EarningsStreak · Earnings growth · Loh and Warachka (2012)
Earnings surprise streak
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1985Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
6.78%
95% interval 1.90% to 11.45%
Next year
2026Q4–2027Q3
6.83%
95% interval 1.91% to 11.48%
Next five years
2026Q4–2031Q3
6.95%
95% interval 1.77% to 11.68%
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
+4,007% since 1985Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1985Q1–2024Q4 | 8.43% | 9.24% | 0.91 | 5.77 |
| 2020Q1–2024Q4 | 3.77% | 10.77% | 0.35 | 0.78 |
| 2024Q1–2024Q4 | −2.78% | 9.03% | −0.31 | −0.31 |
| 1985Q1–2024Q4 | 11.31% | 7.34% | 1.54 | 9.75 |
| 2020Q1–2024Q4 | 12.43% | 10.05% | 1.24 | 2.77 |
| 2024Q1–2024Q4 | 10.12% | 7.62% | 1.33 | 1.33 |
| 1985Q1–2024Q4 | 10.13% | 12.36% | 0.82 | 5.18 |
| 2020Q1–2024Q4 | 11.78% | 13.78% | 0.85 | 1.91 |
| 2024Q1–2024Q4 | −1.83% | 10.46% | −0.18 | −0.18 |
| 1985Q1–2024Q4 | 14.32% | 9.28% | 1.54 | 9.76 |
| 2020Q1–2024Q4 | 13.31% | 12.22% | 1.09 | 2.44 |
| 2024Q1–2024Q4 | 12.08% | 11.90% | 1.01 | 1.01 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.55 | 0.09 – 0.99 | 0.01 |
| 2026Q4–2027Q3 | 0.54 | 0.08 – 0.99 | 0.01 |
| 2026Q4–2031Q3 | 0.51 | 0.06 – 1.00 | 0.01 |
| 2026Q4 | 1.13 | 0.89 – 1.38 | <0.01 |
| 2026Q4–2027Q3 | 1.00 | 0.77 – 1.24 | <0.01 |
| 2026Q4–2031Q3 | 0.66 | 0.44 – 0.96 | <0.01 |
| 2026Q4 | 0.55 | 0.15 – 0.93 | <0.01 |
| 2026Q4–2027Q3 | 0.53 | 0.14 – 0.91 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.09 – 0.90 | <0.01 |
| 2026Q4 | 1.08 | 0.84 – 1.33 | <0.01 |
| 2026Q4–2027Q3 | 0.97 | 0.73 – 1.22 | <0.01 |
| 2026Q4–2031Q3 | 0.67 | 0.43 – 1.01 | <0.01 |