retConglomerate · Lead lag · Cohen and Lou (2012)
Conglomerate return
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.07%
95% interval −0.26% to 8.22%
Next year
2026Q4–2027Q3
4.08%
95% interval −0.27% to 8.23%
Next five years
2026Q4–2031Q3
4.11%
95% interval −0.32% to 8.29%
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
+516% since 1976Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q2–2024Q4 | 5.52% | 14.00% | 0.39 | 2.75 |
| 2020Q1–2024Q4 | 1.64% | 12.10% | 0.14 | 0.30 |
| 2024Q1–2024Q4 | −4.96% | 7.16% | −0.69 | −0.69 |
| 1976Q2–2024Q4 | 10.88% | 11.64% | 0.94 | 6.53 |
| 2020Q1–2024Q4 | 4.87% | 9.30% | 0.52 | 1.17 |
| 2024Q1–2024Q4 | −4.19% | 2.22% | −1.89 | −1.89 |
| 1976Q2–2024Q4 | 4.96% | 15.59% | 0.32 | 2.22 |
| 2020Q1–2024Q4 | 1.92% | 13.94% | 0.14 | 0.31 |
| 2024Q1–2024Q4 | 3.29% | 12.93% | 0.25 | 0.25 |
| 1976Q2–2024Q4 | 13.47% | 14.44% | 0.93 | 6.51 |
| 2020Q1–2024Q4 | 2.91% | 13.51% | 0.22 | 0.48 |
| 2024Q1–2024Q4 | −6.80% | 7.42% | −0.92 | −0.92 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.26 | −0.09 – 0.57 | 0.07 |
| 2026Q4–2027Q3 | 0.26 | −0.08 – 0.58 | 0.07 |
| 2026Q4–2031Q3 | 0.27 | −0.06 – 0.59 | 0.06 |
| 2026Q4 | 0.50 | 0.13 – 0.96 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.11 – 0.97 | <0.01 |
| 2026Q4–2031Q3 | 0.44 | 0.07 – 0.96 | 0.01 |
| 2026Q4 | 0.26 | −0.02 – 0.53 | 0.03 |
| 2026Q4–2027Q3 | 0.27 | −0.02 – 0.54 | 0.03 |
| 2026Q4–2031Q3 | 0.27 | −0.02 – 0.55 | 0.03 |
| 2026Q4 | 0.46 | 0.07 – 0.95 | 0.01 |
| 2026Q4–2027Q3 | 0.45 | 0.06 – 0.95 | 0.01 |
| 2026Q4–2031Q3 | 0.41 | 0.04 – 0.96 | 0.01 |