ShareIss1Y · External financing · Pontiff and Woodgate (2008)
Share issuance (1 year)
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
7.15%
95% interval 3.81% to 9.83%
Next year
2026Q4–2027Q3
7.17%
95% interval 3.88% to 9.83%
Next five years
2026Q4–2031Q3
7.17%
95% interval 3.99% to 9.83%
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
+124,414% since 1927Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q3–2024Q4 | 4.30% | 8.13% | 0.53 | 5.23 |
| 2020Q1–2024Q4 | 6.08% | 12.29% | 0.49 | 1.11 |
| 2024Q1–2024Q4 | −2.70% | 10.51% | −0.26 | −0.26 |
| 1927Q3–2024Q4 | 7.88% | 11.71% | 0.67 | 6.64 |
| 2020Q1–2024Q4 | 20.78% | 24.70% | 0.84 | 1.88 |
| 2024Q1–2024Q4 | 5.34% | 23.25% | 0.23 | 0.23 |
| 1927Q3–2024Q4 | 7.97% | 11.24% | 0.71 | 7.00 |
| 2020Q1–2024Q4 | 13.76% | 16.13% | 0.85 | 1.91 |
| 2024Q1–2024Q4 | −7.45% | 9.55% | −0.78 | −0.78 |
| 1927Q3–2024Q4 | 11.14% | 13.10% | 0.85 | 8.39 |
| 2020Q1–2024Q4 | 29.49% | 29.57% | 1.00 | 2.23 |
| 2024Q1–2024Q4 | 17.14% | 25.92% | 0.66 | 0.66 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.45 | 0.20 – 0.67 | <0.01 |
| 2026Q4–2027Q3 | 0.44 | 0.19 – 0.66 | <0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.15 – 0.64 | <0.01 |
| 2026Q4 | 0.90 | 0.50 – 1.31 | <0.01 |
| 2026Q4–2027Q3 | 0.84 | 0.47 – 1.19 | <0.01 |
| 2026Q4–2031Q3 | 0.67 | 0.39 – 0.90 | <0.01 |
| 2026Q4 | 0.64 | 0.34 – 0.88 | <0.01 |
| 2026Q4–2027Q3 | 0.61 | 0.31 – 0.86 | <0.01 |
| 2026Q4–2031Q3 | 0.56 | 0.25 – 0.82 | <0.01 |
| 2026Q4 | 1.47 | 0.97 – 1.84 | <0.01 |
| 2026Q4–2027Q3 | 1.33 | 0.87 – 1.63 | <0.01 |
| 2026Q4–2031Q3 | 0.92 | 0.59 – 1.15 | <0.01 |