IntanBM · Long term reversal · Daniel and Titman (2006)
Intangible return using BM
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1966Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
−2.82%
95% interval −9.30% to 3.77%
Next year
2026Q4–2027Q3
−2.72%
95% interval −9.28% to 3.87%
Next five years
2026Q4–2031Q3
−2.32%
95% interval −9.19% to 4.27%
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
−87% since 1966Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1966Q3–2024Q4 | 0.58% | 17.36% | 0.03 | 0.25 |
| 2020Q1–2024Q4 | −6.91% | 20.30% | −0.34 | −0.76 |
| 2024Q1–2024Q4 | −21.71% | 10.08% | −2.15 | −2.15 |
| 1966Q3–2024Q4 | 3.38% | 14.01% | 0.24 | 1.85 |
| 2020Q1–2024Q4 | 6.01% | 19.04% | 0.32 | 0.71 |
| 2024Q1–2024Q4 | −15.92% | 11.29% | −1.41 | −1.41 |
| 1966Q3–2024Q4 | −0.96% | 23.25% | −0.04 | −0.32 |
| 2020Q1–2024Q4 | −6.84% | 25.85% | −0.26 | −0.59 |
| 2024Q1–2024Q4 | −22.70% | 15.94% | −1.42 | −1.42 |
| 1966Q3–2024Q4 | 3.24% | 17.39% | 0.19 | 1.43 |
| 2020Q1–2024Q4 | 6.21% | 22.27% | 0.28 | 0.62 |
| 2024Q1–2024Q4 | −22.21% | 10.84% | −2.05 | −2.05 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | −0.06 | −0.38 – 0.23 | 0.64 |
| 2026Q4–2027Q3 | −0.05 | −0.35 – 0.23 | 0.63 |
| 2026Q4–2031Q3 | −0.03 | −0.28 – 0.24 | 0.59 |
| 2026Q4 | 0.20 | −0.05 – 0.45 | 0.06 |
| 2026Q4–2027Q3 | 0.20 | −0.05 – 0.45 | 0.06 |
| 2026Q4–2031Q3 | 0.19 | −0.05 – 0.44 | 0.06 |
| 2026Q4 | −0.12 | −0.40 – 0.16 | 0.79 |
| 2026Q4–2027Q3 | −0.11 | −0.38 – 0.16 | 0.79 |
| 2026Q4–2031Q3 | −0.08 | −0.32 – 0.17 | 0.75 |
| 2026Q4 | 0.15 | −0.11 – 0.40 | 0.12 |
| 2026Q4–2027Q3 | 0.15 | −0.11 – 0.40 | 0.12 |
| 2026Q4–2031Q3 | 0.15 | −0.10 – 0.39 | 0.12 |