RoE · Profitability · Haugen and Baker (1996)
net income / book equity
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1961Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.64%
95% interval 0.34% to 6.89%
Next year
2026Q4–2027Q3
3.63%
95% interval 0.30% to 6.91%
Next five years
2026Q4–2031Q3
3.55%
95% interval 0.13% to 6.98%
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
+513% since 1961Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1961Q3–2024Q4 | 3.51% | 10.95% | 0.32 | 2.56 |
| 2020Q1–2024Q4 | 5.00% | 11.58% | 0.43 | 0.97 |
| 2024Q1–2024Q4 | 12.84% | 9.58% | 1.34 | 1.34 |
| 1961Q3–2024Q4 | 4.37% | 10.29% | 0.42 | 3.38 |
| 2020Q1–2024Q4 | 7.44% | 12.11% | 0.61 | 1.37 |
| 2024Q1–2024Q4 | 1.03% | 6.11% | 0.17 | 0.17 |
| 1961Q3–2024Q4 | 3.72% | 13.07% | 0.28 | 2.27 |
| 2020Q1–2024Q4 | 6.04% | 9.16% | 0.66 | 1.47 |
| 2024Q1–2024Q4 | 2.35% | 11.38% | 0.21 | 0.21 |
| 1961Q3–2024Q4 | 4.92% | 12.18% | 0.40 | 3.22 |
| 2020Q1–2024Q4 | 7.20% | 13.97% | 0.51 | 1.15 |
| 2024Q1–2024Q4 | 2.74% | 3.70% | 0.74 | 0.74 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.35 | 0.08 – 0.62 | <0.01 |
| 2026Q4–2027Q3 | 0.33 | 0.08 – 0.58 | 0.01 |
| 2026Q4–2031Q3 | 0.29 | 0.05 – 0.52 | 0.01 |
| 2026Q4 | 0.40 | 0.15 – 0.66 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.13 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.10 – 0.59 | <0.01 |
| 2026Q4 | 0.28 | 0.03 – 0.53 | 0.02 |
| 2026Q4–2027Q3 | 0.27 | 0.02 – 0.51 | 0.02 |
| 2026Q4–2031Q3 | 0.24 | 0.01 – 0.48 | 0.02 |
| 2026Q4 | 0.37 | 0.13 – 0.62 | <0.01 |
| 2026Q4–2027Q3 | 0.36 | 0.12 – 0.60 | <0.01 |
| 2026Q4–2031Q3 | 0.33 | 0.09 – 0.58 | <0.01 |