OperProf · Profitability · Fama and French (2006)
operating profits / book equity
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
6.81%
95% interval 2.72% to 10.81%
Next year
2026Q4–2027Q3
6.73%
95% interval 2.62% to 10.78%
Next five years
2026Q4–2031Q3
6.42%
95% interval 2.22% to 10.62%
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
+2,905% since 1963Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1963Q3–2024Q4 | 6.26% | 13.11% | 0.48 | 3.74 |
| 2020Q1–2024Q4 | 10.16% | 9.63% | 1.05 | 2.36 |
| 2024Q1–2024Q4 | 8.29% | 9.92% | 0.84 | 0.84 |
| 1963Q3–2024Q4 | 7.52% | 13.49% | 0.56 | 4.37 |
| 2020Q1–2024Q4 | 11.17% | 15.00% | 0.75 | 1.67 |
| 2024Q1–2024Q4 | 5.11% | 9.83% | 0.52 | 0.52 |
| 1963Q3–2024Q4 | 6.71% | 15.13% | 0.44 | 3.48 |
| 2020Q1–2024Q4 | 12.64% | 11.19% | 1.13 | 2.53 |
| 2024Q1–2024Q4 | 13.41% | 13.42% | 1.00 | 1.00 |
| 1963Q3–2024Q4 | 8.91% | 15.47% | 0.58 | 4.52 |
| 2020Q1–2024Q4 | 12.80% | 13.53% | 0.95 | 2.12 |
| 2024Q1–2024Q4 | 6.16% | 13.28% | 0.46 | 0.46 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.45 | 0.19 – 0.71 | <0.01 |
| 2026Q4–2027Q3 | 0.43 | 0.18 – 0.68 | <0.01 |
| 2026Q4–2031Q3 | 0.39 | 0.13 – 0.64 | <0.01 |
| 2026Q4 | 0.51 | 0.25 – 0.75 | <0.01 |
| 2026Q4–2027Q3 | 0.48 | 0.23 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.41 | 0.16 – 0.68 | <0.01 |
| 2026Q4 | 0.45 | 0.18 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.43 | 0.17 – 0.68 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.12 – 0.61 | <0.01 |
| 2026Q4 | 0.53 | 0.28 – 0.77 | <0.01 |
| 2026Q4–2027Q3 | 0.50 | 0.26 – 0.75 | <0.01 |
| 2026Q4–2031Q3 | 0.44 | 0.18 – 0.71 | <0.01 |