PctTotAcc · Accruals · Hafzalla, Lundholm, Van Winkle (2011)
Percent Total Accruals
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1988Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.41%
95% interval −0.54% to 5.40%
Next year
2026Q4–2027Q3
2.41%
95% interval −0.57% to 5.42%
Next five years
2026Q4–2031Q3
2.42%
95% interval −0.73% to 5.53%
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
+154% since 1988Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1988Q3–2024Q4 | 0.99% | 8.16% | 0.12 | 0.73 |
| 2020Q1–2024Q4 | 2.79% | 9.22% | 0.30 | 0.68 |
| 2024Q1–2024Q4 | 1.80% | 1.74% | 1.04 | 1.04 |
| 1988Q3–2024Q4 | 2.76% | 7.28% | 0.38 | 2.29 |
| 2020Q1–2024Q4 | 6.56% | 8.37% | 0.78 | 1.75 |
| 2024Q1–2024Q4 | 3.81% | 6.31% | 0.60 | 0.60 |
| 1988Q3–2024Q4 | 3.07% | 10.06% | 0.31 | 1.84 |
| 2020Q1–2024Q4 | 4.83% | 8.44% | 0.57 | 1.28 |
| 2024Q1–2024Q4 | −1.22% | 5.56% | −0.22 | −0.22 |
| 1988Q3–2024Q4 | 4.98% | 6.49% | 0.77 | 4.64 |
| 2020Q1–2024Q4 | 9.57% | 10.30% | 0.93 | 2.08 |
| 2024Q1–2024Q4 | 11.12% | 7.29% | 1.52 | 1.52 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.09 | −0.20 – 0.39 | 0.27 |
| 2026Q4–2027Q3 | 0.09 | −0.20 – 0.39 | 0.27 |
| 2026Q4–2031Q3 | 0.09 | −0.19 – 0.38 | 0.27 |
| 2026Q4 | 0.29 | −0.01 – 0.59 | 0.03 |
| 2026Q4–2027Q3 | 0.28 | −0.02 – 0.57 | 0.03 |
| 2026Q4–2031Q3 | 0.24 | −0.04 – 0.56 | 0.05 |
| 2026Q4 | 0.24 | −0.05 – 0.54 | 0.06 |
| 2026Q4–2027Q3 | 0.24 | −0.06 – 0.53 | 0.06 |
| 2026Q4–2031Q3 | 0.22 | −0.06 – 0.53 | 0.07 |
| 2026Q4 | 0.70 | 0.37 – 0.98 | <0.01 |
| 2026Q4–2027Q3 | 0.62 | 0.31 – 0.89 | <0.01 |
| 2026Q4–2031Q3 | 0.43 | 0.16 – 0.74 | <0.01 |