ExclExp · Composite accounting · Doyle, Lundholm and Soliman (2003)
Excluded Expenses
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1984Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
0.38%
95% interval −2.33% to 3.18%
Next year
2026Q4–2027Q3
0.42%
95% interval −2.31% to 3.20%
Next five years
2026Q4–2031Q3
0.60%
95% interval −2.27% to 3.32%
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
+94% since 1984Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1984Q3–2024Q4 | 1.96% | 5.05% | 0.39 | 2.47 |
| 2020Q1–2024Q4 | 0.27% | 6.09% | 0.04 | 0.10 |
| 2024Q1–2024Q4 | −2.51% | 11.96% | −0.21 | −0.21 |
| 1984Q3–2024Q4 | 3.87% | 6.19% | 0.62 | 3.97 |
| 2020Q1–2024Q4 | 2.55% | 4.69% | 0.54 | 1.21 |
| 2024Q1–2024Q4 | 5.78% | 2.67% | 2.17 | 2.17 |
| 1984Q3–2024Q4 | 1.90% | 7.18% | 0.26 | 1.68 |
| 2020Q1–2024Q4 | −4.40% | 6.20% | −0.71 | −1.59 |
| 2024Q1–2024Q4 | −3.42% | 8.05% | −0.43 | −0.43 |
| 1984Q3–2024Q4 | 4.10% | 7.48% | 0.55 | 3.48 |
| 2020Q1–2024Q4 | 2.58% | 5.98% | 0.43 | 0.97 |
| 2024Q1–2024Q4 | 0.03% | 5.45% | <0.01 | <0.01 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.30 | −0.01 – 0.60 | 0.03 |
| 2026Q4–2027Q3 | 0.29 | −0.01 – 0.60 | 0.03 |
| 2026Q4–2031Q3 | 0.28 | −0.02 – 0.60 | 0.03 |
| 2026Q4 | 0.50 | 0.21 – 0.79 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.20 – 0.80 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.14 – 0.80 | <0.01 |
| 2026Q4 | 0.05 | −0.33 – 0.44 | 0.41 |
| 2026Q4–2027Q3 | 0.06 | −0.30 – 0.44 | 0.40 |
| 2026Q4–2031Q3 | 0.08 | −0.22 – 0.43 | 0.34 |
| 2026Q4 | 0.39 | 0.05 – 0.72 | 0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.04 – 0.73 | 0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.01 – 0.73 | 0.02 |