Activism2 · Ownership · Cremers and Nair (2005)

Active shareholders

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1990Q4 to 2006Q4.

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

Next quarter

2026Q4

7.54%

95% interval −3.77% to 17.85%

Next year

2026Q4–2027Q3

7.53%

95% interval −3.82% to 17.85%

Next five years

2026Q4–2031Q3

7.47%

95% interval −3.99% to 17.86%

Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2006Q4. The 79 quarters between then and 2026Q4 are unobserved and are integrated out under the model.

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+521% since 1990Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1990Q4–2006Q4	9.34%	19.30%	0.48	1.95
2002Q1–2006Q4	8.02%	13.05%	0.61	1.37
2006Q1–2006Q4	−5.48%	9.59%	−0.57	−0.57
1990Q4–2006Q4	9.34%	19.30%	0.48	1.95
2002Q1–2006Q4	8.02%	13.05%	0.61	1.37
2006Q1–2006Q4	−5.48%	9.59%	−0.57	−0.57
1990Q4–2006Q4	13.30%	20.86%	0.64	2.57
2002Q1–2006Q4	16.59%	13.92%	1.19	2.67
2006Q1–2006Q4	1.37%	12.42%	0.11	0.11
1990Q4–2006Q4	13.30%	20.86%	0.64	2.57
2002Q1–2006Q4	16.59%	13.92%	1.19	2.67
2006Q1–2006Q4	1.37%	12.42%	0.11	0.11
1990Q4–2006Q4	7.10%	16.98%	0.42	1.69
2002Q1–2006Q4	10.02%	11.23%	0.89	2.00
2006Q1–2006Q4	−3.71%	11.92%	−0.31	−0.31

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.29	−0.23 – 0.76	0.12
2026Q4–2027Q3	0.28	−0.21 – 0.73	0.12
2026Q4–2031Q3	0.26	−0.17 – 0.70	0.13
2026Q4	0.29	−0.23 – 0.76	0.12
2026Q4–2027Q3	0.28	−0.21 – 0.73	0.12
2026Q4–2031Q3	0.26	−0.17 – 0.70	0.13
2026Q4	0.36	−0.18 – 0.86	0.09
2026Q4–2027Q3	0.34	−0.16 – 0.82	0.09
2026Q4–2031Q3	0.30	−0.13 – 0.78	0.09
2026Q4	0.36	−0.18 – 0.85	0.09
2026Q4–2027Q3	0.34	−0.16 – 0.82	0.09
2026Q4–2031Q3	0.30	−0.13 – 0.78	0.09
2026Q4	0.26	−0.24 – 0.73	0.14
2026Q4–2027Q3	0.25	−0.22 – 0.70	0.14
2026Q4–2031Q3	0.23	−0.18 – 0.66	0.15