NetDebtPrice · Leverage · Penman, Richardson and Tuna (2007)

Net debt to price

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

−1.40%

95% interval −6.47% to 3.46%

Next year

2026Q4–2027Q3

−1.35%

95% interval −6.46% to 3.53%

Next five years

2026Q4–2031Q3

−1.17%

95% interval −6.45% to 3.79%

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

−77% since 1963Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	1.09%	15.36%	0.07	0.56
2020Q1–2024Q4	−17.08%	19.11%	−0.89	−2.00
2024Q1–2024Q4	−25.30%	5.78%	−4.38	−4.38
1963Q3–2024Q4	5.56%	16.16%	0.34	2.70
2020Q1–2024Q4	−10.41%	26.91%	−0.39	−0.87
2024Q1–2024Q4	6.48%	34.77%	0.19	0.19
1963Q3–2024Q4	−0.74%	18.45%	−0.04	−0.31
2020Q1–2024Q4	−12.41%	29.18%	−0.43	−0.95
2024Q1–2024Q4	6.32%	35.42%	0.18	0.18
1963Q3–2024Q4	9.05%	20.47%	0.44	3.47
2020Q1–2024Q4	−5.53%	30.36%	−0.18	−0.41
2024Q1–2024Q4	5.68%	41.30%	0.14	0.14

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.06	−0.50 – 0.27	0.58
2026Q4–2027Q3	−0.05	−0.44 – 0.27	0.57
2026Q4–2031Q3	−0.01	−0.31 – 0.27	0.52
2026Q4	0.05	−0.30 – 0.45	0.42
2026Q4–2027Q3	0.06	−0.27 – 0.43	0.39
2026Q4–2031Q3	0.09	−0.19 – 0.42	0.32
2026Q4	−0.08	−0.35 – 0.19	0.71
2026Q4–2027Q3	−0.07	−0.33 – 0.19	0.70
2026Q4–2031Q3	−0.05	−0.29 – 0.18	0.67
2026Q4	0.14	−0.17 – 0.49	0.22
2026Q4–2027Q3	0.13	−0.15 – 0.47	0.21
2026Q4–2031Q3	0.13	−0.11 – 0.45	0.18