dNoa · Investment · Hirshleifer, Hou, Teoh, Zhang (2004)
change in net operating assets
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1962Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.38%
95% interval −1.84% to 8.58%
Next year
2026Q4–2027Q3
3.48%
95% interval −1.78% to 8.60%
Next five years
2026Q4–2031Q3
3.86%
95% interval −1.59% to 8.75%
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
+6,006% since 1962Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1962Q3–2024Q4 | 5.71% | 9.18% | 0.62 | 4.92 |
| 2020Q1–2024Q4 | 3.79% | 11.85% | 0.32 | 0.72 |
| 2024Q1–2024Q4 | −5.34% | 9.65% | −0.55 | −0.55 |
| 1962Q3–2024Q4 | 9.74% | 10.34% | 0.94 | 7.45 |
| 2020Q1–2024Q4 | 4.53% | 9.56% | 0.47 | 1.06 |
| 2024Q1–2024Q4 | 1.65% | 5.25% | 0.31 | 0.31 |
| 1962Q3–2024Q4 | 7.40% | 12.58% | 0.59 | 4.65 |
| 2020Q1–2024Q4 | 0.96% | 12.74% | 0.08 | 0.17 |
| 2024Q1–2024Q4 | −12.39% | 11.51% | −1.08 | −1.08 |
| 1962Q3–2024Q4 | 13.30% | 13.65% | 0.97 | 7.70 |
| 2020Q1–2024Q4 | 5.52% | 12.40% | 0.45 | 1.00 |
| 2024Q1–2024Q4 | 6.18% | 8.03% | 0.77 | 0.77 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.31 | −0.03 – 0.68 | 0.04 |
| 2026Q4–2027Q3 | 0.30 | −0.03 – 0.67 | 0.04 |
| 2026Q4–2031Q3 | 0.27 | −0.03 – 0.66 | 0.04 |
| 2026Q4 | 0.34 | 0.08 – 0.68 | <0.01 |
| 2026Q4–2027Q3 | 0.31 | 0.07 – 0.65 | 0.01 |
| 2026Q4–2031Q3 | 0.25 | 0.03 – 0.58 | 0.01 |
| 2026Q4 | 0.27 | −0.15 – 0.68 | 0.13 |
| 2026Q4–2027Q3 | 0.27 | −0.13 – 0.68 | 0.12 |
| 2026Q4–2031Q3 | 0.27 | −0.08 – 0.68 | 0.09 |
| 2026Q4 | 0.37 | 0.11 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.34 | 0.09 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.27 | 0.04 – 0.62 | 0.01 |