Price · Other · Blume and Husic (1973)

Price

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4. De-levered 0.97× to 40% annualized volatility.

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

Next quarter

2026Q4

−15.73%

95% interval −28.65% to −1.94%

Next year

2026Q4–2027Q3

−14.86%

95% interval −28.16% to −1.08%

Next five years

2026Q4–2031Q3

−11.67%

95% interval −25.98% to 2.02%

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

−100% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	−6.41%	28.09%	−0.23	−2.26
2020Q1–2024Q4	−22.14%	29.58%	−0.75	−1.67
2024Q1–2024Q4	−28.58%	25.80%	−1.11	−1.11
1926Q3–2024Q4	0.52%	34.97%	0.02	0.15
2020Q1–2024Q4	−13.27%	37.30%	−0.36	−0.80
2024Q1–2024Q4	−19.91%	35.78%	−0.56	−0.56
1926Q3–2024Q4	−4.59%	40.00%	−0.11	−1.14
2020Q1–2024Q4	−28.99%	42.86%	−0.68	−1.51
2024Q1–2024Q4	−35.23%	44.17%	−0.80	−0.80
1926Q3–2024Q4	5.60%	40.00%	0.14	1.39
2020Q1–2024Q4	−13.76%	44.60%	−0.31	−0.69
2024Q1–2024Q4	−35.93%	35.68%	−1.01	−1.01

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.51	−0.81 – −0.17	1.00
2026Q4–2027Q3	−0.44	−0.71 – −0.13	1.00
2026Q4–2031Q3	−0.27	−0.49 – −0.05	0.99
2026Q4	−0.27	−0.56 – 0.06	0.95
2026Q4–2027Q3	−0.23	−0.50 – 0.07	0.93
2026Q4–2031Q3	−0.12	−0.33 – 0.10	0.85
2026Q4	−0.40	−0.73 – −0.05	0.99
2026Q4–2027Q3	−0.34	−0.64 – −0.02	0.98
2026Q4–2031Q3	−0.19	−0.42 – 0.04	0.95
2026Q4	−0.23	−0.55 – 0.13	0.89
2026Q4–2027Q3	−0.18	−0.48 – 0.14	0.86
2026Q4–2031Q3	−0.07	−0.30 – 0.17	0.72