PriceDelayRsq · Lead lag · Hou and Moskowitz (2005)

Price delay r square

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q4 to 2024Q2.

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

Next quarter

2026Q4

−4.49%

95% interval −10.03% to 0.19%

Next year

2026Q4–2027Q3

−4.34%

95% interval −9.82% to 0.23%

Next five years

2026Q4–2031Q3

−3.73%

95% interval −8.97% to 0.42%

Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q2. The 9 quarters between then and 2026Q4 are unobserved and are integrated out under the model.

Cumulative market-adjusted return

−91% since 1927Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1927Q4–2024Q2	−1.63%	12.06%	−0.14	−1.33
2019Q3–2024Q2	−14.28%	10.72%	−1.33	−2.98
2023Q3–2024Q2	−22.17%	9.81%	−2.26	−2.26
1927Q4–2024Q2	4.49%	14.80%	0.30	2.98
2019Q3–2024Q2	−6.49%	15.14%	−0.43	−0.96
2023Q3–2024Q2	−24.22%	5.01%	−4.83	−4.83
1927Q4–2024Q2	−1.61%	13.09%	−0.12	−1.21
2019Q3–2024Q2	−15.04%	9.82%	−1.53	−3.42
2023Q3–2024Q2	−21.88%	0.85%	−25.62	−25.62
1927Q4–2024Q2	6.15%	16.38%	0.38	3.69
2019Q3–2024Q2	−5.70%	16.42%	−0.35	−0.78
2023Q3–2024Q2	−24.20%	5.71%	−4.23	−4.23

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.32	−0.78 – 0.02	0.96
2026Q4–2027Q3	−0.30	−0.70 – 0.02	0.96
2026Q4–2031Q3	−0.23	−0.51 – 0.03	0.96
2026Q4	0.06	−0.40 – 0.42	0.39
2026Q4–2027Q3	0.07	−0.35 – 0.42	0.37
2026Q4–2031Q3	0.11	−0.23 – 0.42	0.29
2026Q4	−0.34	−0.78 – 0.01	0.97
2026Q4–2027Q3	−0.31	−0.69 – 0.02	0.97
2026Q4–2031Q3	−0.23	−0.49 – 0.03	0.95
2026Q4	0.14	−0.31 – 0.49	0.26
2026Q4–2027Q3	0.15	−0.28 – 0.50	0.25
2026Q4–2031Q3	0.18	−0.17 – 0.50	0.18