EarningsForecastDisparity · Earnings forecast · Da and Warachka (2011)
Long-vs-short EPS forecasts
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1982Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
9.74%
95% interval 3.47% to 16.37%
Next year
2026Q4–2027Q3
9.68%
95% interval 3.45% to 16.25%
Next five years
2026Q4–2031Q3
9.40%
95% interval 3.29% to 15.77%
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
+2,881% since 1982Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1982Q1–2024Q4 | 3.97% | 15.13% | 0.26 | 1.72 |
| 2020Q1–2024Q4 | 3.12% | 16.96% | 0.18 | 0.41 |
| 2024Q1–2024Q4 | 7.35% | 21.96% | 0.33 | 0.33 |
| 1982Q1–2024Q4 | 6.05% | 10.92% | 0.55 | 3.63 |
| 2020Q1–2024Q4 | −2.89% | 11.78% | −0.25 | −0.55 |
| 2024Q1–2024Q4 | 10.53% | 8.12% | 1.30 | 1.30 |
| 1982Q1–2024Q4 | 10.01% | 20.41% | 0.49 | 3.22 |
| 2020Q1–2024Q4 | 22.75% | 26.18% | 0.87 | 1.94 |
| 2024Q1–2024Q4 | 38.76% | 23.92% | 1.62 | 1.62 |
| 1982Q1–2024Q4 | 10.39% | 14.49% | 0.72 | 4.70 |
| 2020Q1–2024Q4 | 5.75% | 15.02% | 0.38 | 0.86 |
| 2024Q1–2024Q4 | 21.01% | 15.61% | 1.35 | 1.35 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.23 | −0.05 – 0.50 | 0.05 |
| 2026Q4–2027Q3 | 0.23 | −0.05 – 0.50 | 0.05 |
| 2026Q4–2031Q3 | 0.22 | −0.05 – 0.51 | 0.06 |
| 2026Q4 | 0.33 | <0.01 – 0.68 | 0.02 |
| 2026Q4–2027Q3 | 0.32 | −<0.01 – 0.68 | 0.03 |
| 2026Q4–2031Q3 | 0.30 | −0.02 – 0.67 | 0.04 |
| 2026Q4 | 0.48 | 0.17 – 0.81 | <0.01 |
| 2026Q4–2027Q3 | 0.47 | 0.17 – 0.77 | <0.01 |
| 2026Q4–2031Q3 | 0.43 | 0.16 – 0.70 | <0.01 |
| 2026Q4 | 0.57 | 0.29 – 0.87 | <0.01 |
| 2026Q4–2027Q3 | 0.56 | 0.26 – 0.86 | <0.01 |
| 2026Q4–2031Q3 | 0.52 | 0.18 – 0.86 | <0.01 |