FR · Composite accounting · Franzoni and Marin (2006)

Pension Funding Status

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1981Q3 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

1.13%

95% interval −2.08% to 4.32%

Next year

2026Q4–2027Q3

1.12%

95% interval −2.11% to 4.35%

Next five years

2026Q4–2031Q3

1.08%

95% interval −2.27% to 4.47%

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

+21% since 1981Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1981Q3–2024Q4	0.24%	8.45%	0.03	0.19
2020Q1–2024Q4	−4.02%	10.09%	−0.40	−0.89
2024Q1–2024Q4	−3.18%	4.79%	−0.66	−0.66
1981Q3–2024Q4	2.31%	8.71%	0.27	1.75
2020Q1–2024Q4	−3.84%	10.30%	−0.37	−0.83
2024Q1–2024Q4	7.40%	2.40%	3.09	3.09
1981Q3–2024Q4	1.11%	11.61%	0.10	0.63
2020Q1–2024Q4	−0.82%	13.90%	−0.06	−0.13
2024Q1–2024Q4	11.28%	8.84%	1.28	1.28
1981Q3–2024Q4	2.55%	12.24%	0.21	1.38
2020Q1–2024Q4	−4.61%	16.05%	−0.29	−0.64
2024Q1–2024Q4	12.07%	2.18%	5.54	5.54

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.10	−0.40 – 0.23	0.74
2026Q4–2027Q3	−0.08	−0.36 – 0.22	0.72
2026Q4–2031Q3	−0.04	−0.27 – 0.23	0.63
2026Q4	0.18	−0.09 – 0.49	0.10
2026Q4–2027Q3	0.16	−0.09 – 0.44	0.11
2026Q4–2031Q3	0.12	−0.10 – 0.35	0.15
2026Q4	0.10	−0.18 – 0.37	0.24
2026Q4–2027Q3	0.09	−0.18 – 0.36	0.25
2026Q4–2031Q3	0.08	−0.18 – 0.35	0.26
2026Q4	0.17	−0.11 – 0.46	0.12
2026Q4–2027Q3	0.16	−0.11 – 0.44	0.12
2026Q4–2031Q3	0.14	−0.11 – 0.41	0.14