zerotrade12M · Liquidity · Liu (2006)
Days with zero trades
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
5.10%
95% interval 1.50% to 8.08%
Next year
2026Q4–2027Q3
5.12%
95% interval 1.59% to 8.09%
Next five years
2026Q4–2031Q3
5.21%
95% interval 1.81% to 8.12%
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
+13,487% since 1927Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q2–2024Q4 | 4.02% | 10.58% | 0.38 | 3.75 |
| 2020Q1–2024Q4 | −1.59% | 17.28% | −0.09 | −0.21 |
| 2024Q1–2024Q4 | 4.39% | 11.49% | 0.38 | 0.38 |
| 1927Q2–2024Q4 | 6.38% | 13.73% | 0.46 | 4.59 |
| 2020Q1–2024Q4 | −5.71% | 19.74% | −0.29 | −0.65 |
| 2024Q1–2024Q4 | −4.98% | 9.15% | −0.54 | −0.54 |
| 1927Q2–2024Q4 | 5.98% | 13.61% | 0.44 | 4.34 |
| 2020Q1–2024Q4 | −2.75% | 19.52% | −0.14 | −0.32 |
| 2024Q1–2024Q4 | −10.74% | 14.34% | −0.75 | −0.75 |
| 1927Q2–2024Q4 | 9.13% | 15.04% | 0.61 | 6.00 |
| 2020Q1–2024Q4 | −2.15% | 24.33% | −0.09 | −0.20 |
| 2024Q1–2024Q4 | 4.10% | 15.33% | 0.27 | 0.27 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.32 | 0.08 – 0.53 | 0.01 |
| 2026Q4–2027Q3 | 0.32 | 0.08 – 0.53 | 0.01 |
| 2026Q4–2031Q3 | 0.31 | 0.07 – 0.53 | 0.01 |
| 2026Q4 | 0.24 | −0.09 – 0.55 | 0.08 |
| 2026Q4–2027Q3 | 0.24 | −0.08 – 0.55 | 0.07 |
| 2026Q4–2031Q3 | 0.24 | −0.04 – 0.55 | 0.05 |
| 2026Q4 | 0.37 | 0.11 – 0.60 | 0.01 |
| 2026Q4–2027Q3 | 0.37 | 0.11 – 0.60 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.11 – 0.60 | <0.01 |
| 2026Q4 | 0.49 | 0.20 – 0.73 | <0.01 |
| 2026Q4–2027Q3 | 0.48 | 0.19 – 0.73 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.15 – 0.73 | <0.01 |