Frontier · Valuation · Nguyen and Swanson (2009)

Efficient frontier index

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

1.78%

95% interval −5.80% to 8.76%

Next year

2026Q4–2027Q3

1.81%

95% interval −5.73% to 8.77%

Next five years

2026Q4–2031Q3

1.97%

95% interval −5.51% to 8.83%

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

−23% since 1963Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	1.83%	18.98%	0.10	0.76
2020Q1–2024Q4	−11.74%	25.33%	−0.46	−1.04
2024Q1–2024Q4	−30.05%	17.53%	−1.71	−1.71
1963Q3–2024Q4	12.39%	17.75%	0.70	5.47
2020Q1–2024Q4	11.24%	27.30%	0.41	0.92
2024Q1–2024Q4	−9.97%	10.13%	−0.98	−0.98
1963Q3–2024Q4	3.02%	26.96%	0.11	0.88
2020Q1–2024Q4	−3.93%	35.32%	−0.11	−0.25
2024Q1–2024Q4	−32.81%	20.83%	−1.58	−1.58
1963Q3–2024Q4	16.25%	22.71%	0.72	5.61
2020Q1–2024Q4	16.54%	33.08%	0.50	1.12
2024Q1–2024Q4	3.65%	21.10%	0.17	0.17

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.01	−0.42 – 0.30	0.49
2026Q4–2027Q3	−0.01	−0.38 – 0.30	0.48
2026Q4–2031Q3	0.02	−0.27 – 0.30	0.44
2026Q4	0.35	−0.04 – 0.76	0.04
2026Q4–2027Q3	0.35	−0.03 – 0.76	0.04
2026Q4–2031Q3	0.33	−0.02 – 0.75	0.04
2026Q4	0.07	−0.22 – 0.33	0.31
2026Q4–2027Q3	0.07	−0.21 – 0.33	0.30
2026Q4–2031Q3	0.07	−0.18 – 0.33	0.28
2026Q4	0.38	0.04 – 0.76	0.01
2026Q4–2027Q3	0.37	0.04 – 0.75	0.01
2026Q4–2031Q3	0.33	0.02 – 0.73	0.02