IntanEP · Long term reversal · Daniel and Titman (2006)

Intangible return using EP

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1956Q3 to 2024Q4.

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

Next quarter

2026Q4

1.51%

95% interval −3.13% to 6.09%

Next year

2026Q4–2027Q3

1.52%

95% interval −3.16% to 6.11%

Next five years

2026Q4–2031Q3

1.56%

95% interval −3.27% to 6.23%

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

−2.2% since 1956Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1956Q3–2024Q4	2.77%	16.11%	0.17	1.42
2020Q1–2024Q4	−0.97%	25.74%	−0.04	−0.08
2024Q1–2024Q4	−6.45%	10.70%	−0.60	−0.60
1956Q3–2024Q4	4.55%	11.05%	0.41	3.41
2020Q1–2024Q4	7.75%	19.20%	0.40	0.90
2024Q1–2024Q4	−1.10%	11.14%	−0.10	−0.10
1956Q3–2024Q4	1.93%	19.75%	0.10	0.81
2020Q1–2024Q4	−0.16%	30.59%	−0.01	−0.01
2024Q1–2024Q4	−5.36%	19.07%	−0.28	−0.28
1956Q3–2024Q4	5.28%	13.09%	0.40	3.34
2020Q1–2024Q4	10.89%	22.38%	0.49	1.09
2024Q1–2024Q4	0.47%	13.66%	0.03	0.03

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.14	−0.10 – 0.37	0.13
2026Q4–2027Q3	0.14	−0.10 – 0.37	0.13
2026Q4–2031Q3	0.14	−0.10 – 0.37	0.12
2026Q4	0.38	0.15 – 0.61	<0.01
2026Q4–2027Q3	0.38	0.15 – 0.61	<0.01
2026Q4–2031Q3	0.37	0.14 – 0.61	<0.01
2026Q4	0.08	−0.16 – 0.31	0.26
2026Q4–2027Q3	0.08	−0.16 – 0.31	0.26
2026Q4–2031Q3	0.08	−0.15 – 0.31	0.25
2026Q4	0.38	0.15 – 0.61	<0.01
2026Q4–2027Q3	0.38	0.15 – 0.61	<0.01
2026Q4–2031Q3	0.37	0.14 – 0.60	<0.01