cfp · Valuation · Desai, Rajgopal, Venkatachalam (2004)
Operating Cash flows to price
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1964Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.16%
95% interval −0.21% to 8.61%
Next year
2026Q4–2027Q3
4.11%
95% interval −0.23% to 8.58%
Next five years
2026Q4–2031Q3
3.94%
95% interval −0.38% to 8.43%
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
+341% since 1964Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1964Q3–2024Q4 | 5.73% | 13.91% | 0.41 | 3.21 |
| 2020Q1–2024Q4 | 9.06% | 19.22% | 0.47 | 1.05 |
| 2024Q1–2024Q4 | 12.77% | 20.11% | 0.64 | 0.64 |
| 1964Q3–2024Q4 | 8.53% | 18.01% | 0.47 | 3.68 |
| 2020Q1–2024Q4 | 26.71% | 30.98% | 0.86 | 1.93 |
| 2024Q1–2024Q4 | 22.65% | 27.20% | 0.83 | 0.83 |
| 1964Q3–2024Q4 | 3.83% | 16.69% | 0.23 | 1.78 |
| 2020Q1–2024Q4 | 11.03% | 26.68% | 0.41 | 0.92 |
| 2024Q1–2024Q4 | 2.84% | 40.07% | 0.07 | 0.07 |
| 1964Q3–2024Q4 | 9.19% | 20.26% | 0.45 | 3.53 |
| 2020Q1–2024Q4 | 35.34% | 35.26% | 1.00 | 2.24 |
| 2024Q1–2024Q4 | 43.67% | 32.04% | 1.36 | 1.36 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.39 | 0.15 – 0.64 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.14 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.12 – 0.60 | <0.01 |
| 2026Q4 | 0.58 | 0.22 – 1.06 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.22 – 0.96 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.20 – 0.72 | <0.01 |
| 2026Q4 | 0.25 | −0.01 – 0.52 | 0.03 |
| 2026Q4–2027Q3 | 0.24 | −0.01 – 0.50 | 0.03 |
| 2026Q4–2031Q3 | 0.22 | −0.02 – 0.45 | 0.04 |
| 2026Q4 | 0.80 | 0.26 – 1.43 | <0.01 |
| 2026Q4–2027Q3 | 0.73 | 0.25 – 1.25 | <0.01 |
| 2026Q4–2031Q3 | 0.54 | 0.21 – 0.83 | <0.01 |