IndIPO · External financing · Ritter (1991)
Initial Public Offerings
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1975Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.86%
95% interval 0.97% to 2.73%
Next year
1.82%
95% interval 0.96% to 2.68%
Next five years
1.71%
95% interval 0.79% to 2.60%
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
+3,029% since 1975Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1975Q3–2024Q4 | 7.78% | 12.55% | 0.62 | 4.36 |
| 2020Q1–2024Q4 | 12.34% | 17.31% | 0.71 | 1.59 |
| 2024Q1–2024Q4 | 16.78% | 10.17% | 1.65 | 1.65 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.296 | 0.154 – 0.436 | 0.00 |
| Next year | 0.290 | 0.152 – 0.428 | 0.00 |
| Next five years | 0.272 | 0.126 – 0.413 | 0.00 |