84 | <0.01 |
| 2026Q4 | 0.24 | −0.13 – 0.53 | 0.09 |
| 2026Q4–2027Q3 | 0.24 | −0.11 – 0.53 | 0.09 |
| 2026Q4–2031Q3 | 0.25 | −0.07 – 0.53 | 0.07 |
| 2026Q4 | 0.58 | 0.31 – 0.85 | <0.01 |
| 2026Q4–2027Q3 | 0.54 | 0.28 – 0.83 | <0.01 |
| 2026Q4–2031Q3 | 0.45 | 0.18 – 0.79 | <0.01 |