Tax · Other · Lev and Nissim (2004)
Taxable income to income
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
4.08%
95% interval 1.51% to 6.59%
Next year
2026Q4–2027Q3
4.06%
95% interval 1.48% to 6.58%
Next five years
2026Q4–2031Q3
3.94%
95% interval 1.29% to 6.54%
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
+1,242% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 4.26% | 8.75% | 0.49 | 4.17 |
| 2020Q1–2024Q4 | 9.89% | 8.74% | 1.13 | 2.53 |
| 2024Q1–2024Q4 | 0.93% | 9.50% | 0.10 | 0.10 |
| 1951Q3–2024Q4 | 4.62% | 7.29% | 0.63 | 5.43 |
| 2020Q1–2024Q4 | 6.42% | 7.73% | 0.83 | 1.86 |
| 2024Q1–2024Q4 | −0.33% | 7.34% | −0.05 | −0.05 |
| 1951Q3–2024Q4 | 4.06% | 10.15% | 0.40 | 3.43 |
| 2020Q1–2024Q4 | 8.55% | 9.94% | 0.86 | 1.92 |
| 2024Q1–2024Q4 | −2.50% | 12.11% | −0.21 | −0.21 |
| 1951Q3–2024Q4 | 4.89% | 7.99% | 0.61 | 5.25 |
| 2020Q1–2024Q4 | 9.23% | 10.55% | 0.87 | 1.96 |
| 2024Q1–2024Q4 | −1.57% | 5.80% | −0.27 | −0.27 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.49 | 0.22 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.47 | 0.21 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.41 | 0.17 – 0.65 | <0.01 |
| 2026Q4 | 0.57 | 0.35 – 0.80 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.33 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.49 | 0.23 – 0.75 | <0.01 |
| 2026Q4 | 0.40 | 0.15 – 0.65 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.14 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.11 – 0.57 | <0.01 |
| 2026Q4 | 0.60 | 0.35 – 0.83 | 0.00 |
| 2026Q4–2027Q3 | 0.57 | 0.33 – 0.80 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.25 – 0.75 | <0.01 |