SP · Valuation · Barbee, Mukherji and Raines (1996)
Sales-to-price
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
8.94%
95% interval 3.12% to 15.21%
Next year
2026Q4–2027Q3
8.87%
95% interval 3.05% to 15.09%
Next five years
2026Q4–2031Q3
8.57%
95% interval 2.77% to 14.70%
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
+9,423% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 4.60% | 16.75% | 0.27 | 2.35 |
| 2020Q1–2024Q4 | −1.76% | 28.50% | −0.06 | −0.14 |
| 2024Q1–2024Q4 | −28.10% | 12.47% | −2.25 | −2.25 |
| 1951Q3–2024Q4 | 10.53% | 17.03% | 0.62 | 5.30 |
| 2020Q1–2024Q4 | 25.09% | 26.10% | 0.96 | 2.15 |
| 2024Q1–2024Q4 | 8.28% | 18.39% | 0.45 | 0.45 |
| 1951Q3–2024Q4 | 8.73% | 22.96% | 0.38 | 3.26 |
| 2020Q1–2024Q4 | 29.52% | 33.33% | 0.89 | 1.98 |
| 2024Q1–2024Q4 | −1.10% | 17.88% | −0.06 | −0.06 |
| 1951Q3–2024Q4 | 13.08% | 21.01% | 0.62 | 5.34 |
| 2020Q1–2024Q4 | 34.04% | 29.48% | 1.15 | 2.58 |
| 2024Q1–2024Q4 | 5.44% | 27.32% | 0.20 | 0.20 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.17 | −0.18 – 0.45 | 0.15 |
| 2026Q4–2027Q3 | 0.17 | −0.16 – 0.45 | 0.14 |
| 2026Q4–2031Q3 | 0.18 | −0.11 – 0.45 | 0.11 |
| 2026Q4 | 0.59 | 0.35 – 0.84 | <0.01 |
| 2026Q4–2027Q3 | 0.57 | 0.33 – 0.81 | <0.01 |
| 2026Q4–2031Q3 | 0.53 | 0.28 – 0.77 | <0.01 |
| 2026Q4 | 0.39 | 0.14 – 0.67 | <0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.13 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.10 – 0.56 | <0.01 |
| 2026Q4 | 0.60 | 0.34 – 0.86 | <0.01 |
| 2026Q4–2027Q3 | 0.58 | 0.32 – 0.82 | <0.01 |
| 2026Q4–2031Q3 | 0.53 | 0.27 – 0.77 | <0.01 |