fgr5yrLag · Earnings forecast · La Porta (1996)
Long-term EPS forecast
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1982Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
8.28%
95% interval 1.77% to 14.66%
Next year
2026Q4–2027Q3
8.25%
95% interval 1.71% to 14.67%
Next five years
2026Q4–2031Q3
8.09%
95% interval 1.41% to 14.75%
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
+1,555% since 1982Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1982Q3–2024Q4 | 7.30% | 18.84% | 0.39 | 2.53 |
| 2020Q1–2024Q4 | 7.36% | 27.56% | 0.27 | 0.60 |
| 2024Q1–2024Q4 | −0.84% | 17.77% | −0.05 | −0.05 |
| 1982Q3–2024Q4 | 8.46% | 16.38% | 0.52 | 3.37 |
| 2020Q1–2024Q4 | 6.34% | 14.29% | 0.44 | 0.99 |
| 2024Q1–2024Q4 | 0.80% | 14.30% | 0.06 | 0.06 |
| 1982Q3–2024Q4 | 9.12% | 22.76% | 0.40 | 2.61 |
| 2020Q1–2024Q4 | 19.30% | 35.67% | 0.54 | 1.21 |
| 2024Q1–2024Q4 | 14.24% | 36.31% | 0.39 | 0.39 |
| 1982Q3–2024Q4 | 10.15% | 19.99% | 0.51 | 3.31 |
| 2020Q1–2024Q4 | 12.50% | 18.11% | 0.69 | 1.54 |
| 2024Q1–2024Q4 | −5.05% | 20.96% | −0.24 | −0.24 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.32 | 0.04 – 0.60 | 0.01 |
| 2026Q4–2027Q3 | 0.32 | 0.04 – 0.60 | 0.01 |
| 2026Q4–2031Q3 | 0.30 | 0.02 – 0.59 | 0.02 |
| 2026Q4 | 0.41 | 0.12 – 0.70 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.11 – 0.70 | <0.01 |
| 2026Q4–2031Q3 | 0.39 | 0.08 – 0.70 | 0.01 |
| 2026Q4 | 0.36 | 0.08 – 0.65 | 0.01 |
| 2026Q4–2027Q3 | 0.36 | 0.07 – 0.63 | 0.01 |
| 2026Q4–2031Q3 | 0.33 | 0.06 – 0.61 | 0.01 |
| 2026Q4 | 0.41 | 0.12 – 0.70 | <0.01 |
| 2026Q4–2027Q3 | 0.40 | 0.10 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.07 – 0.69 | 0.01 |