IntanBM · Long term reversal · Daniel and Titman (2006)

Intangible return using BM

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1966Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.26%

95% interval −1.62% to 1.05%

Next year

−0.19%

95% interval −1.51% to 1.06%

Next five years

0.02%

95% interval −1.28% to 1.21%

Next quarter

0.68%

95% interval −0.20% to 1.56%

Next year

0.69%

95% interval −0.21% to 1.57%

Next five years

0.72%

95% interval −0.24% to 1.64%

Next quarter

−0.72%

95% interval −2.30% to 0.92%

Next year

−0.62%

95% interval −2.23% to 0.96%

Next five years

−0.34%

95% interval −2.08% to 1.30%

Next quarter

0.62%

95% interval −0.51% to 1.72%

Next year

0.63%

95% interval −0.51% to 1.73%

Next five years

0.69%

95% interval −0.52% to 1.82%

Cumulative market-adjusted return

−40% since 1966Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1966Q3–2024Q4	0.58%	17.36%	0.03	0.25
2020Q1–2024Q4	−6.91%	20.30%	−0.34	−0.76
2024Q1–2024Q4	−21.71%	10.08%	−2.15	−2.15
1966Q3–2024Q4	3.38%	14.01%	0.24	1.85
2020Q1–2024Q4	6.01%	19.04%	0.32	0.71
2024Q1–2024Q4	−15.92%	11.29%	−1.41	−1.41
1966Q3–2024Q4	−0.96%	23.25%	−0.04	−0.32
2020Q1–2024Q4	−6.84%	25.85%	−0.26	−0.59
2024Q1–2024Q4	−22.70%	15.94%	−1.42	−1.42
1966Q3–2024Q4	3.24%	17.39%	0.19	1.43
2020Q1–2024Q4	6.21%	22.27%	0.28	0.62
2024Q1–2024Q4	−22.21%	10.84%	−2.05	−2.05

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.030	−0.188 – 0.121	0.64
Next year	−0.022	−0.175 – 0.121	0.60
Next five years	0.002	−0.147 – 0.140	0.48
Next quarter	0.098	−0.029 – 0.223	0.07
Next year	0.099	−0.030 – 0.225	0.06
Next five years	0.103	−0.034 – 0.234	0.06
Next quarter	−0.062	−0.200 – 0.079	0.81
Next year	−0.054	−0.193 – 0.083	0.78
Next five years	−0.030	−0.178 – 0.112	0.66
Next quarter	0.071	−0.059 – 0.198	0.14
Next year	0.073	−0.059 – 0.199	0.13
Next five years	0.079	−0.059 – 0.210	0.12