PctAcc · Accruals · Hafzalla, Lundholm, Van Winkle (2011)
Percent Operating Accruals
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1964Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.85%
95% interval −0.22% to 5.87%
Next year
2026Q4–2027Q3
2.85%
95% interval −0.23% to 5.88%
Next five years
2026Q4–2031Q3
2.84%
95% interval −0.28% to 5.91%
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
+323% since 1964Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1964Q3–2024Q4 | 1.68% | 8.98% | 0.19 | 1.46 |
| 2020Q1–2024Q4 | 2.71% | 6.85% | 0.40 | 0.88 |
| 2024Q1–2024Q4 | −0.39% | 3.82% | −0.10 | −0.10 |
| 1964Q3–2024Q4 | 4.23% | 6.74% | 0.63 | 4.88 |
| 2020Q1–2024Q4 | 4.68% | 6.70% | 0.70 | 1.56 |
| 2024Q1–2024Q4 | 0.76% | 2.49% | 0.31 | 0.31 |
| 1964Q3–2024Q4 | 3.18% | 12.80% | 0.25 | 1.93 |
| 2020Q1–2024Q4 | 3.53% | 9.15% | 0.39 | 0.86 |
| 2024Q1–2024Q4 | −3.57% | 6.65% | −0.54 | −0.54 |
| 1964Q3–2024Q4 | 5.33% | 8.19% | 0.65 | 5.06 |
| 2020Q1–2024Q4 | 5.19% | 8.18% | 0.63 | 1.42 |
| 2024Q1–2024Q4 | 1.71% | 4.44% | 0.39 | 0.39 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.17 | −0.07 – 0.41 | 0.08 |
| 2026Q4–2027Q3 | 0.17 | −0.07 – 0.40 | 0.09 |
| 2026Q4–2031Q3 | 0.16 | −0.08 – 0.40 | 0.10 |
| 2026Q4 | 0.45 | 0.15 – 0.74 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.12 – 0.71 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.07 – 0.67 | 0.01 |
| 2026Q4 | 0.22 | −0.02 – 0.46 | 0.03 |
| 2026Q4–2027Q3 | 0.22 | −0.02 – 0.46 | 0.03 |
| 2026Q4–2031Q3 | 0.22 | −0.02 – 0.46 | 0.04 |
| 2026Q4 | 0.46 | 0.16 – 0.77 | <0.01 |
| 2026Q4–2027Q3 | 0.42 | 0.13 – 0.73 | <0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.08 – 0.65 | <0.01 |