XFIN · External financing · Bradshaw, Richardson, Sloan (2006)
Net external financing
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
13.55%
95% interval 7.84% to 18.80%
Next year
2026Q4–2027Q3
13.43%
95% interval 7.62% to 18.81%
Next five years
2026Q4–2031Q3
12.93%
95% interval 6.60% to 18.78%
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
+86,682% since 1972Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q3–2024Q4 | 10.39% | 13.89% | 0.75 | 5.42 |
| 2020Q1–2024Q4 | 19.49% | 19.57% | 1.00 | 2.23 |
| 2024Q1–2024Q4 | 12.51% | 11.76% | 1.06 | 1.06 |
| 1972Q3–2024Q4 | 15.52% | 14.63% | 1.06 | 7.69 |
| 2020Q1–2024Q4 | 27.02% | 24.44% | 1.11 | 2.47 |
| 2024Q1–2024Q4 | 22.30% | 15.46% | 1.44 | 1.44 |
| 1972Q3–2024Q4 | 15.08% | 20.71% | 0.73 | 5.27 |
| 2020Q1–2024Q4 | 23.21% | 26.69% | 0.87 | 1.94 |
| 2024Q1–2024Q4 | 15.84% | 20.05% | 0.79 | 0.79 |
| 1972Q3–2024Q4 | 18.52% | 18.88% | 0.98 | 7.11 |
| 2020Q1–2024Q4 | 36.36% | 28.45% | 1.28 | 2.86 |
| 2024Q1–2024Q4 | 40.57% | 20.48% | 1.98 | 1.98 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.77 | 0.44 – 1.07 | <0.01 |
| 2026Q4–2027Q3 | 0.71 | 0.40 – 0.98 | <0.01 |
| 2026Q4–2031Q3 | 0.55 | 0.27 – 0.84 | <0.01 |
| 2026Q4 | 1.11 | 0.74 – 1.50 | <0.01 |
| 2026Q4–2027Q3 | 1.04 | 0.71 – 1.34 | <0.01 |
| 2026Q4–2031Q3 | 0.84 | 0.53 – 1.15 | <0.01 |
| 2026Q4 | 0.66 | 0.38 – 0.92 | <0.01 |
| 2026Q4–2027Q3 | 0.62 | 0.34 – 0.87 | <0.01 |
| 2026Q4–2031Q3 | 0.52 | 0.23 – 0.83 | <0.01 |
| 2026Q4 | 1.08 | 0.67 – 1.56 | <0.01 |
| 2026Q4–2027Q3 | 1.01 | 0.65 – 1.38 | <0.01 |
| 2026Q4–2031Q3 | 0.82 | 0.53 – 1.09 | <0.01 |