ShortInterest · Short sale constraints · Dechow et al. (2001)
Short Interest
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1973Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
6.21%
95% interval 2.24% to 10.19%
Next year
2026Q4–2027Q3
6.16%
95% interval 2.17% to 10.17%
Next five years
2026Q4–2031Q3
5.97%
95% interval 1.90% to 10.08%
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
+1,479% since 1973Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1973Q2–2024Q4 | 4.92% | 10.95% | 0.45 | 3.23 |
| 2020Q1–2024Q4 | 7.29% | 19.34% | 0.38 | 0.84 |
| 2024Q1–2024Q4 | 21.86% | 17.52% | 1.25 | 1.25 |
| 1973Q2–2024Q4 | 12.20% | 9.33% | 1.31 | 9.40 |
| 2020Q1–2024Q4 | 15.68% | 12.16% | 1.29 | 2.88 |
| 2024Q1–2024Q4 | 29.59% | 4.79% | 6.17 | 6.17 |
| 1973Q2–2024Q4 | 6.37% | 14.15% | 0.45 | 3.24 |
| 2020Q1–2024Q4 | 11.35% | 24.74% | 0.46 | 1.03 |
| 2024Q1–2024Q4 | 14.91% | 14.16% | 1.05 | 1.05 |
| 1973Q2–2024Q4 | 15.12% | 11.79% | 1.28 | 9.23 |
| 2020Q1–2024Q4 | 23.04% | 15.85% | 1.45 | 3.25 |
| 2024Q1–2024Q4 | 38.41% | 10.28% | 3.74 | 3.74 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.45 | 0.16 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.43 | 0.15 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.39 | 0.13 – 0.65 | <0.01 |
| 2026Q4 | 1.19 | 0.93 – 1.48 | <0.01 |
| 2026Q4–2027Q3 | 1.14 | 0.89 – 1.42 | <0.01 |
| 2026Q4–2031Q3 | 0.99 | 0.62 – 1.37 | <0.01 |
| 2026Q4 | 0.44 | 0.16 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.42 | 0.15 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.11 – 0.63 | <0.01 |
| 2026Q4 | 1.28 | 0.95 – 1.59 | 0.00 |
| 2026Q4–2027Q3 | 1.19 | 0.91 – 1.45 | 0.00 |
| 2026Q4–2031Q3 | 0.94 | 0.62 – 1.30 | 0.00 |