RevenueSurprise · Sales growth · Jegadeesh and Livnat (2006)
Revenue Surprise
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.38%
95% interval 0.04% to 4.70%
Next year
2026Q4–2027Q3
2.37%
95% interval <0.01% to 4.72%
Next five years
2026Q4–2031Q3
2.33%
95% interval −0.17% to 4.79%
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
+248% since 1963Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1963Q3–2024Q4 | 1.56% | 7.83% | 0.20 | 1.56 |
| 2020Q1–2024Q4 | 3.40% | 12.41% | 0.27 | 0.61 |
| 2024Q1–2024Q4 | 17.20% | 15.82% | 1.09 | 1.09 |
| 1963Q3–2024Q4 | 7.91% | 6.61% | 1.20 | 9.38 |
| 2020Q1–2024Q4 | 5.27% | 9.30% | 0.57 | 1.27 |
| 2024Q1–2024Q4 | 7.77% | 3.66% | 2.12 | 2.12 |
| 1963Q3–2024Q4 | 2.50% | 9.78% | 0.26 | 2.01 |
| 2020Q1–2024Q4 | 0.30% | 14.73% | 0.02 | 0.05 |
| 2024Q1–2024Q4 | 16.45% | 18.96% | 0.87 | 0.87 |
| 1963Q3–2024Q4 | 9.50% | 8.09% | 1.17 | 9.21 |
| 2020Q1–2024Q4 | 0.15% | 12.49% | 0.01 | 0.03 |
| 2024Q1–2024Q4 | 8.46% | 1.83% | 4.63 | 4.63 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.20 | −0.04 – 0.45 | 0.05 |
| 2026Q4–2027Q3 | 0.20 | −0.04 – 0.44 | 0.05 |
| 2026Q4–2031Q3 | 0.19 | −0.05 – 0.42 | 0.06 |
| 2026Q4 | 1.02 | 0.69 – 1.30 | <0.01 |
| 2026Q4–2027Q3 | 1.00 | 0.65 – 1.31 | <0.01 |
| 2026Q4–2031Q3 | 0.96 | 0.48 – 1.33 | <0.01 |
| 2026Q4 | 0.24 | <0.01 – 0.48 | 0.02 |
| 2026Q4–2027Q3 | 0.24 | <0.01 – 0.47 | 0.02 |
| 2026Q4–2031Q3 | 0.22 | −0.01 – 0.46 | 0.03 |
| 2026Q4 | 0.75 | 0.38 – 1.20 | <0.01 |
| 2026Q4–2027Q3 | 0.72 | 0.34 – 1.20 | <0.01 |
| 2026Q4–2031Q3 | 0.64 | 0.24 – 1.19 | <0.01 |