FEPS · Profitability · Cen, Wei, and Zhang (2006)
Analyst earnings per share
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
13.56%
95% interval 8.21% to 19.03%
Next year
2026Q4–2027Q3
13.44%
95% interval 8.06% to 18.89%
Next five years
2026Q4–2031Q3
12.96%
95% interval 7.54% to 18.35%
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
+45,910% since 1976Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q2–2024Q4 | 12.28% | 15.50% | 0.79 | 5.53 |
| 2020Q1–2024Q4 | 18.98% | 21.36% | 0.89 | 1.99 |
| 2024Q1–2024Q4 | 25.02% | 15.80% | 1.58 | 1.58 |
| 1976Q2–2024Q4 | 13.73% | 17.84% | 0.77 | 5.37 |
| 2020Q1–2024Q4 | 22.37% | 21.23% | 1.05 | 2.36 |
| 2024Q1–2024Q4 | 19.13% | 11.94% | 1.60 | 1.60 |
| 1976Q2–2024Q4 | 14.35% | 18.29% | 0.78 | 5.48 |
| 2020Q1–2024Q4 | 23.77% | 24.61% | 0.97 | 2.16 |
| 2024Q1–2024Q4 | 44.12% | 20.28% | 2.18 | 2.18 |
| 1976Q2–2024Q4 | 16.79% | 20.79% | 0.81 | 5.64 |
| 2020Q1–2024Q4 | 25.45% | 24.88% | 1.02 | 2.29 |
| 2024Q1–2024Q4 | 25.62% | 13.15% | 1.95 | 1.95 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.73 | 0.44 – 1.01 | 0.00 |
| 2026Q4–2027Q3 | 0.70 | 0.41 – 0.97 | 0.00 |
| 2026Q4–2031Q3 | 0.62 | 0.31 – 0.93 | <0.01 |
| 2026Q4 | 0.71 | 0.40 – 0.99 | <0.01 |
| 2026Q4–2027Q3 | 0.67 | 0.37 – 0.94 | <0.01 |
| 2026Q4–2031Q3 | 0.57 | 0.26 – 0.88 | <0.01 |
| 2026Q4 | 0.74 | 0.45 – 1.05 | <0.01 |
| 2026Q4–2027Q3 | 0.71 | 0.42 – 0.98 | <0.01 |
| 2026Q4–2031Q3 | 0.63 | 0.34 – 0.92 | <0.01 |
| 2026Q4 | 0.73 | 0.45 – 1.01 | <0.01 |
| 2026Q4–2027Q3 | 0.69 | 0.41 – 0.96 | <0.01 |
| 2026Q4–2031Q3 | 0.59 | 0.28 – 0.92 | <0.01 |