sfe · Valuation · Elgers, Lo and Pfeiffer (2001)
Earnings Forecast to price
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1977Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
9.59%
95% interval 2.43% to 16.86%
Next year
2026Q4–2027Q3
9.57%
95% interval 2.29% to 16.89%
Next five years
2026Q4–2031Q3
9.50%
95% interval 1.72% to 17.09%
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
+4,774% since 1977Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1977Q2–2024Q4 | 10.56% | 19.93% | 0.53 | 3.66 |
| 2020Q1–2024Q4 | 5.89% | 31.36% | 0.19 | 0.42 |
| 2024Q1–2024Q4 | 4.79% | 20.22% | 0.24 | 0.24 |
| 1977Q2–2024Q4 | 11.20% | 19.76% | 0.57 | 3.91 |
| 2020Q1–2024Q4 | 13.95% | 29.74% | 0.47 | 1.05 |
| 2024Q1–2024Q4 | 7.59% | 22.43% | 0.34 | 0.34 |
| 1977Q2–2024Q4 | 11.73% | 26.41% | 0.44 | 3.07 |
| 2020Q1–2024Q4 | 10.36% | 43.17% | 0.24 | 0.54 |
| 2024Q1–2024Q4 | 11.77% | 31.35% | 0.38 | 0.38 |
| 1977Q2–2024Q4 | 12.15% | 23.52% | 0.52 | 3.57 |
| 2020Q1–2024Q4 | 19.62% | 34.89% | 0.56 | 1.26 |
| 2024Q1–2024Q4 | 5.58% | 34.13% | 0.16 | 0.16 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.44 | 0.17 – 0.71 | <0.01 |
| 2026Q4–2027Q3 | 0.44 | 0.16 – 0.71 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.12 – 0.71 | <0.01 |
| 2026Q4 | 0.51 | 0.23 – 0.78 | <0.01 |
| 2026Q4–2027Q3 | 0.50 | 0.23 – 0.77 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.19 – 0.75 | <0.01 |
| 2026Q4 | 0.36 | 0.09 – 0.64 | <0.01 |
| 2026Q4–2027Q3 | 0.35 | 0.08 – 0.63 | 0.01 |
| 2026Q4–2031Q3 | 0.33 | 0.05 – 0.62 | 0.01 |
| 2026Q4 | 0.48 | 0.19 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.46 | 0.18 – 0.73 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.15 – 0.70 | <0.01 |