OrderBacklog · Sales growth · Rajgopal, Shevlin, Venkatachalam (2003)

Order backlog

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1971Q3 to 2024Q4.

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

Next quarter

2026Q4

−1.78%

95% interval −6.49% to 2.91%

Next year

2026Q4–2027Q3

−1.79%

95% interval −6.51% to 2.95%

Next five years

2026Q4–2031Q3

−1.80%

95% interval −6.61% to 3.10%

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

−88% since 1971Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1971Q3–2024Q4	−1.46%	14.13%	−0.10	−0.76
2020Q1–2024Q4	2.61%	11.96%	0.22	0.49
2024Q1–2024Q4	−8.14%	7.38%	−1.10	−1.10
1971Q3–2024Q4	−0.13%	9.70%	−0.01	−0.10
2020Q1–2024Q4	−7.97%	12.82%	−0.62	−1.39
2024Q1–2024Q4	−24.51%	12.40%	−1.98	−1.98
1971Q3–2024Q4	−2.24%	18.14%	−0.12	−0.90
2020Q1–2024Q4	3.97%	14.00%	0.28	0.63
2024Q1–2024Q4	−8.06%	6.42%	−1.26	−1.26
1971Q3–2024Q4	−2.11%	13.01%	−0.16	−1.19
2020Q1–2024Q4	−11.20%	17.79%	−0.63	−1.41
2024Q1–2024Q4	−34.09%	22.27%	−1.53	−1.53

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.09	−0.35 – 0.17	0.75
2026Q4–2027Q3	−0.09	−0.34 – 0.17	0.75
2026Q4–2031Q3	−0.08	−0.33 – 0.17	0.74
2026Q4	−0.40	−0.90 – 0.11	0.92
2026Q4–2027Q3	−0.35	−0.77 – 0.12	0.91
2026Q4–2031Q3	−0.20	−0.50 – 0.14	0.87
2026Q4	−0.10	−0.36 – 0.16	0.77
2026Q4–2027Q3	−0.10	−0.36 – 0.16	0.77
2026Q4–2031Q3	−0.10	−0.35 – 0.15	0.77
2026Q4	−0.37	−0.87 – 0.04	0.95
2026Q4–2027Q3	−0.33	−0.77 – 0.05	0.95
2026Q4–2031Q3	−0.24	−0.53 – 0.06	0.94