REV6 · Earnings forecast · Chan, Jegadeesh and Lakonishok (1996)
Earnings forecast revisions
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q4 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
5.83%
95% interval 1.15% to 10.40%
Next year
2026Q4–2027Q3
5.82%
95% interval 1.11% to 10.43%
Next five years
2026Q4–2031Q3
5.79%
95% interval 0.94% to 10.53%
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
+1,088% since 1976Q4 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q4–2024Q4 | 5.50% | 13.95% | 0.39 | 2.74 |
| 2020Q1–2024Q4 | 23.14% | 23.25% | 1.00 | 2.23 |
| 2024Q1–2024Q4 | 0.04% | 28.39% | <0.01 | <0.01 |
| 1976Q4–2024Q4 | 10.45% | 9.98% | 1.05 | 7.28 |
| 2020Q1–2024Q4 | 11.00% | 14.53% | 0.76 | 1.69 |
| 2024Q1–2024Q4 | 8.03% | 17.97% | 0.45 | 0.45 |
| 1976Q4–2024Q4 | 6.65% | 17.50% | 0.38 | 2.64 |
| 2020Q1–2024Q4 | 12.32% | 29.08% | 0.42 | 0.95 |
| 2024Q1–2024Q4 | −3.81% | 34.14% | −0.11 | −0.11 |
| 1976Q4–2024Q4 | 13.74% | 12.54% | 1.10 | 7.61 |
| 2020Q1–2024Q4 | 11.60% | 18.78% | 0.62 | 1.38 |
| 2024Q1–2024Q4 | 8.56% | 26.77% | 0.32 | 0.32 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.41 | 0.10 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.10 – 0.68 | <0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.08 – 0.61 | 0.01 |
| 2026Q4 | 0.80 | 0.51 – 1.12 | <0.01 |
| 2026Q4–2027Q3 | 0.77 | 0.46 – 1.11 | <0.01 |
| 2026Q4–2031Q3 | 0.68 | 0.30 – 1.11 | <0.01 |
| 2026Q4 | 0.33 | 0.07 – 0.60 | 0.01 |
| 2026Q4–2027Q3 | 0.33 | 0.06 – 0.59 | 0.01 |
| 2026Q4–2031Q3 | 0.32 | 0.05 – 0.59 | 0.01 |
| 2026Q4 | 0.84 | 0.52 – 1.18 | <0.01 |
| 2026Q4–2027Q3 | 0.82 | 0.47 – 1.19 | <0.01 |
| 2026Q4–2031Q3 | 0.74 | 0.31 – 1.19 | <0.01 |