IO_ShortInterest · Ownership · Asquith Pathak and Ritter (2005)

Inst own among high short interest

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1979Q4 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

7.33%

95% interval 2.12% to 13.08%

Next year

6.96%

95% interval 2.12% to 12.21%

Next five years

5.90%

95% interval 1.30% to 10.58%

Next quarter

19.55%

95% interval 8.27% to 30.00%

Next year

17.89%

95% interval 8.34% to 27.03%

Next five years

13.08%

95% interval 6.29% to 20.39%

Next quarter

22.43%

95% interval 8.98% to 31.50%

Next year

19.74%

95% interval 8.60% to 28.38%

Next five years

11.94%

95% interval 3.56% to 20.65%

Next quarter

23.12%

95% interval 9.52% to 34.08%

Next year

20.71%

95% interval 9.24% to 30.83%

Next five years

13.70%

95% interval 4.64% to 23.13%

Next quarter

16.15%

95% interval 5.98% to 24.96%

Next year

14.78%

95% interval 6.01% to 22.87%

Next five years

10.80%

95% interval 4.08% to 17.88%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+4,024% since 1979Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1979Q4–2024Q4	26.31%	60.09%	0.44	2.95
2020Q1–2024Q4	42.29%	116.77%	0.36	0.81
2024Q1–2024Q4	39.86%	96.80%	0.41	0.41
1979Q4–2024Q4	55.16%	82.04%	0.67	4.52
2020Q1–2024Q4	165.24%	185.90%	0.89	1.99
2024Q1–2024Q4	221.96%	202.09%	1.10	1.10
1979Q4–2024Q4	48.16%	91.92%	0.52	3.52
2020Q1–2024Q4	91.21%	163.63%	0.56	1.25
2024Q1–2024Q4	233.82%	221.44%	1.06	1.06
1979Q4–2024Q4	58.10%	102.69%	0.57	3.81
2020Q1–2024Q4	121.30%	180.97%	0.67	1.50
2024Q1–2024Q4	315.58%	305.29%	1.03	1.03
1980Q1–2024Q4	45.35%	82.27%	0.55	3.70
2020Q1–2024Q4	169.80%	207.52%	0.82	1.83
2024Q1–2024Q4	128.82%	135.79%	0.95	0.95

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	0.245	0.070 – 0.442	0.00
Next year	0.232	0.070 – 0.410	0.00
Next five years	0.196	0.043 – 0.351	0.01
Next quarter	0.480	0.201 – 0.747	0.00
Next year	0.438	0.203 – 0.667	0.00
Next five years	0.319	0.153 – 0.497	0.00
Next quarter	0.497	0.195 – 0.709	0.00
Next year	0.434	0.187 – 0.629	0.00
Next five years	0.260	0.077 – 0.449	0.00
Next quarter	0.457	0.185 – 0.683	0.00
Next year	0.407	0.180 – 0.610	0.00
Next five years	0.267	0.090 – 0.451	0.00
Next quarter	0.395	0.145 – 0.617	0.00
Next year	0.360	0.146 – 0.561	0.00
Next five years	0.262	0.099 – 0.434	0.00