FEPS · Profitability · Cen, Wei, and Zhang (2006)
Analyst earnings per share
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q2 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
2.93%
95% interval 1.84% to 3.95%
Next year
2.84%
95% interval 1.79% to 3.90%
Next five years
2.60%
95% interval 1.29% to 3.77%
Cumulative market-adjusted return
+21,192% since 1976Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q2–2024Q4 | 12.28% | 15.50% | 0.79 | 5.53 |
| 2020Q1–2024Q4 | 18.98% | 21.36% | 0.89 | 1.99 |
| 2024Q1–2024Q4 | 25.02% | 15.80% | 1.58 | 1.58 |
| 1976Q2–2024Q4 | 13.73% | 17.84% | 0.77 | 5.37 |
| 2020Q1–2024Q4 | 22.37% | 21.23% | 1.05 | 2.36 |
| 2024Q1–2024Q4 | 19.13% | 11.94% | 1.60 | 1.60 |
| 1976Q2–2024Q4 | 14.35% | 18.29% | 0.78 | 5.48 |
| 2020Q1–2024Q4 | 23.77% | 24.61% | 0.97 | 2.16 |
| 2024Q1–2024Q4 | 44.12% | 20.28% | 2.18 | 2.18 |
| 1976Q2–2024Q4 | 16.79% | 20.79% | 0.81 | 5.64 |
| 2020Q1–2024Q4 | 25.45% | 24.88% | 1.02 | 2.29 |
| 2024Q1–2024Q4 | 25.62% | 13.15% | 1.95 | 1.95 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.379 | 0.236 – 0.514 | 0.00 |
| Next year | 0.367 | 0.231 – 0.503 | 0.00 |
| Next five years | 0.335 | 0.167 – 0.487 | 0.00 |
| Next quarter | 0.380 | 0.235 – 0.511 | 0.00 |
| Next year | 0.363 | 0.227 – 0.500 | 0.00 |
| Next five years | 0.318 | 0.139 – 0.478 | 0.00 |
| Next quarter | 0.393 | 0.231 – 0.560 | 0.00 |
| Next year | 0.379 | 0.230 – 0.533 | 0.00 |
| Next five years | 0.340 | 0.181 – 0.488 | 0.00 |
| Next quarter | 0.393 | 0.251 – 0.524 | 0.00 |
| Next year | 0.377 | 0.242 – 0.513 | 0.00 |
| Next five years | 0.333 | 0.154 – 0.492 | 0.00 |