NetPayoutYield · Valuation · Boudoukh et al. (2007)
Net Payout Yield
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1953Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
7.60%
95% interval 2.59% to 12.03%
Next year
2026Q4–2027Q3
7.56%
95% interval 2.66% to 11.99%
Next five years
2026Q4–2031Q3
7.33%
95% interval 2.59% to 11.86%
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
+7,795% since 1953Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1953Q3–2024Q4 | 7.50% | 13.22% | 0.57 | 4.80 |
| 2020Q1–2024Q4 | 19.61% | 17.85% | 1.10 | 2.46 |
| 2024Q1–2024Q4 | 11.47% | 16.13% | 0.71 | 0.71 |
| 1953Q3–2024Q4 | 11.22% | 14.74% | 0.76 | 6.44 |
| 2020Q1–2024Q4 | 28.01% | 25.28% | 1.11 | 2.48 |
| 2024Q1–2024Q4 | 14.08% | 14.50% | 0.97 | 0.97 |
| 1953Q3–2024Q4 | 7.52% | 16.67% | 0.45 | 3.81 |
| 2020Q1–2024Q4 | 16.56% | 27.87% | 0.59 | 1.33 |
| 2024Q1–2024Q4 | −27.12% | 35.32% | −0.77 | −0.77 |
| 1953Q3–2024Q4 | 13.91% | 16.43% | 0.85 | 7.16 |
| 2020Q1–2024Q4 | 34.74% | 28.65% | 1.21 | 2.71 |
| 2024Q1–2024Q4 | 29.12% | 18.14% | 1.61 | 1.61 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.63 | 0.31 – 0.99 | <0.01 |
| 2026Q4–2027Q3 | 0.59 | 0.29 – 0.91 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.23 – 0.74 | <0.01 |
| 2026Q4 | 0.96 | 0.53 – 1.43 | 0.00 |
| 2026Q4–2027Q3 | 0.89 | 0.50 – 1.28 | 0.00 |
| 2026Q4–2031Q3 | 0.69 | 0.39 – 0.95 | 0.00 |
| 2026Q4 | 0.46 | 0.16 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.44 | 0.15 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.12 – 0.62 | <0.01 |
| 2026Q4 | 1.23 | 0.69 – 1.69 | <0.01 |
| 2026Q4–2027Q3 | 1.12 | 0.66 – 1.50 | <0.01 |
| 2026Q4–2031Q3 | 0.82 | 0.50 – 1.07 | <0.01 |