Size · Size · Banz (1981)

Size

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

−20.59%

95% interval −32.97% to −5.00%

Next year

2026Q4–2027Q3

−19.62%

95% interval −32.20% to −4.27%

Next five years

2026Q4–2031Q3

−15.74%

95% interval −28.84% to −1.68%

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.

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

−100% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	−2.37%	23.30%	−0.10	−1.01
2020Q1–2024Q4	−22.54%	29.72%	−0.76	−1.70
2024Q1–2024Q4	−45.64%	28.50%	−1.60	−1.60
1926Q3–2024Q4	3.62%	27.59%	0.13	1.30
2020Q1–2024Q4	−10.07%	33.10%	−0.30	−0.68
2024Q1–2024Q4	−27.53%	34.87%	−0.79	−0.79
1926Q3–2024Q4	−2.16%	29.40%	−0.07	−0.73
2020Q1–2024Q4	−32.99%	38.82%	−0.85	−1.90
2024Q1–2024Q4	−69.96%	37.58%	−1.86	−1.86
1926Q3–2024Q4	7.63%	34.75%	0.22	2.18
2020Q1–2024Q4	−8.26%	45.26%	−0.18	−0.41
2024Q1–2024Q4	−28.94%	47.80%	−0.61	−0.61
1926Q3–2024Q4	1.06%	15.30%	0.07	0.69
2020Q1–2024Q4	−5.82%	17.51%	−0.33	−0.74
2024Q1–2024Q4	−10.35%	17.94%	−0.58	−0.58

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.61	−1.01 – −0.15	1.00
2026Q4–2027Q3	−0.52	−0.87 – −0.11	1.00
2026Q4–2031Q3	−0.31	−0.56 – −0.03	0.98
2026Q4	−0.23	−0.57 – 0.15	0.88
2026Q4–2027Q3	−0.19	−0.50 – 0.16	0.86
2026Q4–2031Q3	−0.10	−0.33 – 0.18	0.76
2026Q4	−0.71	−1.15 – −0.17	1.00
2026Q4–2027Q3	−0.62	−1.00 – −0.14	1.00
2026Q4–2031Q3	−0.37	−0.64 – −0.05	0.99
2026Q4	−0.15	−0.51 – 0.25	0.76
2026Q4–2027Q3	−0.12	−0.44 – 0.25	0.74
2026Q4–2031Q3	−0.04	−0.29 – 0.26	0.61
2026Q4	−0.22	−0.55 – 0.13	0.88
2026Q4–2027Q3	−0.19	−0.49 – 0.14	0.87
2026Q4–2031Q3	−0.11	−0.34 – 0.15	0.79