DivYieldST · Valuation · Litzenberger and Ramaswamy (1979)
Predicted div yield next month
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1926Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.46%
95% interval 1.18% to 1.75%
Next year
1.47%
95% interval 1.13% to 1.81%
Next five years
1.49%
95% interval 0.96% to 1.98%
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+154,060% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 7.80% | 6.74% | 1.16 | 11.45 |
| 2020Q1–2024Q4 | 4.47% | 6.59% | 0.68 | 1.52 |
| 2024Q1–2024Q4 | 4.53% | 5.79% | 0.78 | 0.78 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.443 | 0.355 – 0.527 | 0.00 |
| Next year | 0.441 | 0.338 – 0.541 | 0.00 |
| Next five years | 0.441 | 0.285 – 0.588 | 0.00 |