NetDebtFinance · External financing · Bradshaw, Richardson, Sloan (2006)
Net debt financing
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
−4.03%
95% interval −10.20% to 2.93%
Next year
2026Q4–2027Q3
−3.71%
95% interval −9.88% to 3.05%
Next five years
2026Q4–2031Q3
−2.52%
95% interval −8.62% to 3.39%
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
+119% since 1972Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q3–2024Q4 | 2.69% | 6.73% | 0.40 | 2.89 |
| 2020Q1–2024Q4 | −0.61% | 9.79% | −0.06 | −0.14 |
| 2024Q1–2024Q4 | −12.53% | 13.82% | −0.91 | −0.91 |
| 1972Q3–2024Q4 | 6.46% | 4.94% | 1.31 | 9.48 |
| 2020Q1–2024Q4 | 5.55% | 6.71% | 0.83 | 1.85 |
| 2024Q1–2024Q4 | 8.83% | 4.21% | 2.10 | 2.10 |
| 1972Q3–2024Q4 | 2.10% | 10.90% | 0.19 | 1.40 |
| 2020Q1–2024Q4 | −8.61% | 19.13% | −0.45 | −1.01 |
| 2024Q1–2024Q4 | −42.42% | 29.14% | −1.46 | −1.46 |
| 1972Q3–2024Q4 | 8.29% | 7.25% | 1.14 | 8.28 |
| 2020Q1–2024Q4 | 6.78% | 9.63% | 0.70 | 1.57 |
| 2024Q1–2024Q4 | 16.72% | 3.70% | 4.53 | 4.53 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.13 | −0.38 – 0.55 | 0.29 |
| 2026Q4–2027Q3 | 0.14 | −0.33 – 0.55 | 0.28 |
| 2026Q4–2031Q3 | 0.17 | −0.21 – 0.54 | 0.22 |
| 2026Q4 | 0.94 | 0.69 – 1.23 | <0.01 |
| 2026Q4–2027Q3 | 0.85 | 0.61 – 1.14 | <0.01 |
| 2026Q4–2031Q3 | 0.60 | 0.36 – 0.98 | <0.01 |
| 2026Q4 | −0.37 | −0.96 – 0.27 | 0.84 |
| 2026Q4–2027Q3 | −0.31 | −0.82 – 0.27 | 0.82 |
| 2026Q4–2031Q3 | −0.15 | −0.50 – 0.28 | 0.75 |
| 2026Q4 | 0.91 | 0.65 – 1.19 | 0.00 |
| 2026Q4–2027Q3 | 0.81 | 0.57 – 1.06 | 0.00 |
| 2026Q4–2031Q3 | 0.55 | 0.34 – 0.85 | <0.01 |