GP · Profitability · Novy-Marx (2013)
gross profits / total assets
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
8.57%
95% interval 4.63% to 12.62%
Next year
2026Q4–2027Q3
8.54%
95% interval 4.59% to 12.60%
Next five years
2026Q4–2031Q3
8.40%
95% interval 4.37% to 12.49%
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
+22,730% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 5.32% | 11.58% | 0.46 | 3.94 |
| 2020Q1–2024Q4 | 17.61% | 20.51% | 0.86 | 1.92 |
| 2024Q1–2024Q4 | 22.72% | 20.79% | 1.09 | 1.09 |
| 1951Q3–2024Q4 | 5.32% | 11.58% | 0.46 | 3.94 |
| 2020Q1–2024Q4 | 17.61% | 20.51% | 0.86 | 1.92 |
| 2024Q1–2024Q4 | 22.72% | 20.79% | 1.09 | 1.09 |
| 1951Q3–2024Q4 | 8.92% | 17.31% | 0.52 | 4.42 |
| 2020Q1–2024Q4 | 13.19% | 20.61% | 0.64 | 1.43 |
| 2024Q1–2024Q4 | 23.53% | 12.30% | 1.91 | 1.91 |
| 1951Q3–2024Q4 | 8.92% | 17.31% | 0.52 | 4.42 |
| 2020Q1–2024Q4 | 13.19% | 20.61% | 0.64 | 1.43 |
| 2024Q1–2024Q4 | 23.53% | 12.30% | 1.91 | 1.91 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.66 | 0.27 – 1.09 | <0.01 |
| 2026Q4–2027Q3 | 0.61 | 0.26 – 0.97 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.21 – 0.70 | <0.01 |
| 2026Q4 | 0.66 | 0.27 – 1.09 | <0.01 |
| 2026Q4–2027Q3 | 0.61 | 0.26 – 0.97 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.21 – 0.70 | <0.01 |
| 2026Q4 | 0.50 | 0.27 – 0.73 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.26 – 0.71 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.23 – 0.69 | <0.01 |
| 2026Q4 | 0.50 | 0.27 – 0.73 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.26 – 0.71 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.23 – 0.69 | <0.01 |