NOA · Asset composition · Hirshleifer et al. (2004)
Net Operating Assets
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
7.21%
95% interval 3.93% to 10.63%
Next year
2026Q4–2027Q3
7.11%
95% interval 3.77% to 10.57%
Next five years
2026Q4–2031Q3
6.75%
95% interval 3.03% to 10.45%
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
+6,928% since 1963Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1963Q1–2024Q4 | 4.33% | 10.33% | 0.42 | 3.30 |
| 2020Q1–2024Q4 | 5.42% | 13.37% | 0.41 | 0.91 |
| 2024Q1–2024Q4 | 17.96% | 14.96% | 1.20 | 1.20 |
| 1963Q1–2024Q4 | 6.74% | 10.22% | 0.66 | 5.19 |
| 2020Q1–2024Q4 | −3.71% | 13.31% | −0.28 | −0.62 |
| 2024Q1–2024Q4 | 3.11% | 15.50% | 0.20 | 0.20 |
| 1963Q1–2024Q4 | 7.76% | 13.10% | 0.59 | 4.66 |
| 2020Q1–2024Q4 | 5.97% | 15.75% | 0.38 | 0.85 |
| 2024Q1–2024Q4 | 22.84% | 13.78% | 1.66 | 1.66 |
| 1963Q1–2024Q4 | 9.46% | 13.50% | 0.70 | 5.52 |
| 2020Q1–2024Q4 | −3.41% | 17.82% | −0.19 | −0.43 |
| 2024Q1–2024Q4 | −0.56% | 20.60% | −0.03 | −0.03 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.46 | 0.19 – 0.75 | <0.01 |
| 2026Q4–2027Q3 | 0.43 | 0.17 – 0.68 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.11 – 0.58 | <0.01 |
| 2026Q4 | 0.05 | −0.29 – 0.50 | 0.46 |
| 2026Q4–2027Q3 | 0.06 | −0.25 – 0.47 | 0.42 |
| 2026Q4–2031Q3 | 0.09 | −0.16 – 0.42 | 0.30 |
| 2026Q4 | 0.55 | 0.30 – 0.82 | <0.01 |
| 2026Q4–2027Q3 | 0.51 | 0.27 – 0.75 | <0.01 |
| 2026Q4–2031Q3 | 0.41 | 0.17 – 0.68 | <0.01 |
| 2026Q4 | <0.01 | −0.34 – 0.48 | 0.55 |
| 2026Q4–2027Q3 | 0.02 | −0.29 – 0.45 | 0.51 |
| 2026Q4–2031Q3 | 0.08 | −0.18 – 0.42 | 0.33 |