zerotrade6M · Liquidity · Liu (2006)
Days with zero trades
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q4 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.84%
95% interval 1.32% to 7.74%
Next year
2026Q4–2027Q3
4.86%
95% interval 1.39% to 7.73%
Next five years
2026Q4–2031Q3
4.92%
95% interval 1.58% to 7.74%
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
+9,888% since 1926Q4 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q4–2024Q4 | 4.27% | 10.70% | 0.40 | 3.95 |
| 2020Q1–2024Q4 | −0.90% | 16.23% | −0.06 | −0.12 |
| 2024Q1–2024Q4 | 1.63% | 11.11% | 0.15 | 0.15 |
| 1926Q4–2024Q4 | 6.59% | 13.33% | 0.49 | 4.90 |
| 2020Q1–2024Q4 | −5.68% | 20.71% | −0.27 | −0.61 |
| 2024Q1–2024Q4 | −7.54% | 10.34% | −0.73 | −0.73 |
| 1926Q4–2024Q4 | 5.61% | 13.45% | 0.42 | 4.13 |
| 2020Q1–2024Q4 | −3.26% | 19.49% | −0.17 | −0.37 |
| 2024Q1–2024Q4 | −12.11% | 16.39% | −0.74 | −0.74 |
| 1926Q4–2024Q4 | 9.69% | 14.95% | 0.65 | 6.43 |
| 2020Q1–2024Q4 | −1.19% | 24.51% | −0.05 | −0.11 |
| 2024Q1–2024Q4 | −2.46% | 15.83% | −0.16 | −0.16 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.34 | 0.11 – 0.56 | <0.01 |
| 2026Q4–2027Q3 | 0.34 | 0.11 – 0.56 | <0.01 |
| 2026Q4–2031Q3 | 0.33 | 0.09 – 0.56 | <0.01 |
| 2026Q4 | 0.22 | −0.12 – 0.56 | 0.11 |
| 2026Q4–2027Q3 | 0.22 | −0.10 – 0.56 | 0.10 |
| 2026Q4–2031Q3 | 0.23 | −0.06 – 0.56 | 0.07 |
| 2026Q4 | 0.36 | 0.10 – 0.58 | 0.01 |
| 2026Q4–2027Q3 | 0.36 | 0.10 – 0.58 | 0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.10 – 0.58 | <0.01 |
| 2026Q4 | 0.50 | 0.17 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.16 – 0.76 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.14 – 0.76 | <0.01 |