DownRecomm · Earnings forecast · Barber et al. (2001)
Down forecast EPS
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
0.68%
95% interval 0.48% to 0.89%
Next year
0.65%
95% interval 0.41% to 0.89%
Next five years
0.55%
95% interval 0.18% to 0.92%
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
+250% since 1994Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1994Q1–2024Q4 | 4.12% | 3.37% | 1.22 | 6.80 |
| 2020Q1–2024Q4 | 1.58% | 4.16% | 0.38 | 0.85 |
| 2024Q1–2024Q4 | 6.88% | 6.52% | 1.06 | 1.06 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.418 | 0.291 – 0.544 | 0.00 |
| Next year | 0.394 | 0.248 – 0.544 | 0.00 |
| Next five years | 0.331 | 0.110 – 0.557 | 0.00 |