EarningsSurprise · Earnings growth · Foster, Olsen and Shevlin (1984)
Earnings Surprise
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.65%
95% interval 0.51% to 4.80%
Next year
2026Q4–2027Q3
2.63%
95% interval 0.44% to 4.83%
Next five years
2026Q4–2031Q3
2.52%
95% interval 0.12% to 4.95%
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
+295% since 1963Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1963Q3–2024Q4 | 2.48% | 7.76% | 0.32 | 2.50 |
| 2020Q1–2024Q4 | 3.93% | 11.87% | 0.33 | 0.74 |
| 2024Q1–2024Q4 | 9.45% | 9.67% | 0.98 | 0.98 |
| 1963Q3–2024Q4 | 7.50% | 5.81% | 1.29 | 10.11 |
| 2020Q1–2024Q4 | 5.94% | 7.21% | 0.82 | 1.84 |
| 2024Q1–2024Q4 | 10.01% | 9.50% | 1.05 | 1.05 |
| 1963Q3–2024Q4 | 2.63% | 8.96% | 0.29 | 2.30 |
| 2020Q1–2024Q4 | 4.50% | 12.43% | 0.36 | 0.81 |
| 2024Q1–2024Q4 | 16.95% | 20.95% | 0.81 | 0.81 |
| 1963Q3–2024Q4 | 8.61% | 7.42% | 1.16 | 9.10 |
| 2020Q1–2024Q4 | 5.61% | 9.26% | 0.61 | 1.35 |
| 2024Q1–2024Q4 | 14.34% | 12.12% | 1.18 | 1.18 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.28 | 0.05 – 0.52 | 0.01 |
| 2026Q4–2027Q3 | 0.28 | 0.05 – 0.52 | 0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.04 – 0.53 | 0.01 |
| 2026Q4 | 0.79 | 0.57 – 1.04 | <0.01 |
| 2026Q4–2027Q3 | 0.71 | 0.50 – 0.96 | <0.01 |
| 2026Q4–2031Q3 | 0.51 | 0.31 – 0.78 | <0.01 |
| 2026Q4 | 0.30 | 0.06 – 0.54 | 0.01 |
| 2026Q4–2027Q3 | 0.28 | 0.05 – 0.51 | 0.01 |
| 2026Q4–2031Q3 | 0.22 | 0.01 – 0.44 | 0.02 |
| 2026Q4 | 0.62 | 0.39 – 0.86 | <0.01 |
| 2026Q4–2027Q3 | 0.56 | 0.35 – 0.79 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.21 – 0.63 | <0.01 |