Leverage · Leverage · Bhandari (1988)
Market leverage
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
3.56%
95% interval −1.44% to 8.48%
Next year
2026Q4–2027Q3
3.57%
95% interval −1.45% to 8.49%
Next five years
2026Q4–2031Q3
3.62%
95% interval −1.50% to 8.58%
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
+325% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 2.58% | 16.93% | 0.15 | 1.31 |
| 2020Q1–2024Q4 | −0.66% | 29.62% | −0.02 | −0.05 |
| 2024Q1–2024Q4 | −1.82% | 12.69% | −0.14 | −0.14 |
| 1951Q3–2024Q4 | 7.20% | 16.51% | 0.44 | 3.74 |
| 2020Q1–2024Q4 | 15.90% | 26.04% | 0.61 | 1.37 |
| 2024Q1–2024Q4 | 2.22% | 12.36% | 0.18 | 0.18 |
| 1951Q3–2024Q4 | 4.26% | 21.48% | 0.20 | 1.70 |
| 2020Q1–2024Q4 | −1.28% | 34.89% | −0.04 | −0.08 |
| 2024Q1–2024Q4 | −6.49% | 14.94% | −0.43 | −0.43 |
| 1951Q3–2024Q4 | 9.32% | 19.77% | 0.47 | 4.04 |
| 2020Q1–2024Q4 | 20.15% | 30.76% | 0.66 | 1.46 |
| 2024Q1–2024Q4 | 6.85% | 12.61% | 0.54 | 0.54 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.12 | −0.12 – 0.35 | 0.16 |
| 2026Q4–2027Q3 | 0.12 | −0.12 – 0.35 | 0.16 |
| 2026Q4–2031Q3 | 0.12 | −0.11 – 0.34 | 0.16 |
| 2026Q4 | 0.40 | 0.16 – 0.64 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.15 – 0.62 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.13 – 0.59 | <0.01 |
| 2026Q4 | 0.17 | −0.07 – 0.39 | 0.08 |
| 2026Q4–2027Q3 | 0.17 | −0.07 – 0.39 | 0.08 |
| 2026Q4–2031Q3 | 0.16 | −0.06 – 0.39 | 0.08 |
| 2026Q4 | 0.44 | 0.19 – 0.69 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.17 – 0.65 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.13 – 0.61 | <0.01 |