CompositeDebtIssuance · External financing · Lyandres, Sun and Zhang (2008)

Composite debt issuance

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1956Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.18%

95% interval −0.28% to 0.66%

Next year

0.19%

95% interval −0.31% to 0.69%

Next five years

0.23%

95% interval −0.38% to 0.83%

Next quarter

1.07%

95% interval 0.74% to 1.39%

Next year

1.07%

95% interval 0.73% to 1.39%

Next five years

1.08%

95% interval 0.71% to 1.40%

Next quarter

−0.06%

95% interval −0.77% to 0.66%

Next year

−0.05%

95% interval −0.78% to 0.67%

Next five years

−0.00%

95% interval −0.80% to 0.78%

Next quarter

0.78%

95% interval 0.38% to 1.20%

Next year

0.80%

95% interval 0.38% to 1.21%

Next five years

0.86%

95% interval 0.36% to 1.28%

Next quarter

0.85%

95% interval 0.58% to 1.11%

Next year

0.85%

95% interval 0.57% to 1.12%

Next five years

0.84%

95% interval 0.52% to 1.13%

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

+74% since 1956Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1956Q3–2024Q4	1.18%	8.55%	0.14	1.14
2020Q1–2024Q4	−0.05%	16.75%	−0.00	−0.01
2024Q1–2024Q4	0.52%	13.04%	0.04	0.04
1956Q3–2024Q4	4.90%	5.11%	0.96	7.94
2020Q1–2024Q4	4.88%	8.47%	0.58	1.29
2024Q1–2024Q4	1.07%	7.83%	0.14	0.14
1956Q3–2024Q4	0.07%	12.36%	0.01	0.05
2020Q1–2024Q4	2.87%	13.69%	0.21	0.47
2024Q1–2024Q4	−8.47%	19.32%	−0.44	−0.44
1956Q3–2024Q4	4.34%	5.75%	0.76	6.25
2020Q1–2024Q4	3.55%	7.78%	0.46	1.02
2024Q1–2024Q4	1.90%	9.95%	0.19	0.19
1956Q3–2024Q4	3.85%	4.55%	0.84	6.99
2020Q1–2024Q4	3.67%	6.99%	0.52	1.17
2024Q1–2024Q4	0.79%	2.88%	0.27	0.27

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	0.041	−0.067 – 0.155	0.23
Next year	0.045	−0.072 – 0.162	0.23
Next five years	0.054	−0.089 – 0.193	0.21
Next quarter	0.419	0.290 – 0.542	0.00
Next year	0.420	0.286 – 0.543	0.00
Next five years	0.422	0.275 – 0.548	0.00
Next quarter	−0.011	−0.126 – 0.106	0.57
Next year	−0.008	−0.126 – 0.109	0.55
Next five years	−0.000	−0.130 – 0.127	0.50
Next quarter	0.271	0.135 – 0.418	0.00
Next year	0.278	0.133 – 0.421	0.00
Next five years	0.298	0.125 – 0.445	0.00
Next quarter	0.372	0.257 – 0.490	0.00
Next year	0.372	0.249 – 0.490	0.00
Next five years	0.370	0.228 – 0.496	0.00