EquityDuration · Valuation · Dechow, Sloan and Soliman (2004)
Equity Duration
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
11.02%
95% interval 6.86% to 15.10%
Next year
2026Q4–2027Q3
10.96%
95% interval 6.76% to 15.10%
Next five years
2026Q4–2031Q3
10.73%
95% interval 6.18% to 15.13%
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
+70,504% since 1963Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1963Q3–2024Q4 | 8.15% | 15.94% | 0.51 | 4.01 |
| 2020Q1–2024Q4 | 2.28% | 18.97% | 0.12 | 0.27 |
| 2024Q1–2024Q4 | 3.60% | 11.25% | 0.32 | 0.32 |
| 1963Q3–2024Q4 | 8.15% | 15.94% | 0.51 | 4.01 |
| 2020Q1–2024Q4 | 2.28% | 18.97% | 0.12 | 0.27 |
| 2024Q1–2024Q4 | 3.60% | 11.25% | 0.32 | 0.32 |
| 1963Q3–2024Q4 | 12.19% | 16.98% | 0.72 | 5.63 |
| 2020Q1–2024Q4 | 13.79% | 19.47% | 0.71 | 1.58 |
| 2024Q1–2024Q4 | 20.67% | 25.50% | 0.81 | 0.81 |
| 1963Q3–2024Q4 | 12.19% | 16.98% | 0.72 | 5.63 |
| 2020Q1–2024Q4 | 13.79% | 19.47% | 0.71 | 1.58 |
| 2024Q1–2024Q4 | 20.67% | 25.50% | 0.81 | 0.81 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.38 | 0.10 – 0.66 | <0.01 |
| 2026Q4–2027Q3 | 0.37 | 0.09 – 0.65 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.05 – 0.64 | 0.01 |
| 2026Q4 | 0.38 | 0.10 – 0.66 | <0.01 |
| 2026Q4–2027Q3 | 0.37 | 0.09 – 0.65 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.05 – 0.65 | 0.01 |
| 2026Q4 | 0.65 | 0.40 – 0.89 | <0.01 |
| 2026Q4–2027Q3 | 0.63 | 0.38 – 0.87 | <0.01 |
| 2026Q4–2031Q3 | 0.57 | 0.28 – 0.85 | <0.01 |
| 2026Q4 | 0.65 | 0.41 – 0.89 | 0.00 |
| 2026Q4–2027Q3 | 0.63 | 0.39 – 0.87 | <0.01 |
| 2026Q4–2031Q3 | 0.57 | 0.29 – 0.85 | <0.01 |