IntanCFP · Long term reversal · Daniel and Titman (2006)
Intangible return using CFtoP
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1956Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
0.37%
95% interval −4.92% to 5.55%
Next year
2026Q4–2027Q3
0.40%
95% interval −4.94% to 5.58%
Next five years
2026Q4–2031Q3
0.53%
95% interval −5.00% to 5.78%
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
−50% since 1956Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1956Q1–2024Q4 | 2.41% | 17.07% | 0.14 | 1.17 |
| 2020Q1–2024Q4 | −6.60% | 24.38% | −0.27 | −0.61 |
| 2024Q1–2024Q4 | −15.68% | 11.92% | −1.32 | −1.32 |
| 1956Q1–2024Q4 | 3.84% | 12.95% | 0.30 | 2.46 |
| 2020Q1–2024Q4 | 7.49% | 19.19% | 0.39 | 0.87 |
| 2024Q1–2024Q4 | −10.39% | 11.30% | −0.92 | −0.92 |
| 1956Q1–2024Q4 | 1.24% | 21.12% | 0.06 | 0.49 |
| 2020Q1–2024Q4 | −0.80% | 34.40% | −0.02 | −0.05 |
| 2024Q1–2024Q4 | −11.46% | 15.24% | −0.75 | −0.75 |
| 1956Q1–2024Q4 | 4.19% | 15.64% | 0.27 | 2.23 |
| 2020Q1–2024Q4 | 7.65% | 23.82% | 0.32 | 0.72 |
| 2024Q1–2024Q4 | −13.66% | 12.96% | −1.05 | −1.05 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.08 | −0.22 – 0.34 | 0.27 |
| 2026Q4–2027Q3 | 0.08 | −0.20 – 0.34 | 0.27 |
| 2026Q4–2031Q3 | 0.09 | −0.17 – 0.34 | 0.24 |
| 2026Q4 | 0.27 | 0.04 – 0.49 | 0.01 |
| 2026Q4–2027Q3 | 0.27 | 0.04 – 0.49 | 0.01 |
| 2026Q4–2031Q3 | 0.26 | 0.04 – 0.49 | 0.01 |
| 2026Q4 | 0.02 | −0.23 – 0.26 | 0.44 |
| 2026Q4–2027Q3 | 0.02 | −0.23 – 0.26 | 0.44 |
| 2026Q4–2031Q3 | 0.03 | −0.20 – 0.26 | 0.41 |
| 2026Q4 | 0.24 | 0.01 – 0.46 | 0.02 |
| 2026Q4–2027Q3 | 0.24 | 0.01 – 0.46 | 0.02 |
| 2026Q4–2031Q3 | 0.24 | 0.01 – 0.46 | 0.02 |