ShareIss5Y · External financing · Daniel and Titman (2006)
Share issuance (5 year)
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1931Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
8.10%
95% interval 5.54% to 10.71%
Next year
2026Q4–2027Q3
8.05%
95% interval 5.48% to 10.68%
Next five years
2026Q4–2031Q3
7.86%
95% interval 5.25% 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
+96,918% since 1931Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1931Q3–2024Q4 | 5.26% | 8.16% | 0.65 | 6.24 |
| 2020Q1–2024Q4 | 8.21% | 8.79% | 0.93 | 2.09 |
| 2024Q1–2024Q4 | 5.72% | 7.93% | 0.72 | 0.72 |
| 1931Q3–2024Q4 | 7.09% | 10.37% | 0.68 | 6.61 |
| 2020Q1–2024Q4 | 18.48% | 19.84% | 0.93 | 2.08 |
| 2024Q1–2024Q4 | 22.95% | 10.92% | 2.10 | 2.10 |
| 1931Q3–2024Q4 | 8.09% | 11.73% | 0.69 | 6.67 |
| 2020Q1–2024Q4 | 13.04% | 17.64% | 0.74 | 1.65 |
| 2024Q1–2024Q4 | 24.95% | 14.98% | 1.67 | 1.67 |
| 1931Q3–2024Q4 | 10.68% | 14.04% | 0.76 | 7.36 |
| 2020Q1–2024Q4 | 32.45% | 27.34% | 1.19 | 2.65 |
| 2024Q1–2024Q4 | 48.92% | 12.82% | 3.82 | 3.82 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.64 | 0.42 – 0.87 | <0.01 |
| 2026Q4–2027Q3 | 0.62 | 0.40 – 0.83 | <0.01 |
| 2026Q4–2031Q3 | 0.56 | 0.33 – 0.77 | <0.01 |
| 2026Q4 | 1.04 | 0.54 – 1.55 | 0.00 |
| 2026Q4–2027Q3 | 0.96 | 0.54 – 1.39 | 0.00 |
| 2026Q4–2031Q3 | 0.75 | 0.48 – 0.99 | <0.01 |
| 2026Q4 | 0.69 | 0.47 – 0.92 | <0.01 |
| 2026Q4–2027Q3 | 0.67 | 0.46 – 0.88 | <0.01 |
| 2026Q4–2031Q3 | 0.60 | 0.38 – 0.81 | <0.01 |
| 2026Q4 | 1.56 | 0.90 – 2.09 | <0.01 |
| 2026Q4–2027Q3 | 1.41 | 0.84 – 1.83 | <0.01 |
| 2026Q4–2031Q3 | 0.97 | 0.63 – 1.20 | <0.01 |