ReturnSkew3F · Risk · Bali, Engle and Murray (2015)
Idiosyncratic skewness (3F model)
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
−1.44%
95% interval −3.26% to 0.48%
Next year
2026Q4–2027Q3
−1.39%
95% interval −3.27% to 0.57%
Next five years
2026Q4–2031Q3
−1.15%
95% interval −3.30% to 1.00%
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
−47% since 1926Q4 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q4–2024Q4 | 0.45% | 6.32% | 0.07 | 0.71 |
| 2020Q1–2024Q4 | 0.49% | 7.04% | 0.07 | 0.15 |
| 2024Q1–2024Q4 | 5.74% | 8.49% | 0.68 | 0.68 |
| 1926Q4–2024Q4 | 5.00% | 6.19% | 0.81 | 8.01 |
| 2020Q1–2024Q4 | 4.72% | 8.53% | 0.55 | 1.24 |
| 2024Q1–2024Q4 | 7.68% | 11.10% | 0.69 | 0.69 |
| 1926Q4–2024Q4 | −0.25% | 8.86% | −0.03 | −0.27 |
| 2020Q1–2024Q4 | −3.77% | 7.16% | −0.53 | −1.18 |
| 2024Q1–2024Q4 | 1.89% | 7.07% | 0.27 | 0.27 |
| 1926Q4–2024Q4 | 5.98% | 8.33% | 0.72 | 7.11 |
| 2020Q1–2024Q4 | 6.50% | 11.05% | 0.59 | 1.32 |
| 2024Q1–2024Q4 | 12.65% | 12.63% | 1.00 | 1.00 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.11 | −0.10 – 0.31 | 0.15 |
| 2026Q4–2027Q3 | 0.10 | −0.10 – 0.30 | 0.16 |
| 2026Q4–2031Q3 | 0.08 | −0.11 – 0.27 | 0.19 |
| 2026Q4 | 0.81 | 0.57 – 1.05 | 0.00 |
| 2026Q4–2027Q3 | 0.71 | 0.49 – 0.93 | 0.00 |
| 2026Q4–2031Q3 | 0.49 | 0.30 – 0.70 | <0.01 |
| 2026Q4 | −0.16 | −0.37 – 0.05 | 0.93 |
| 2026Q4–2027Q3 | −0.15 | −0.35 – 0.06 | 0.92 |
| 2026Q4–2031Q3 | −0.10 | −0.27 – 0.09 | 0.85 |
| 2026Q4 | 0.86 | 0.61 – 1.09 | <0.01 |
| 2026Q4–2027Q3 | 0.75 | 0.54 – 0.96 | <0.01 |
| 2026Q4–2031Q3 | 0.49 | 0.31 – 0.68 | <0.01 |