VolSD · Liquidity · Chordia, Subra, Anshuman (2001)
Volume Variance
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.14%
95% interval 2.12% to 6.14%
Next year
2026Q4–2027Q3
4.14%
95% interval 2.07% to 6.15%
Next five years
2026Q4–2031Q3
4.10%
95% interval 1.88% to 6.18%
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
+4,937% since 1927Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q2–2024Q4 | 3.53% | 7.97% | 0.44 | 4.38 |
| 2020Q1–2024Q4 | 2.00% | 7.34% | 0.27 | 0.61 |
| 2024Q1–2024Q4 | 2.98% | 7.34% | 0.41 | 0.41 |
| 1927Q2–2024Q4 | 5.40% | 10.83% | 0.50 | 4.93 |
| 2020Q1–2024Q4 | −2.38% | 14.80% | −0.16 | −0.36 |
| 2024Q1–2024Q4 | 3.57% | 9.21% | 0.39 | 0.39 |
| 1927Q2–2024Q4 | 4.55% | 10.23% | 0.45 | 4.40 |
| 2020Q1–2024Q4 | 4.26% | 10.19% | 0.42 | 0.93 |
| 2024Q1–2024Q4 | 4.04% | 11.15% | 0.36 | 0.36 |
| 1927Q2–2024Q4 | 7.27% | 12.80% | 0.57 | 5.61 |
| 2020Q1–2024Q4 | −0.80% | 17.68% | −0.05 | −0.10 |
| 2024Q1–2024Q4 | 11.32% | 11.41% | 0.99 | 0.99 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.41 | 0.21 – 0.60 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.21 – 0.60 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.19 – 0.60 | <0.01 |
| 2026Q4 | 0.41 | 0.14 – 0.64 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.14 – 0.64 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.12 – 0.64 | <0.01 |
| 2026Q4 | 0.41 | 0.21 – 0.60 | <0.01 |
| 2026Q4–2027Q3 | 0.40 | 0.20 – 0.60 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.16 – 0.59 | <0.01 |
| 2026Q4 | 0.46 | 0.22 – 0.70 | <0.01 |
| 2026Q4–2027Q3 | 0.45 | 0.21 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.43 | 0.16 – 0.69 | <0.01 |