zerotrade1M · Liquidity · Liu (2006)
Days with zero trades
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
5.51%
95% interval 2.18% to 8.52%
Next year
2026Q4–2027Q3
5.52%
95% interval 2.21% to 8.52%
Next five years
2026Q4–2031Q3
5.56%
95% interval 2.31% to 8.52%
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
+14,585% since 1927Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q1–2024Q4 | 4.32% | 11.77% | 0.37 | 3.64 |
| 2020Q1–2024Q4 | 2.72% | 11.00% | 0.25 | 0.55 |
| 2024Q1–2024Q4 | 8.10% | 8.97% | 0.90 | 0.90 |
| 1927Q1–2024Q4 | 6.84% | 13.27% | 0.52 | 5.10 |
| 2020Q1–2024Q4 | −2.36% | 16.83% | −0.14 | −0.31 |
| 2024Q1–2024Q4 | 5.30% | 4.61% | 1.15 | 1.15 |
| 1927Q1–2024Q4 | 6.17% | 14.59% | 0.42 | 4.19 |
| 2020Q1–2024Q4 | −2.12% | 17.03% | −0.12 | −0.28 |
| 2024Q1–2024Q4 | −11.65% | 13.69% | −0.85 | −0.85 |
| 1927Q1–2024Q4 | 9.39% | 14.84% | 0.63 | 6.26 |
| 2020Q1–2024Q4 | 0.41% | 21.21% | 0.02 | 0.04 |
| 2024Q1–2024Q4 | −1.71% | 7.18% | −0.24 | −0.24 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.34 | 0.13 – 0.53 | <0.01 |
| 2026Q4–2027Q3 | 0.33 | 0.12 – 0.53 | <0.01 |
| 2026Q4–2031Q3 | 0.31 | 0.10 – 0.52 | <0.01 |
| 2026Q4 | 0.35 | 0.08 – 0.62 | <0.01 |
| 2026Q4–2027Q3 | 0.34 | 0.07 – 0.61 | <0.01 |
| 2026Q4–2031Q3 | 0.32 | 0.05 – 0.60 | 0.01 |
| 2026Q4 | 0.38 | 0.15 – 0.58 | <0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.15 – 0.59 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.14 – 0.59 | <0.01 |
| 2026Q4 | 0.53 | 0.26 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.52 | 0.25 – 0.76 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.20 – 0.76 | <0.01 |