IO_ShortInterest · Ownership · Asquith Pathak and Ritter (2005)

Inst own among high short interest

Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1980Q1 to 2024Q4. De-levered 0.52× to 40% annualized volatility.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

31.14%

95% interval 12.67% to 48.88%

Next year

2026Q4–2027Q3

30.52%

95% interval 12.56% to 48.13%

Next five years

2026Q4–2031Q3

27.82%

95% interval 11.75% to 44.73%

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.

Some sorts are greyed out for this signal: the universe is small enough that their buckets hold as few as 2 names per leg, below the 12-name floor, which is a pair trade rather than a portfolio. The paper's own portfolio is shown instead.

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+169,225% since 1980Q1 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1979Q4–2024Q4	17.93%	40.00%	0.45	3.02
2020Q1–2024Q4	26.63%	77.58%	0.34	0.77
2024Q1–2024Q4	25.75%	65.86%	0.39	0.39
1979Q4–2024Q4	26.12%	40.00%	0.65	4.39
2020Q1–2024Q4	77.27%	95.83%	0.81	1.80
2024Q1–2024Q4	92.33%	86.67%	1.07	1.07
1979Q4–2024Q4	20.32%	40.00%	0.51	3.42
2020Q1–2024Q4	32.16%	76.45%	0.42	0.94
2024Q1–2024Q4	88.43%	92.93%	0.95	0.95
1979Q4–2024Q4	22.23%	40.00%	0.56	3.74
2020Q1–2024Q4	39.14%	76.06%	0.51	1.15
2024Q1–2024Q4	102.90%	113.40%	0.91	0.91
1980Q1–2024Q4	22.65%	40.00%	0.57	3.80
2020Q1–2024Q4	79.20%	100.27%	0.79	1.77
2024Q1–2024Q4	59.57%	66.31%	0.90	0.90

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.47	0.16 – 0.81	<0.01
2026Q4–2027Q3	0.45	0.15 – 0.75	<0.01
2026Q4–2031Q3	0.39	0.12 – 0.65	<0.01
2026Q4	0.86	0.39 – 1.33	0.00
2026Q4–2027Q3	0.80	0.39 – 1.18	0.00
2026Q4–2031Q3	0.62	0.33 – 0.87	<0.01
2026Q4	0.61	0.22 – 1.01	<0.01
2026Q4–2027Q3	0.54	0.19 – 0.87	<0.01
2026Q4–2031Q3	0.39	0.11 – 0.65	<0.01
2026Q4	0.64	0.28 – 1.01	<0.01
2026Q4–2027Q3	0.58	0.26 – 0.89	<0.01
2026Q4–2031Q3	0.44	0.18 – 0.70	<0.01
2026Q4	0.78	0.32 – 1.25	<0.01
2026Q4–2027Q3	0.73	0.31 – 1.12	<0.01
2026Q4–2031Q3	0.56	0.26 – 0.82	<0.01