AnalystRevision · Earnings forecast · Hawkins, Chamberlin, Daniel (1984)
EPS forecast revision
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q2 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.42%
95% interval 0.70% to 2.19%
Next year
1.38%
95% interval 0.69% to 2.11%
Next five years
1.27%
95% interval 0.56% to 1.98%
Cumulative market-adjusted return
+1,219% since 1976Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q2–2024Q4 | 5.79% | 9.68% | 0.60 | 4.18 |
| 2020Q1–2024Q4 | 10.53% | 11.43% | 0.92 | 2.06 |
| 2024Q1–2024Q4 | 25.63% | 11.37% | 2.25 | 2.25 |
| 1976Q2–2024Q4 | 8.15% | 6.74% | 1.21 | 8.45 |
| 2020Q1–2024Q4 | 2.50% | 6.30% | 0.40 | 0.89 |
| 2024Q1–2024Q4 | 8.13% | 7.36% | 1.10 | 1.10 |
| 1976Q2–2024Q4 | 5.74% | 11.54% | 0.50 | 3.47 |
| 2020Q1–2024Q4 | 15.13% | 13.53% | 1.12 | 2.50 |
| 2024Q1–2024Q4 | 13.01% | 13.98% | 0.93 | 0.93 |
| 1976Q2–2024Q4 | 8.75% | 7.81% | 1.12 | 7.83 |
| 2020Q1–2024Q4 | 2.55% | 8.28% | 0.31 | 0.69 |
| 2024Q1–2024Q4 | 11.97% | 8.84% | 1.35 | 1.35 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.294 | 0.144 – 0.458 | 0.00 |
| Next year | 0.286 | 0.143 – 0.439 | 0.00 |
| Next five years | 0.263 | 0.116 – 0.409 | 0.00 |
| Next quarter | 0.370 | 0.263 – 0.474 | 0.00 |
| Next year | 0.368 | 0.239 – 0.495 | 0.00 |
| Next five years | 0.366 | 0.165 – 0.557 | 0.00 |
| Next quarter | 0.272 | 0.149 – 0.389 | 0.00 |
| Next year | 0.254 | 0.122 – 0.386 | 0.00 |
| Next five years | 0.203 | 0.021 – 0.380 | 0.01 |
| Next quarter | 0.378 | 0.265 – 0.491 | 0.00 |
| Next year | 0.373 | 0.240 – 0.508 | 0.00 |
| Next five years | 0.360 | 0.159 – 0.560 | 0.00 |