ForecastDispersion · Volatility · Diether, Malloy and Scherbina (2002)
EPS Forecast Dispersion
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
9.61%
95% interval 4.29% to 14.48%
Next year
2026Q4–2027Q3
9.57%
95% interval 4.21% to 14.50%
Next five years
2026Q4–2031Q3
9.38%
95% interval 3.79% to 14.56%
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
+8,782% since 1976Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q2–2024Q4 | 8.74% | 15.15% | 0.58 | 4.03 |
| 2020Q1–2024Q4 | 11.87% | 20.20% | 0.59 | 1.31 |
| 2024Q1–2024Q4 | 17.10% | 14.74% | 1.16 | 1.16 |
| 1976Q2–2024Q4 | 11.69% | 13.94% | 0.84 | 5.85 |
| 2020Q1–2024Q4 | 9.40% | 14.67% | 0.64 | 1.43 |
| 2024Q1–2024Q4 | 5.15% | 11.11% | 0.46 | 0.46 |
| 1976Q2–2024Q4 | 10.92% | 18.33% | 0.60 | 4.16 |
| 2020Q1–2024Q4 | 16.17% | 24.33% | 0.66 | 1.49 |
| 2024Q1–2024Q4 | 7.47% | 13.53% | 0.55 | 0.55 |
| 1976Q2–2024Q4 | 13.48% | 15.28% | 0.88 | 6.16 |
| 2020Q1–2024Q4 | 7.93% | 16.71% | 0.47 | 1.06 |
| 2024Q1–2024Q4 | 8.14% | 12.31% | 0.66 | 0.66 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.53 | 0.26 – 0.79 | <0.01 |
| 2026Q4–2027Q3 | 0.52 | 0.25 – 0.77 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.20 – 0.75 | <0.01 |
| 2026Q4 | 0.69 | 0.40 – 0.96 | <0.01 |
| 2026Q4–2027Q3 | 0.65 | 0.36 – 0.94 | <0.01 |
| 2026Q4–2031Q3 | 0.55 | 0.22 – 0.92 | <0.01 |
| 2026Q4 | 0.53 | 0.23 – 0.79 | <0.01 |
| 2026Q4–2027Q3 | 0.51 | 0.22 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.16 – 0.75 | <0.01 |
| 2026Q4 | 0.66 | 0.38 – 0.96 | <0.01 |
| 2026Q4–2027Q3 | 0.61 | 0.32 – 0.93 | <0.01 |
| 2026Q4–2031Q3 | 0.49 | 0.19 – 0.90 | <0.01 |