ExchSwitch · Other · Dharan and Ikenberry (1995)
Exchange Switch
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1963Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.99%
95% interval 1.29% to 2.71%
Next year
1.98%
95% interval 1.24% to 2.72%
Next five years
1.96%
95% interval 1.04% to 2.78%
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
+16,777% since 1963Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1963Q1–2024Q4 | 9.04% | 11.94% | 0.76 | 5.96 |
| 2020Q1–2024Q4 | 17.75% | 19.41% | 0.91 | 2.05 |
| 2024Q1–2024Q4 | 12.41% | 14.43% | 0.86 | 0.86 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.335 | 0.218 – 0.454 | 0.00 |
| Next year | 0.333 | 0.208 – 0.456 | 0.00 |
| Next five years | 0.327 | 0.174 – 0.464 | 0.00 |