tang · Asset composition · Hahn and Lee (2009)

Tangibility

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q1 to 2024Q4.

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

Next quarter

2026Q4

0.82%

95% interval −2.54% to 4.21%

Next year

2026Q4–2027Q3

0.82%

95% interval −2.56% to 4.23%

Next five years

2026Q4–2031Q3

0.80%

95% interval −2.64% to 4.32%

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

−26% since 1951Q1 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1951Q1–2024Q4	0.61%	12.06%	0.05	0.44
2020Q1–2024Q4	−2.60%	20.72%	−0.13	−0.28
2024Q1–2024Q4	0.65%	12.86%	0.05	0.05
1951Q1–2024Q4	3.67%	13.08%	0.28	2.42
2020Q1–2024Q4	−1.35%	19.59%	−0.07	−0.15
2024Q1–2024Q4	6.93%	26.22%	0.26	0.26
1951Q1–2024Q4	0.73%	15.14%	0.05	0.41
2020Q1–2024Q4	0.67%	18.24%	0.04	0.08
2024Q1–2024Q4	0.93%	23.01%	0.04	0.04
1951Q1–2024Q4	5.18%	14.63%	0.35	3.04
2020Q1–2024Q4	6.75%	17.41%	0.39	0.87
2024Q1–2024Q4	17.32%	16.15%	1.07	1.07

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.04	−0.18 – 0.26	0.35
2026Q4–2027Q3	0.04	−0.18 – 0.26	0.35
2026Q4–2031Q3	0.04	−0.17 – 0.26	0.35
2026Q4	0.17	−0.14 – 0.46	0.14
2026Q4–2027Q3	0.16	−0.13 – 0.43	0.14
2026Q4–2031Q3	0.16	−0.10 – 0.41	0.12
2026Q4	0.05	−0.17 – 0.28	0.32
2026Q4–2027Q3	0.05	−0.17 – 0.27	0.32
2026Q4–2031Q3	0.05	−0.17 – 0.27	0.33
2026Q4	0.34	0.09 – 0.59	<0.01
2026Q4–2027Q3	0.31	0.08 – 0.55	<0.01
2026Q4–2031Q3	0.28	0.05 – 0.51	0.01