ForecastDispersion · Volatility · Diether, Malloy and Scherbina (2002)

EPS Forecast Dispersion

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

2.02%

95% interval 1.02% to 2.97%

Next year

1.98%

95% interval 0.98% to 2.97%

Next five years

1.87%

95% interval 0.69% to 2.96%

Next quarter

2.40%

95% interval 1.55% to 3.32%

Next year

2.36%

95% interval 1.39% to 3.34%

Next five years

2.24%

95% interval 0.89% to 3.42%

Next quarter

2.36%

95% interval 1.20% to 3.55%

Next year

2.33%

95% interval 1.09% to 3.57%

Next five years

2.25%

95% interval 0.70% to 3.62%

Next quarter

2.56%

95% interval 1.61% to 3.63%

Next year

2.52%

95% interval 1.43% to 3.67%

Next five years

2.42%

95% interval 0.86% to 3.83%

Cumulative market-adjusted return

+3,882% since 1976Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1976Q2–2024Q4	8.74%	15.15%	0.58	4.03
2020Q1–2024Q4	11.87%	20.20%	0.59	1.31
2024Q1–2024Q4	17.10%	14.74%	1.16	1.16
1976Q2–2024Q4	11.69%	13.94%	0.84	5.85
2020Q1–2024Q4	9.40%	14.67%	0.64	1.43
2024Q1–2024Q4	5.15%	11.11%	0.46	0.46
1976Q2–2024Q4	10.92%	18.33%	0.60	4.16
2020Q1–2024Q4	16.17%	24.33%	0.66	1.49
2024Q1–2024Q4	7.47%	13.53%	0.55	0.55
1976Q2–2024Q4	13.48%	15.28%	0.88	6.16
2020Q1–2024Q4	7.93%	16.71%	0.47	1.06
2024Q1–2024Q4	8.14%	12.31%	0.66	0.66

Horizon	Mean	95% interval
Next quarter	0.267	0.135 – 0.394
Next year	0.262	0.129 – 0.393
Next five years	0.247	0.091 – 0.391
Next quarter	0.346	0.223 – 0.478
Next year	0.339	0.200 – 0.481
Next five years	0.321	0.127 – 0.491
Next quarter	0.259	0.131 – 0.388
Next year	0.255	0.119 – 0.390
Next five years	0.245	0.076 – 0.395
Next quarter	0.338	0.214 – 0.477
Next year	0.332	0.189 – 0.482
Next five years	0.317	0.113 – 0.502