PayoutYield · Valuation · Boudoukh et al. (2007)
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
6.03%
95% interval 2.10% to 10.15%
Next year
2026Q4–2027Q3
5.97%
95% interval 2.05% to 10.09%
Next five years
2026Q4–2031Q3
5.72%
95% interval 1.83% to 9.86%
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
+2,278% since 1953Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1953Q3–2024Q4 | 4.93% | 13.45% | 0.37 | 3.10 |
| 2020Q1–2024Q4 | 9.47% | 18.35% | 0.52 | 1.15 |
| 2024Q1–2024Q4 | 8.54% | 14.02% | 0.61 | 0.61 |
| 1953Q3–2024Q4 | 3.95% | 7.73% | 0.51 | 4.32 |
| 2020Q1–2024Q4 | 10.10% | 11.63% | 0.87 | 1.94 |
| 2024Q1–2024Q4 | −0.70% | 7.43% | −0.09 | −0.09 |
| 1953Q3–2024Q4 | 5.57% | 15.10% | 0.37 | 3.12 |
| 2020Q1–2024Q4 | 11.99% | 20.16% | 0.59 | 1.33 |
| 2024Q1–2024Q4 | 18.66% | 12.22% | 1.53 | 1.53 |
| 1953Q3–2024Q4 | 4.89% | 10.94% | 0.45 | 3.78 |
| 2020Q1–2024Q4 | 14.19% | 18.44% | 0.77 | 1.72 |
| 2024Q1–2024Q4 | 0.17% | 10.66% | 0.02 | 0.02 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.34 | 0.10 – 0.58 | <0.01 |
| 2026Q4–2027Q3 | 0.34 | 0.09 – 0.57 | <0.01 |
| 2026Q4–2031Q3 | 0.31 | 0.07 – 0.54 | 0.01 |
| 2026Q4 | 0.50 | 0.24 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.48 | 0.23 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.44 | 0.19 – 0.68 | <0.01 |
| 2026Q4 | 0.40 | 0.14 – 0.68 | <0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.13 – 0.64 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.11 – 0.56 | <0.01 |
| 2026Q4 | 0.41 | 0.15 – 0.65 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.14 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.11 – 0.60 | <0.01 |