PredictedFE · Earnings forecast · Frankel and Lee (1998)

Predicted Analyst forecast error

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1983Q3 to 2024Q4.

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

Next quarter

2026Q4

1.82%

95% interval −4.37% to 8.12%

Next year

2026Q4–2027Q3

1.83%

95% interval −4.40% to 8.15%

Next five years

2026Q4–2031Q3

1.86%

95% interval −4.60% to 8.33%

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

−2.6% since 1983Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1983Q3–2024Q4	1.19%	17.24%	0.07	0.44
2020Q1–2024Q4	−8.44%	28.77%	−0.29	−0.66
2024Q1–2024Q4	−4.45%	10.62%	−0.42	−0.42
1983Q3–2024Q4	4.95%	13.49%	0.37	2.36
2020Q1–2024Q4	4.52%	19.82%	0.23	0.51
2024Q1–2024Q4	11.98%	8.60%	1.39	1.39
1983Q3–2024Q4	2.36%	21.99%	0.11	0.69
2020Q1–2024Q4	−5.65%	38.46%	−0.15	−0.33
2024Q1–2024Q4	9.47%	11.60%	0.82	0.82
1983Q3–2024Q4	6.04%	17.51%	0.34	2.22
2020Q1–2024Q4	5.88%	26.83%	0.22	0.49
2024Q1–2024Q4	11.68%	9.18%	1.27	1.27

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.02	−0.29 – 0.32	0.45
2026Q4–2027Q3	0.02	−0.27 – 0.32	0.44
2026Q4–2031Q3	0.03	−0.25 – 0.32	0.42
2026Q4	0.32	0.04 – 0.60	0.01
2026Q4–2027Q3	0.31	0.04 – 0.59	0.01
2026Q4–2031Q3	0.29	0.02 – 0.58	0.02
2026Q4	0.08	−0.20 – 0.37	0.29
2026Q4–2027Q3	0.08	−0.20 – 0.37	0.29
2026Q4–2031Q3	0.08	−0.19 – 0.36	0.29
2026Q4	0.29	0.01 – 0.57	0.02
2026Q4–2027Q3	0.28	0.01 – 0.56	0.02
2026Q4–2031Q3	0.26	−0.01 – 0.55	0.03