IntanSP · Long term reversal · Daniel and Titman (2006)
Intangible return using Sale2P
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
−1.16%
95% interval −7.39% to 4.89%
Next year
2026Q4–2027Q3
−1.09%
95% interval −7.38% to 4.97%
Next five years
2026Q4–2031Q3
−0.82%
95% interval −7.35% to 5.34%
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 1956Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1956Q3–2024Q4 | 0.51% | 20.13% | 0.03 | 0.21 |
| 2020Q1–2024Q4 | 3.23% | 31.75% | 0.10 | 0.23 |
| 2024Q1–2024Q4 | −16.87% | 17.13% | −0.98 | −0.98 |
| 1956Q3–2024Q4 | 3.90% | 18.17% | 0.21 | 1.78 |
| 2020Q1–2024Q4 | 11.00% | 25.14% | 0.44 | 0.98 |
| 2024Q1–2024Q4 | −4.81% | 6.38% | −0.75 | −0.75 |
| 1956Q3–2024Q4 | −0.14% | 24.53% | −0.01 | −0.05 |
| 2020Q1–2024Q4 | 4.60% | 40.36% | 0.11 | 0.25 |
| 2024Q1–2024Q4 | −21.84% | 19.16% | −1.14 | −1.14 |
| 1956Q3–2024Q4 | 5.76% | 21.94% | 0.26 | 2.17 |
| 2020Q1–2024Q4 | 14.16% | 29.99% | 0.47 | 1.06 |
| 2024Q1–2024Q4 | −9.87% | 7.23% | −1.37 | −1.37 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | −0.01 | −0.25 – 0.23 | 0.51 |
| 2026Q4–2027Q3 | −<0.01 | −0.24 – 0.23 | 0.51 |
| 2026Q4–2031Q3 | <0.01 | −0.22 – 0.23 | 0.49 |
| 2026Q4 | 0.18 | −0.06 – 0.41 | 0.07 |
| 2026Q4–2027Q3 | 0.18 | −0.06 – 0.41 | 0.07 |
| 2026Q4–2031Q3 | 0.17 | −0.06 – 0.41 | 0.07 |
| 2026Q4 | −0.05 | −0.30 – 0.20 | 0.64 |
| 2026Q4–2027Q3 | −0.04 | −0.28 – 0.20 | 0.63 |
| 2026Q4–2031Q3 | −0.03 | −0.25 – 0.20 | 0.59 |
| 2026Q4 | 0.21 | −0.05 – 0.45 | 0.05 |
| 2026Q4–2027Q3 | 0.21 | −0.04 – 0.45 | 0.05 |
| 2026Q4–2031Q3 | 0.21 | −0.04 – 0.45 | 0.05 |