PriceDelaySlope · Lead lag · Hou and Moskowitz (2005)

Price delay coeff

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

−0.26%

95% interval −3.70% to 2.60%

Next year

2026Q4–2027Q3

−0.24%

95% interval −3.65% to 2.59%

Next five years

2026Q4–2031Q3

−0.18%

95% interval −3.48% to 2.60%

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

−54% since 1927Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1927Q4–2024Q2	−0.41%	10.98%	−0.04	−0.37
2019Q3–2024Q2	−10.94%	11.17%	−0.98	−2.19
2023Q3–2024Q2	−17.57%	8.28%	−2.12	−2.12
1927Q4–2024Q2	1.95%	8.58%	0.23	2.24
2019Q3–2024Q2	−7.23%	9.24%	−0.78	−1.75
2023Q3–2024Q2	−15.20%	6.45%	−2.36	−2.36
1927Q4–2024Q2	0.18%	13.30%	0.01	0.13
2019Q3–2024Q2	−10.35%	10.40%	−1.00	−2.23
2023Q3–2024Q2	−11.08%	6.56%	−1.69	−1.69
1927Q4–2024Q2	1.82%	9.51%	0.19	1.88
2019Q3–2024Q2	−6.05%	10.09%	−0.60	−1.34
2023Q3–2024Q2	−19.17%	7.15%	−2.68	−2.68

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.09	−0.43 – 0.15	0.73
2026Q4–2027Q3	−0.09	−0.40 – 0.15	0.73
2026Q4–2031Q3	−0.07	−0.31 – 0.15	0.72
2026Q4	0.09	−0.38 – 0.39	0.27
2026Q4–2027Q3	0.10	−0.34 – 0.39	0.26
2026Q4–2031Q3	0.12	−0.23 – 0.39	0.21
2026Q4	−0.02	−0.28 – 0.19	0.54
2026Q4–2027Q3	−0.02	−0.27 – 0.19	0.54
2026Q4–2031Q3	−0.01	−0.23 – 0.20	0.53
2026Q4	0.10	−0.30 – 0.36	0.24
2026Q4–2027Q3	0.10	−0.27 – 0.36	0.23
2026Q4–2031Q3	0.12	−0.19 – 0.36	0.19