betaVIX · Volatility · Ang et al. (2006)
Systematic volatility
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1986Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
9.77%
95% interval 4.56% to 14.86%
Next year
2026Q4–2027Q3
9.65%
95% interval 4.47% to 14.75%
Next five years
2026Q4–2031Q3
9.15%
95% interval 3.90% to 14.35%
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
+2,801% since 1986Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1986Q2–2024Q4 | 8.34% | 11.46% | 0.73 | 4.53 |
| 2020Q1–2024Q4 | 12.35% | 13.01% | 0.95 | 2.12 |
| 2024Q1–2024Q4 | 3.27% | 11.42% | 0.29 | 0.29 |
| 1986Q2–2024Q4 | 8.34% | 11.46% | 0.73 | 4.53 |
| 2020Q1–2024Q4 | 12.35% | 13.01% | 0.95 | 2.12 |
| 2024Q1–2024Q4 | 3.27% | 11.42% | 0.29 | 0.29 |
| 1986Q2–2024Q4 | 10.02% | 16.33% | 0.61 | 3.82 |
| 2020Q1–2024Q4 | 24.29% | 18.31% | 1.33 | 2.97 |
| 2024Q1–2024Q4 | 10.48% | 18.73% | 0.56 | 0.56 |
| 1986Q2–2024Q4 | 10.02% | 16.33% | 0.61 | 3.82 |
| 2020Q1–2024Q4 | 24.29% | 18.31% | 1.33 | 2.97 |
| 2024Q1–2024Q4 | 10.48% | 18.73% | 0.56 | 0.56 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.54 | 0.26 – 0.82 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.22 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.11 – 0.72 | <0.01 |
| 2026Q4 | 0.54 | 0.26 – 0.82 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.22 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.12 – 0.72 | <0.01 |
| 2026Q4 | 0.60 | 0.28 – 0.92 | <0.01 |
| 2026Q4–2027Q3 | 0.57 | 0.27 – 0.85 | <0.01 |
| 2026Q4–2031Q3 | 0.48 | 0.20 – 0.77 | <0.01 |
| 2026Q4 | 0.60 | 0.28 – 0.92 | <0.01 |
| 2026Q4–2027Q3 | 0.57 | 0.26 – 0.85 | <0.01 |
| 2026Q4–2031Q3 | 0.48 | 0.20 – 0.77 | <0.01 |