NetEquityFinance · External financing · Bradshaw, Richardson, Sloan (2006)
Net equity 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
7.96%
95% interval 4.18% to 11.63%
Next year
2026Q4–2027Q3
7.92%
95% interval 4.11% to 11.63%
Next five years
2026Q4–2031Q3
7.73%
95% interval 3.72% to 11.64%
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
+5,705% since 1972Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q3–2024Q4 | 5.59% | 12.15% | 0.46 | 3.33 |
| 2020Q1–2024Q4 | 10.41% | 14.63% | 0.71 | 1.59 |
| 2024Q1–2024Q4 | 17.24% | 21.52% | 0.80 | 0.80 |
| 1972Q3–2024Q4 | 10.57% | 14.47% | 0.73 | 5.29 |
| 2020Q1–2024Q4 | 19.81% | 20.35% | 0.97 | 2.18 |
| 2024Q1–2024Q4 | 16.97% | 17.34% | 0.98 | 0.98 |
| 1972Q3–2024Q4 | 8.82% | 14.33% | 0.62 | 4.46 |
| 2020Q1–2024Q4 | 9.86% | 15.97% | 0.62 | 1.38 |
| 2024Q1–2024Q4 | 3.66% | 18.18% | 0.20 | 0.20 |
| 1972Q3–2024Q4 | 14.47% | 16.79% | 0.86 | 6.24 |
| 2020Q1–2024Q4 | 24.54% | 25.42% | 0.97 | 2.16 |
| 2024Q1–2024Q4 | 27.12% | 17.89% | 1.52 | 1.52 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.46 | 0.18 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.44 | 0.17 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.14 – 0.65 | <0.01 |
| 2026Q4 | 0.83 | 0.45 – 1.20 | <0.01 |
| 2026Q4–2027Q3 | 0.76 | 0.42 – 1.08 | <0.01 |
| 2026Q4–2031Q3 | 0.59 | 0.30 – 0.86 | <0.01 |
| 2026Q4 | 0.56 | 0.29 – 0.81 | <0.01 |
| 2026Q4–2027Q3 | 0.54 | 0.28 – 0.79 | <0.01 |
| 2026Q4–2031Q3 | 0.49 | 0.21 – 0.77 | <0.01 |
| 2026Q4 | 0.92 | 0.56 – 1.33 | 0.00 |
| 2026Q4–2027Q3 | 0.87 | 0.54 – 1.19 | 0.00 |
| 2026Q4–2031Q3 | 0.72 | 0.43 – 0.99 | 0.00 |