RDS · Composite accounting · Landsman et al. (2011)

Real dirty surplus

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1973Q3 to 2024Q4.

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

Next quarter

2026Q4

0.98%

95% interval −1.99% to 3.76%

Next year

2026Q4–2027Q3

0.98%

95% interval −1.98% to 3.76%

Next five years

2026Q4–2031Q3

1.02%

95% interval −1.95% to 3.78%

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.

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+55% since 1973Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1973Q3–2024Q4	1.18%	8.31%	0.14	1.02
2020Q1–2024Q4	−0.85%	10.57%	−0.08	−0.18
2024Q1–2024Q4	−7.43%	8.11%	−0.92	−0.92
1973Q3–2024Q4	1.43%	10.19%	0.14	1.01
2020Q1–2024Q4	−0.62%	10.97%	−0.06	−0.13
2024Q1–2024Q4	−8.87%	4.55%	−1.95	−1.95
1973Q3–2024Q4	1.40%	10.53%	0.13	0.96
2020Q1–2024Q4	−1.38%	12.12%	−0.11	−0.25
2024Q1–2024Q4	−8.00%	9.02%	−0.89	−0.89
1973Q3–2024Q4	0.85%	12.12%	0.07	0.50
2020Q1–2024Q4	2.01%	10.88%	0.18	0.41
2024Q1–2024Q4	−6.57%	3.02%	−2.18	−2.18
1973Q3–2024Q4	2.31%	8.90%	0.26	1.87
2020Q1–2024Q4	0.11%	9.93%	0.01	0.02
2024Q1–2024Q4	−6.64%	7.63%	−0.87	−0.87

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.09	−0.21 – 0.37	0.26
2026Q4–2027Q3	0.09	−0.20 – 0.37	0.25
2026Q4–2031Q3	0.10	−0.17 – 0.38	0.24
2026Q4	0.02	−0.33 – 0.34	0.43
2026Q4–2027Q3	0.03	−0.30 – 0.34	0.42
2026Q4–2031Q3	0.05	−0.24 – 0.34	0.38
2026Q4	0.09	−0.19 – 0.36	0.25
2026Q4–2027Q3	0.10	−0.18 – 0.36	0.24
2026Q4–2031Q3	0.10	−0.17 – 0.37	0.23
2026Q4	0.06	−0.19 – 0.29	0.31
2026Q4–2027Q3	0.06	−0.21 – 0.31	0.30
2026Q4–2031Q3	0.07	−0.20 – 0.32	0.30
2026Q4	0.07	−0.31 – 0.43	0.36
2026Q4–2027Q3	0.08	−0.28 – 0.43	0.35
2026Q4–2031Q3	0.10	−0.21 – 0.43	0.29