Activism2 · Ownership · Cremers and Nair (2005)

Active shareholders

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1990Q4 to 2006Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.44%

95% interval −0.32% to 3.42%

Next year

1.43%

95% interval −0.45% to 3.45%

Next five years

1.42%

95% interval −0.86% to 3.60%

Next quarter

1.43%

95% interval −0.32% to 3.39%

Next year

1.43%

95% interval −0.46% to 3.43%

Next five years

1.42%

95% interval −0.87% to 3.57%

Next quarter

2.38%

95% interval 0.60% to 4.21%

Next year

2.28%

95% interval 0.37% to 4.25%

Next five years

1.99%

95% interval −0.54% to 4.40%

Next quarter

2.38%

95% interval 0.60% to 4.21%

Next year

2.28%

95% interval 0.38% to 4.26%

Next five years

1.99%

95% interval −0.53% to 4.39%

Next quarter

1.23%

95% interval −0.33% to 2.85%

Next year

1.21%

95% interval −0.43% to 2.89%

Next five years

1.14%

95% interval −0.80% to 3.02%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+242% since 1990Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1990Q4–2006Q4	9.34%	19.30%	0.48	1.95
2002Q1–2006Q4	8.02%	13.05%	0.61	1.37
2006Q1–2006Q4	−5.48%	9.59%	−0.57	−0.57
1990Q4–2006Q4	9.34%	19.30%	0.48	1.95
2002Q1–2006Q4	8.02%	13.05%	0.61	1.37
2006Q1–2006Q4	−5.48%	9.59%	−0.57	−0.57
1990Q4–2006Q4	13.30%	20.86%	0.64	2.57
2002Q1–2006Q4	16.59%	13.92%	1.19	2.67
2006Q1–2006Q4	1.37%	12.42%	0.11	0.11
1990Q4–2006Q4	13.30%	20.86%	0.64	2.57
2002Q1–2006Q4	16.59%	13.92%	1.19	2.67
2006Q1–2006Q4	1.37%	12.42%	0.11	0.11
1990Q4–2006Q4	7.10%	16.98%	0.42	1.69
2002Q1–2006Q4	10.02%	11.23%	0.89	2.00
2006Q1–2006Q4	−3.71%	11.92%	−0.31	−0.31

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	0.150	−0.033 – 0.355	0.06
Next year	0.149	−0.047 – 0.357	0.07
Next five years	0.147	−0.089 – 0.372	0.11
Next quarter	0.149	−0.034 – 0.351	0.06
Next year	0.148	−0.047 – 0.355	0.07
Next five years	0.147	−0.090 – 0.370	0.11
Next quarter	0.230	0.057 – 0.406	0.01
Next year	0.220	0.036 – 0.409	0.01
Next five years	0.191	−0.051 – 0.422	0.06
Next quarter	0.230	0.058 – 0.406	0.01
Next year	0.220	0.036 – 0.409	0.01
Next five years	0.191	−0.051 – 0.421	0.06
Next quarter	0.146	−0.039 – 0.336	0.06
Next year	0.143	−0.050 – 0.341	0.07
Next five years	0.134	−0.095 – 0.357	0.12