PriceDelayTstat · Lead lag · Hou and Moskowitz (2005)

Price delay SE adjusted

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

−0.20%

95% interval −3.67% to 2.68%

Next year

2026Q4–2027Q3

−0.18%

95% interval −3.62% to 2.68%

Next five years

2026Q4–2031Q3

−0.12%

95% interval −3.41% to 2.68%

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

−51% since 1927Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1927Q4–2024Q2	−0.29%	10.98%	−0.03	−0.26
2019Q3–2024Q2	−10.78%	11.28%	−0.96	−2.14
2023Q3–2024Q2	−17.48%	8.24%	−2.12	−2.12
1927Q4–2024Q2	1.85%	8.59%	0.21	2.11
2019Q3–2024Q2	−7.07%	9.17%	−0.77	−1.72
2023Q3–2024Q2	−14.86%	6.16%	−2.41	−2.41
1927Q4–2024Q2	0.24%	13.27%	0.02	0.18
2019Q3–2024Q2	−10.42%	10.73%	−0.97	−2.17
2023Q3–2024Q2	−11.08%	6.56%	−1.69	−1.69
1927Q4–2024Q2	1.59%	9.30%	0.17	1.68
2019Q3–2024Q2	−5.62%	9.87%	−0.57	−1.27
2023Q3–2024Q2	−18.36%	6.78%	−2.71	−2.71

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.09	−0.43 – 0.15	0.71
2026Q4–2027Q3	−0.08	−0.40 – 0.15	0.71
2026Q4–2031Q3	−0.06	−0.31 – 0.15	0.70
2026Q4	0.10	−0.35 – 0.38	0.25
2026Q4–2027Q3	0.11	−0.32 – 0.38	0.24
2026Q4–2031Q3	0.13	−0.21 – 0.38	0.19
2026Q4	−0.01	−0.28 – 0.20	0.53
2026Q4–2027Q3	−0.01	−0.26 – 0.20	0.53
2026Q4–2031Q3	−0.01	−0.23 – 0.20	0.51
2026Q4	0.09	−0.31 – 0.34	0.24
2026Q4–2027Q3	0.09	−0.28 – 0.34	0.23
2026Q4–2031Q3	0.11	−0.19 – 0.34	0.20