ReturnSkew · Risk · Bali, Engle and Murray (2015)
Return skewness
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
1.33%
95% interval −0.64% to 3.23%
Next year
2026Q4–2027Q3
1.35%
95% interval −0.69% to 3.31%
Next five years
2026Q4–2031Q3
1.44%
95% interval −0.90% to 3.66%
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
+457% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 1.88% | 6.81% | 0.28 | 2.74 |
| 2020Q1–2024Q4 | 1.42% | 7.93% | 0.18 | 0.40 |
| 2024Q1–2024Q4 | −4.00% | 6.17% | −0.65 | −0.65 |
| 1926Q3–2024Q4 | 7.28% | 7.19% | 1.01 | 10.06 |
| 2020Q1–2024Q4 | 4.64% | 9.97% | 0.46 | 1.04 |
| 2024Q1–2024Q4 | 7.53% | 8.30% | 0.91 | 0.91 |
| 1926Q3–2024Q4 | 2.16% | 9.21% | 0.23 | 2.33 |
| 2020Q1–2024Q4 | 2.05% | 8.52% | 0.24 | 0.54 |
| 2024Q1–2024Q4 | −6.26% | 4.70% | −1.33 | −1.33 |
| 1926Q3–2024Q4 | 8.85% | 9.82% | 0.90 | 8.95 |
| 2020Q1–2024Q4 | 6.26% | 13.55% | 0.46 | 1.03 |
| 2024Q1–2024Q4 | 15.51% | 8.82% | 1.76 | 1.76 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.25 | 0.04 – 0.46 | 0.01 |
| 2026Q4–2027Q3 | 0.24 | 0.03 – 0.44 | 0.01 |
| 2026Q4–2031Q3 | 0.19 | <0.01 – 0.39 | 0.02 |
| 2026Q4 | 0.84 | 0.64 – 1.07 | <0.01 |
| 2026Q4–2027Q3 | 0.79 | 0.58 – 1.02 | <0.01 |
| 2026Q4–2031Q3 | 0.64 | 0.40 – 0.95 | <0.01 |
| 2026Q4 | 0.15 | −0.07 – 0.35 | 0.09 |
| 2026Q4–2027Q3 | 0.14 | −0.07 – 0.34 | 0.09 |
| 2026Q4–2031Q3 | 0.11 | −0.07 – 0.30 | 0.11 |
| 2026Q4 | 0.92 | 0.69 – 1.13 | <0.01 |
| 2026Q4–2027Q3 | 0.78 | 0.57 – 0.99 | <0.01 |
| 2026Q4–2031Q3 | 0.51 | 0.33 – 0.70 | <0.01 |