dVolPut · Informed trading · An, Ang, Bali, Cakici (2014)

Change in put vol

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1996Q2 to 2022Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

3.81%

95% interval −3.57% to 11.03%

Next year

2026Q4–2027Q3

3.83%

95% interval −3.63% to 11.07%

Next five years

2026Q4–2031Q3

3.89%

95% interval −3.87% to 11.21%

Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2022Q4. The 15 quarters between then and 2026Q4 are unobserved and are integrated out under the model.

Cumulative market-adjusted return

+175% since 1996Q2 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1996Q2–2022Q4	4.19%	14.75%	0.28	1.47
2018Q1–2022Q4	4.84%	8.01%	0.60	1.35
2022Q1–2022Q4	11.54%	14.58%	0.79	0.79
1996Q2–2022Q4	3.84%	11.23%	0.34	1.77
2018Q1–2022Q4	1.15%	5.92%	0.19	0.44
2022Q1–2022Q4	−3.62%	7.20%	−0.50	−0.50
1996Q2–2022Q4	5.94%	20.07%	0.30	1.53
2018Q1–2022Q4	−2.36%	16.34%	−0.14	−0.32
2022Q1–2022Q4	−16.54%	6.86%	−2.41	−2.41
1996Q2–2022Q4	5.84%	13.26%	0.44	2.28
2018Q1–2022Q4	2.08%	8.71%	0.24	0.53
2022Q1–2022Q4	−3.84%	4.36%	−0.88	−0.88

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.24	−0.11 – 0.58	0.09
2026Q4–2027Q3	0.23	−0.11 – 0.56	0.09
2026Q4–2031Q3	0.20	−0.12 – 0.53	0.11
2026Q4	0.27	−0.05 – 0.59	0.05
2026Q4–2027Q3	0.29	−0.05 – 0.66	0.05
2026Q4–2031Q3	0.29	−0.06 – 0.69	0.05
2026Q4	0.19	−0.18 – 0.55	0.15
2026Q4–2027Q3	0.19	−0.17 – 0.55	0.15
2026Q4–2031Q3	0.18	−0.15 – 0.54	0.15
2026Q4	0.34	<0.01 – 0.70	0.02
2026Q4–2027Q3	0.35	<0.01 – 0.71	0.02
2026Q4–2031Q3	0.35	−0.01 – 0.74	0.03