ChangeInRecommendation · Recommendation · Jegadeesh et al. (2004)
Change in recommendation
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1994Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
1.34%
95% interval −1.84% to 4.39%
Next year
2026Q4–2027Q3
1.31%
95% interval −1.89% to 4.41%
Next five years
2026Q4–2031Q3
1.21%
95% interval −2.13% to 4.52%
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
+29% since 1994Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1994Q1–2024Q4 | 1.65% | 7.86% | 0.21 | 1.17 |
| 2020Q1–2024Q4 | 4.84% | 9.68% | 0.50 | 1.12 |
| 2024Q1–2024Q4 | −1.65% | 14.22% | −0.12 | −0.12 |
| 1994Q1–2024Q4 | 6.48% | 5.07% | 1.28 | 7.11 |
| 2020Q1–2024Q4 | 3.95% | 6.10% | 0.65 | 1.45 |
| 2024Q1–2024Q4 | 4.85% | 6.53% | 0.74 | 0.74 |
| 1994Q1–2024Q4 | 1.28% | 9.72% | 0.13 | 0.74 |
| 2020Q1–2024Q4 | 6.85% | 11.84% | 0.58 | 1.29 |
| 2024Q1–2024Q4 | 5.42% | 16.57% | 0.33 | 0.33 |
| 1994Q1–2024Q4 | 7.56% | 6.38% | 1.18 | 6.59 |
| 2020Q1–2024Q4 | 4.39% | 7.19% | 0.61 | 1.36 |
| 2024Q1–2024Q4 | 8.87% | 8.07% | 1.10 | 1.10 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.14 | −0.17 – 0.47 | 0.19 |
| 2026Q4–2027Q3 | 0.14 | −0.17 – 0.46 | 0.19 |
| 2026Q4–2031Q3 | 0.13 | −0.16 – 0.44 | 0.20 |
| 2026Q4 | 0.61 | 0.35 – 0.90 | <0.01 |
| 2026Q4–2027Q3 | 0.53 | 0.29 – 0.80 | <0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.14 – 0.61 | <0.01 |
| 2026Q4 | 0.14 | −0.19 – 0.45 | 0.20 |
| 2026Q4–2027Q3 | 0.13 | −0.19 – 0.43 | 0.21 |
| 2026Q4–2031Q3 | 0.11 | −0.19 – 0.40 | 0.23 |
| 2026Q4 | 0.59 | 0.35 – 0.86 | <0.01 |
| 2026Q4–2027Q3 | 0.52 | 0.29 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.14 – 0.59 | <0.01 |