RealizedVol · Volatility · Ang et al. (2006)
Realized (Total) Volatility
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q4 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
11.87%
95% interval 4.20% to 19.32%
Next year
2026Q4–2027Q3
12.09%
95% interval 4.27% to 19.67%
Next five years
2026Q4–2031Q3
12.72%
95% interval 4.27% to 20.42%
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
+50,730,629% since 1926Q4 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q4–2024Q4 | 12.74% | 21.96% | 0.58 | 5.75 |
| 2020Q1–2024Q4 | 3.66% | 22.48% | 0.16 | 0.36 |
| 2024Q1–2024Q4 | −12.88% | 21.67% | −0.59 | −0.59 |
| 1926Q4–2024Q4 | 12.74% | 21.96% | 0.58 | 5.75 |
| 2020Q1–2024Q4 | 3.66% | 22.48% | 0.16 | 0.36 |
| 2024Q1–2024Q4 | −12.88% | 21.67% | −0.59 | −0.59 |
| 1926Q4–2024Q4 | 17.45% | 27.08% | 0.64 | 6.39 |
| 2020Q1–2024Q4 | 8.97% | 28.68% | 0.31 | 0.70 |
| 2024Q1–2024Q4 | −12.56% | 32.62% | −0.39 | −0.39 |
| 1926Q4–2024Q4 | 17.45% | 27.08% | 0.64 | 6.39 |
| 2020Q1–2024Q4 | 8.97% | 28.68% | 0.31 | 0.70 |
| 2024Q1–2024Q4 | −12.56% | 32.62% | −0.39 | −0.39 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.40 | 0.08 – 0.68 | 0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.08 – 0.68 | 0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.07 – 0.67 | 0.01 |
| 2026Q4 | 0.40 | 0.07 – 0.68 | 0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.07 – 0.67 | 0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.07 – 0.67 | 0.01 |
| 2026Q4 | 0.44 | 0.16 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.42 | 0.14 – 0.70 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.11 – 0.67 | <0.01 |
| 2026Q4 | 0.44 | 0.15 – 0.71 | <0.01 |
| 2026Q4–2027Q3 | 0.42 | 0.14 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.10 – 0.67 | <0.01 |