VolMkt · Volume · Haugen and Baker (1996)
Volume to market equity
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
4.27%
95% interval 0.47% to 7.93%
Next year
2026Q4–2027Q3
4.29%
95% interval 0.42% to 7.99%
Next five years
2026Q4–2031Q3
4.33%
95% interval 0.18% to 8.14%
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
+3,748% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 4.61% | 14.36% | 0.32 | 3.19 |
| 2020Q1–2024Q4 | 0.44% | 16.64% | 0.03 | 0.06 |
| 2024Q1–2024Q4 | 10.35% | 15.82% | 0.65 | 0.65 |
| 1926Q3–2024Q4 | 8.50% | 13.94% | 0.61 | 6.05 |
| 2020Q1–2024Q4 | 9.18% | 10.56% | 0.87 | 1.94 |
| 2024Q1–2024Q4 | 14.74% | 7.16% | 2.06 | 2.06 |
| 1926Q3–2024Q4 | 5.18% | 17.19% | 0.30 | 2.99 |
| 2020Q1–2024Q4 | 0.06% | 18.99% | <0.01 | 0.01 |
| 2024Q1–2024Q4 | 4.89% | 17.99% | 0.27 | 0.27 |
| 1926Q3–2024Q4 | 10.49% | 16.18% | 0.65 | 6.43 |
| 2020Q1–2024Q4 | 12.58% | 13.08% | 0.96 | 2.15 |
| 2024Q1–2024Q4 | 18.38% | 6.03% | 3.05 | 3.05 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.29 | 0.09 – 0.49 | <0.01 |
| 2026Q4–2027Q3 | 0.29 | 0.08 – 0.49 | <0.01 |
| 2026Q4–2031Q3 | 0.29 | 0.07 – 0.49 | <0.01 |
| 2026Q4 | 0.58 | 0.38 – 0.78 | <0.01 |
| 2026Q4–2027Q3 | 0.56 | 0.36 – 0.76 | <0.01 |
| 2026Q4–2031Q3 | 0.54 | 0.31 – 0.75 | <0.01 |
| 2026Q4 | 0.25 | 0.03 – 0.46 | 0.01 |
| 2026Q4–2027Q3 | 0.24 | 0.02 – 0.45 | 0.02 |
| 2026Q4–2031Q3 | 0.23 | 0.01 – 0.44 | 0.02 |
| 2026Q4 | 0.62 | 0.40 – 0.84 | <0.01 |
| 2026Q4–2027Q3 | 0.59 | 0.37 – 0.80 | <0.01 |
| 2026Q4–2031Q3 | 0.51 | 0.26 – 0.75 | <0.01 |