IdioVolAHT · Volatility · Ali, Hwang, and Trombley (2003)
Idiosyncratic risk (AHT)
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
11.81%
95% interval 5.69% to 17.96%
Next year
2026Q4–2027Q3
11.70%
95% interval 5.56% to 17.92%
Next five years
2026Q4–2031Q3
11.26%
95% interval 4.97% to 17.76%
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
+95,444% since 1927Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q3–2024Q4 | 8.18% | 23.73% | 0.34 | 3.40 |
| 2020Q1–2024Q4 | 8.68% | 23.66% | 0.37 | 0.82 |
| 2024Q1–2024Q4 | 14.46% | 18.18% | 0.80 | 0.80 |
| 1927Q3–2024Q4 | 8.18% | 23.73% | 0.34 | 3.40 |
| 2020Q1–2024Q4 | 8.68% | 23.66% | 0.37 | 0.82 |
| 2024Q1–2024Q4 | 14.46% | 18.18% | 0.80 | 0.80 |
| 1927Q3–2024Q4 | 11.12% | 27.66% | 0.40 | 3.97 |
| 2020Q1–2024Q4 | 19.81% | 23.05% | 0.86 | 1.92 |
| 2024Q1–2024Q4 | 19.74% | 14.19% | 1.39 | 1.39 |
| 1927Q3–2024Q4 | 11.12% | 27.66% | 0.40 | 3.97 |
| 2020Q1–2024Q4 | 19.81% | 23.05% | 0.86 | 1.92 |
| 2024Q1–2024Q4 | 19.74% | 14.19% | 1.39 | 1.39 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.33 | 0.13 – 0.54 | <0.01 |
| 2026Q4–2027Q3 | 0.32 | 0.12 – 0.52 | <0.01 |
| 2026Q4–2031Q3 | 0.29 | 0.09 – 0.49 | <0.01 |
| 2026Q4 | 0.33 | 0.13 – 0.54 | <0.01 |
| 2026Q4–2027Q3 | 0.32 | 0.12 – 0.52 | <0.01 |
| 2026Q4–2031Q3 | 0.29 | 0.09 – 0.49 | <0.01 |
| 2026Q4 | 0.43 | 0.21 – 0.65 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.19 – 0.62 | <0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.15 – 0.55 | <0.01 |
| 2026Q4 | 0.43 | 0.21 – 0.65 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.20 – 0.62 | <0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.15 – 0.55 | <0.01 |