ConsRecomm · Recommendation · Barber et al. (2001)
Consensus Recommendation
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1994Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
−0.11%
95% interval −1.08% to 1.24%
Next year
0.03%
95% interval −1.08% to 1.33%
Next five years
0.44%
95% interval −1.07% to 1.87%
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+231% since 1994Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1994Q1–2024Q4 | 4.78% | 13.78% | 0.35 | 1.93 |
| 2020Q1–2024Q4 | 2.15% | 13.96% | 0.15 | 0.34 |
| 2024Q1–2024Q4 | −2.02% | 11.95% | −0.17 | −0.17 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | −0.017 | −0.161 – 0.180 | 0.62 |
| Next year | 0.004 | −0.159 – 0.194 | 0.50 |
| Next five years | 0.064 | −0.155 – 0.272 | 0.28 |