VolumeTrend · Volume · Haugen and Baker (1996)
Volume Trend
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1928Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.33%
95% interval 0.40% to 6.18%
Next year
2026Q4–2027Q3
3.33%
95% interval 0.39% to 6.19%
Next five years
2026Q4–2031Q3
3.33%
95% interval 0.32% to 6.24%
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
+964% since 1928Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1928Q3–2024Q4 | 2.71% | 13.36% | 0.20 | 1.99 |
| 2020Q1–2024Q4 | −0.36% | 15.85% | −0.02 | −0.05 |
| 2024Q1–2024Q4 | −13.57% | 11.48% | −1.18 | −1.18 |
| 1928Q3–2024Q4 | 6.68% | 13.43% | 0.50 | 4.88 |
| 2020Q1–2024Q4 | 6.51% | 9.04% | 0.72 | 1.61 |
| 2024Q1–2024Q4 | 3.22% | 3.57% | 0.90 | 0.90 |
| 1928Q3–2024Q4 | 3.60% | 14.92% | 0.24 | 2.37 |
| 2020Q1–2024Q4 | 2.34% | 14.39% | 0.16 | 0.36 |
| 2024Q1–2024Q4 | −12.42% | 19.90% | −0.62 | −0.62 |
| 1928Q3–2024Q4 | 8.50% | 15.58% | 0.55 | 5.36 |
| 2020Q1–2024Q4 | 9.43% | 10.99% | 0.86 | 1.92 |
| 2024Q1–2024Q4 | 3.91% | 2.96% | 1.32 | 1.32 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.18 | −0.01 – 0.38 | 0.03 |
| 2026Q4–2027Q3 | 0.19 | −0.01 – 0.38 | 0.03 |
| 2026Q4–2031Q3 | 0.18 | −0.01 – 0.38 | 0.03 |
| 2026Q4 | 0.46 | 0.26 – 0.66 | <0.01 |
| 2026Q4–2027Q3 | 0.46 | 0.25 – 0.66 | <0.01 |
| 2026Q4–2031Q3 | 0.44 | 0.21 – 0.66 | <0.01 |
| 2026Q4 | 0.22 | 0.03 – 0.41 | 0.01 |
| 2026Q4–2027Q3 | 0.22 | 0.03 – 0.42 | 0.01 |
| 2026Q4–2031Q3 | 0.22 | 0.02 – 0.42 | 0.02 |
| 2026Q4 | 0.51 | 0.31 – 0.70 | <0.01 |
| 2026Q4–2027Q3 | 0.51 | 0.30 – 0.71 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.26 – 0.72 | <0.01 |