ConvDebt · External financing · Valta (2016)
Convertible debt indicator
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1951Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.09%
95% interval 0.82% to 1.36%
Next year
1.03%
95% interval 0.71% to 1.35%
Next five years
0.85%
95% interval 0.37% to 1.31%
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
+2,252% since 1951Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q1–2024Q4 | 4.46% | 5.73% | 0.78 | 6.70 |
| 2020Q1–2024Q4 | 5.22% | 7.43% | 0.70 | 1.57 |
| 2024Q1–2024Q4 | 7.35% | 12.29% | 0.60 | 0.60 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.387 | 0.290 – 0.484 | 0.00 |
| Next year | 0.363 | 0.250 – 0.477 | 0.00 |
| Next five years | 0.298 | 0.127 – 0.461 | 0.00 |