CredRatDG · Other · Dichev and Piotroski (2001)
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Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1970Q2 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.16%
95% interval −0.13% to 2.36%
Next year
1.22%
95% interval −0.04% to 2.36%
Next five years
1.37%
95% interval 0.18% to 2.42%
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 1970Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1970Q2–2024Q4 | 6.80% | 14.66% | 0.46 | 3.43 |
| 2020Q1–2024Q4 | −3.15% | 17.00% | −0.19 | −0.41 |
| 2024Q1–2024Q4 | −3.14% | 9.63% | −0.33 | −0.33 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.159 | −0.018 – 0.322 | 0.04 |
| Next year | 0.166 | −0.005 – 0.321 | 0.03 |
| Next five years | 0.187 | 0.024 – 0.331 | 0.01 |