roaq · Profitability · Balakrishnan, Bartov and Faurel (2010)
Return on assets (qtrly)
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1966Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
10.90%
95% interval 4.13% to 18.46%
Next year
2026Q4–2027Q3
10.74%
95% interval 4.06% to 18.19%
Next five years
2026Q4–2031Q3
10.09%
95% interval 3.68% to 17.21%
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
+6,293% since 1966Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1966Q3–2024Q4 | 6.84% | 16.23% | 0.42 | 3.22 |
| 2020Q1–2024Q4 | 18.37% | 20.86% | 0.88 | 1.97 |
| 2024Q1–2024Q4 | 27.70% | 16.55% | 1.67 | 1.67 |
| 1966Q3–2024Q4 | 14.69% | 17.08% | 0.86 | 6.58 |
| 2020Q1–2024Q4 | 16.48% | 24.31% | 0.68 | 1.52 |
| 2024Q1–2024Q4 | 13.40% | 18.22% | 0.74 | 0.74 |
| 1966Q3–2024Q4 | 9.42% | 21.64% | 0.44 | 3.33 |
| 2020Q1–2024Q4 | 30.42% | 29.07% | 1.05 | 2.34 |
| 2024Q1–2024Q4 | 36.69% | 25.97% | 1.41 | 1.41 |
| 1966Q3–2024Q4 | 18.09% | 20.15% | 0.90 | 6.87 |
| 2020Q1–2024Q4 | 29.77% | 27.25% | 1.09 | 2.44 |
| 2024Q1–2024Q4 | 35.36% | 24.19% | 1.46 | 1.46 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.52 | 0.19 – 0.90 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.17 – 0.81 | <0.01 |
| 2026Q4–2031Q3 | 0.39 | 0.14 – 0.63 | <0.01 |
| 2026Q4 | 0.78 | 0.52 – 1.02 | <0.01 |
| 2026Q4–2027Q3 | 0.72 | 0.48 – 0.96 | <0.01 |
| 2026Q4–2031Q3 | 0.57 | 0.31 – 0.89 | <0.01 |
| 2026Q4 | 0.51 | 0.19 – 0.86 | <0.01 |
| 2026Q4–2027Q3 | 0.48 | 0.18 – 0.79 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.15 – 0.64 | <0.01 |
| 2026Q4 | 1.02 | 0.69 – 1.33 | 0.00 |
| 2026Q4–2027Q3 | 0.93 | 0.64 – 1.18 | 0.00 |
| 2026Q4–2031Q3 | 0.67 | 0.43 – 0.92 | 0.00 |