OrderBacklogChg · Accruals · Baik and Ahn (2007)

Change in order backlog

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q3 to 2024Q4.

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

Next quarter

2026Q4

5.63%

95% interval −2.14% to 12.81%

Next year

2026Q4–2027Q3

5.37%

95% interval −2.27% to 12.60%

Next five years

2026Q4–2031Q3

4.32%

95% interval −2.85% to 11.71%

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

−45% since 1972Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1972Q3–2024Q4	0.28%	13.25%	0.02	0.15
2020Q1–2024Q4	12.24%	15.57%	0.79	1.76
2024Q1–2024Q4	18.76%	13.25%	1.42	1.42
1972Q3–2024Q4	2.63%	8.63%	0.31	2.21
2020Q1–2024Q4	9.69%	12.62%	0.77	1.72
2024Q1–2024Q4	28.79%	8.62%	3.34	3.34
1972Q3–2024Q4	0.77%	18.91%	0.04	0.30
2020Q1–2024Q4	20.69%	17.63%	1.17	2.62
2024Q1–2024Q4	14.86%	26.36%	0.56	0.56
1972Q3–2024Q4	5.68%	12.47%	0.46	3.30
2020Q1–2024Q4	15.72%	16.27%	0.97	2.16
2024Q1–2024Q4	50.91%	13.33%	3.82	3.82

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.10	−0.21 – 0.52	0.32
2026Q4–2027Q3	0.09	−0.21 – 0.47	0.32
2026Q4–2031Q3	0.06	−0.22 – 0.35	0.34
2026Q4	0.67	0.12 – 1.27	<0.01
2026Q4–2027Q3	0.58	0.11 – 1.08	<0.01
2026Q4–2031Q3	0.38	0.07 – 0.67	0.01
2026Q4	0.30	−0.11 – 0.69	0.09
2026Q4–2027Q3	0.27	−0.12 – 0.61	0.10
2026Q4–2031Q3	0.17	−0.13 – 0.43	0.13
2026Q4	0.64	0.21 – 1.28	<0.01
2026Q4–2027Q3	0.60	0.21 – 1.11	<0.01
2026Q4–2031Q3	0.48	0.19 – 0.75	<0.01