VarCF · Cash flow risk · Haugen and Baker (1996)

Cash-flow to price variance

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1953Q3 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

6.00%

95% interval −0.75% to 12.59%

Next year

2026Q4–2027Q3

5.81%

95% interval −0.85% to 12.45%

Next five years

2026Q4–2031Q3

5.04%

95% interval −1.35% to 11.88%

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

+29% since 1953Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1953Q3–2024Q4	2.24%	14.81%	0.15	1.28
2020Q1–2024Q4	4.01%	22.07%	0.18	0.41
2024Q1–2024Q4	30.07%	11.21%	2.68	2.68
1953Q3–2024Q4	0.36%	18.88%	0.02	0.16
2020Q1–2024Q4	7.54%	26.69%	0.28	0.63
2024Q1–2024Q4	24.26%	14.97%	1.62	1.62
1953Q3–2024Q4	2.42%	20.10%	0.12	1.02
2020Q1–2024Q4	10.79%	33.95%	0.32	0.71
2024Q1–2024Q4	22.49%	9.29%	2.42	2.42
1953Q3–2024Q4	0.88%	22.91%	0.04	0.32
2020Q1–2024Q4	13.83%	34.32%	0.40	0.90
2024Q1–2024Q4	35.25%	26.79%	1.32	1.32

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.29	−0.02 – 0.62	0.04
2026Q4–2027Q3	0.27	−0.03 – 0.57	0.04
2026Q4–2031Q3	0.20	−0.04 – 0.43	0.05
2026Q4	0.26	−0.13 – 0.69	0.13
2026Q4–2027Q3	0.24	−0.13 – 0.62	0.13
2026Q4–2031Q3	0.16	−0.14 – 0.44	0.16
2026Q4	0.30	−0.04 – 0.63	0.04
2026Q4–2027Q3	0.27	−0.04 – 0.58	0.05
2026Q4–2031Q3	0.20	−0.06 – 0.43	0.07
2026Q4	0.43	−0.06 – 0.88	0.05
2026Q4–2027Q3	0.39	−0.06 – 0.78	0.05
2026Q4–2031Q3	0.25	−0.08 – 0.53	0.07