IdioVol3F · Volatility · Ang et al. (2006)
Idiosyncratic risk (3 factor)
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q4 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
15.62%
95% interval 9.10% to 21.55%
Next year
2026Q4–2027Q3
15.53%
95% interval 8.87% to 21.61%
Next five years
2026Q4–2031Q3
15.09%
95% interval 7.89% to 21.91%
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
+74,182,985% since 1926Q4 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q4–2024Q4 | 12.05% | 20.52% | 0.59 | 5.82 |
| 2020Q1–2024Q4 | 8.86% | 19.82% | 0.45 | 1.00 |
| 2024Q1–2024Q4 | 8.51% | 23.42% | 0.36 | 0.36 |
| 1926Q4–2024Q4 | 12.05% | 20.52% | 0.59 | 5.82 |
| 2020Q1–2024Q4 | 8.86% | 19.82% | 0.45 | 1.00 |
| 2024Q1–2024Q4 | 8.51% | 23.42% | 0.36 | 0.36 |
| 1926Q4–2024Q4 | 17.48% | 25.88% | 0.68 | 6.70 |
| 2020Q1–2024Q4 | 25.73% | 23.07% | 1.12 | 2.49 |
| 2024Q1–2024Q4 | 4.60% | 36.96% | 0.12 | 0.12 |
| 1926Q4–2024Q4 | 17.48% | 25.88% | 0.68 | 6.70 |
| 2020Q1–2024Q4 | 25.73% | 23.07% | 1.12 | 2.49 |
| 2024Q1–2024Q4 | 4.60% | 36.96% | 0.12 | 0.12 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.48 | 0.26 – 0.70 | <0.01 |
| 2026Q4–2027Q3 | 0.46 | 0.23 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.16 – 0.66 | <0.01 |
| 2026Q4 | 0.48 | 0.25 – 0.71 | <0.01 |
| 2026Q4–2027Q3 | 0.46 | 0.23 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.16 – 0.66 | <0.01 |
| 2026Q4 | 0.61 | 0.35 – 0.84 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.30 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.20 – 0.67 | <0.01 |
| 2026Q4 | 0.61 | 0.36 – 0.83 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.31 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.20 – 0.66 | <0.01 |