Investment · Investment · Titman, Wei and Xie (2004)
Investment to revenue
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1953Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.55%
95% interval 1.01% to 6.11%
Next year
2026Q4–2027Q3
3.55%
95% interval 1.00% to 6.11%
Next five years
2026Q4–2031Q3
3.54%
95% interval 0.95% to 6.11%
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
+864% since 1953Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1953Q3–2024Q4 | 1.10% | 9.28% | 0.12 | 1.00 |
| 2020Q1–2024Q4 | 3.14% | 16.56% | 0.19 | 0.42 |
| 2024Q1–2024Q4 | 3.34% | 13.40% | 0.25 | 0.25 |
| 1953Q3–2024Q4 | 1.10% | 9.28% | 0.12 | 1.00 |
| 2020Q1–2024Q4 | 3.14% | 16.56% | 0.19 | 0.42 |
| 2024Q1–2024Q4 | 3.34% | 13.40% | 0.25 | 0.25 |
| 1953Q3–2024Q4 | 3.83% | 11.50% | 0.33 | 2.82 |
| 2020Q1–2024Q4 | 5.49% | 23.26% | 0.24 | 0.53 |
| 2024Q1–2024Q4 | 18.41% | 9.83% | 1.87 | 1.87 |
| 1953Q3–2024Q4 | 3.83% | 11.50% | 0.33 | 2.82 |
| 2020Q1–2024Q4 | 5.49% | 23.26% | 0.24 | 0.53 |
| 2024Q1–2024Q4 | 18.41% | 9.83% | 1.87 | 1.87 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.11 | −0.11 – 0.34 | 0.16 |
| 2026Q4–2027Q3 | 0.11 | −0.11 – 0.33 | 0.17 |
| 2026Q4–2031Q3 | 0.11 | −0.12 – 0.33 | 0.17 |
| 2026Q4 | 0.11 | −0.11 – 0.33 | 0.16 |
| 2026Q4–2027Q3 | 0.11 | −0.11 – 0.33 | 0.16 |
| 2026Q4–2031Q3 | 0.11 | −0.11 – 0.32 | 0.17 |
| 2026Q4 | 0.31 | 0.09 – 0.53 | <0.01 |
| 2026Q4–2027Q3 | 0.31 | 0.09 – 0.53 | <0.01 |
| 2026Q4–2031Q3 | 0.30 | 0.08 – 0.53 | <0.01 |
| 2026Q4 | 0.31 | 0.09 – 0.53 | <0.01 |
| 2026Q4–2027Q3 | 0.31 | 0.09 – 0.53 | <0.01 |
| 2026Q4–2031Q3 | 0.30 | 0.08 – 0.53 | <0.01 |