MaxRet · Volatility · Bali, Cakici, and Whitelaw (2011)
Maximum return over month
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
12.82%
95% interval 7.35% to 17.75%
Next year
2026Q4–2027Q3
12.88%
95% interval 7.39% to 17.78%
Next five years
2026Q4–2031Q3
13.02%
95% interval 7.29% to 18.12%
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
+15,031,062% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 10.92% | 17.68% | 0.62 | 6.13 |
| 2020Q1–2024Q4 | 2.24% | 19.45% | 0.12 | 0.26 |
| 2024Q1–2024Q4 | −10.38% | 20.29% | −0.51 | −0.51 |
| 1926Q3–2024Q4 | 10.92% | 17.68% | 0.62 | 6.13 |
| 2020Q1–2024Q4 | 2.24% | 19.45% | 0.12 | 0.26 |
| 2024Q1–2024Q4 | −10.38% | 20.29% | −0.51 | −0.51 |
| 1926Q3–2024Q4 | 14.87% | 22.44% | 0.66 | 6.58 |
| 2020Q1–2024Q4 | 13.81% | 19.54% | 0.71 | 1.58 |
| 2024Q1–2024Q4 | −4.98% | 29.15% | −0.17 | −0.17 |
| 1926Q3–2024Q4 | 14.87% | 22.44% | 0.66 | 6.58 |
| 2020Q1–2024Q4 | 13.81% | 19.54% | 0.71 | 1.58 |
| 2024Q1–2024Q4 | −4.98% | 29.15% | −0.17 | −0.17 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.48 | 0.17 – 0.74 | <0.01 |
| 2026Q4–2027Q3 | 0.47 | 0.16 – 0.73 | <0.01 |
| 2026Q4–2031Q3 | 0.45 | 0.14 – 0.73 | <0.01 |
| 2026Q4 | 0.48 | 0.17 – 0.74 | <0.01 |
| 2026Q4–2027Q3 | 0.47 | 0.16 – 0.73 | <0.01 |
| 2026Q4–2031Q3 | 0.45 | 0.14 – 0.73 | <0.01 |
| 2026Q4 | 0.57 | 0.33 – 0.79 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.30 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.52 | 0.24 – 0.77 | <0.01 |
| 2026Q4 | 0.57 | 0.33 – 0.79 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.30 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.52 | 0.24 – 0.77 | <0.01 |