MRreversal · Long term reversal · De Bondt and Thaler (1985)
Medium-run reversal
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
2.96%
95% interval −1.40% to 7.30%
Next year
2026Q4–2027Q3
2.95%
95% interval −1.44% to 7.35%
Next five years
2026Q4–2031Q3
2.96%
95% interval −1.65% to 7.52%
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
+184% since 1927Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q3–2024Q4 | 3.13% | 16.39% | 0.19 | 1.89 |
| 2020Q1–2024Q4 | 2.01% | 20.34% | 0.10 | 0.22 |
| 2024Q1–2024Q4 | −7.09% | 7.11% | −1.00 | −1.00 |
| 1927Q3–2024Q4 | 2.53% | 17.51% | 0.14 | 1.43 |
| 2020Q1–2024Q4 | 2.47% | 20.55% | 0.12 | 0.27 |
| 2024Q1–2024Q4 | −16.73% | 19.73% | −0.85 | −0.85 |
| 1927Q3–2024Q4 | 3.25% | 21.90% | 0.15 | 1.46 |
| 2020Q1–2024Q4 | 9.34% | 29.54% | 0.32 | 0.71 |
| 2024Q1–2024Q4 | −9.35% | 12.19% | −0.77 | −0.77 |
| 1927Q3–2024Q4 | 3.86% | 20.91% | 0.18 | 1.82 |
| 2020Q1–2024Q4 | 2.52% | 25.00% | 0.10 | 0.23 |
| 2024Q1–2024Q4 | −31.44% | 21.29% | −1.48 | −1.48 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.15 | −0.07 – 0.36 | 0.09 |
| 2026Q4–2027Q3 | 0.14 | −0.07 – 0.35 | 0.09 |
| 2026Q4–2031Q3 | 0.14 | −0.07 – 0.35 | 0.09 |
| 2026Q4 | −0.01 | −0.28 – 0.25 | 0.54 |
| 2026Q4–2027Q3 | −<0.01 | −0.25 – 0.25 | 0.52 |
| 2026Q4–2031Q3 | 0.02 | −0.19 – 0.25 | 0.43 |
| 2026Q4 | 0.14 | −0.06 – 0.33 | 0.09 |
| 2026Q4–2027Q3 | 0.13 | −0.06 – 0.33 | 0.09 |
| 2026Q4–2031Q3 | 0.13 | −0.07 – 0.32 | 0.10 |
| 2026Q4 | −0.05 | −0.33 – 0.25 | 0.64 |
| 2026Q4–2027Q3 | −0.04 | −0.29 – 0.25 | 0.61 |
| 2026Q4–2031Q3 | 0.01 | −0.21 – 0.25 | 0.49 |