IndRetBig · Lead lag · Hou (2007)
Industry return of big firms
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
6.58%
95% interval 0.62% to 14.67%
Next year
2026Q4–2027Q3
6.88%
95% interval 0.64% to 15.17%
Next five years
2026Q4–2031Q3
8.06%
95% interval 0.73% to 16.84%
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
+1,752,984,309% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 16.10% | 17.39% | 0.93 | 9.19 |
| 2020Q1–2024Q4 | −0.77% | 10.16% | −0.08 | −0.17 |
| 2024Q1–2024Q4 | −10.59% | 3.27% | −3.23 | −3.23 |
| 1926Q3–2024Q4 | 16.09% | 15.32% | 1.05 | 10.42 |
| 2020Q1–2024Q4 | 1.66% | 10.37% | 0.16 | 0.36 |
| 2024Q1–2024Q4 | 0.04% | 7.84% | <0.01 | <0.01 |
| 1926Q3–2024Q4 | 19.26% | 21.34% | 0.90 | 8.96 |
| 2020Q1–2024Q4 | −2.13% | 16.17% | −0.13 | −0.30 |
| 2024Q1–2024Q4 | −8.24% | 5.41% | −1.52 | −1.52 |
| 1926Q3–2024Q4 | 18.99% | 18.95% | 1.00 | 9.95 |
| 2020Q1–2024Q4 | −6.13% | 19.93% | −0.31 | −0.69 |
| 2024Q1–2024Q4 | −1.08% | 6.59% | −0.16 | −0.16 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.30 | −0.05 – 0.74 | 0.06 |
| 2026Q4–2027Q3 | 0.28 | −0.04 – 0.65 | 0.05 |
| 2026Q4–2031Q3 | 0.26 | −0.01 – 0.55 | 0.03 |
| 2026Q4 | 0.42 | 0.16 – 0.78 | <0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.14 – 0.70 | <0.01 |
| 2026Q4–2031Q3 | 0.30 | 0.09 – 0.58 | <0.01 |
| 2026Q4 | 0.31 | 0.03 – 0.70 | 0.01 |
| 2026Q4–2027Q3 | 0.29 | 0.03 – 0.63 | 0.01 |
| 2026Q4–2031Q3 | 0.24 | 0.02 – 0.53 | 0.01 |
| 2026Q4 | 0.28 | 0.02 – 0.63 | 0.01 |
| 2026Q4–2027Q3 | 0.26 | 0.02 – 0.58 | 0.01 |
| 2026Q4–2031Q3 | 0.22 | 0.02 – 0.49 | 0.02 |