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

Intangible return using CFtoP

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1956Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.38%

95% interval −0.85% to 1.50%

Next year

0.40%

95% interval −0.77% to 1.48%

Next five years

0.49%

95% interval −0.60% to 1.51%

Next quarter

0.87%

95% interval 0.14% to 1.60%

Next year

0.87%

95% interval 0.13% to 1.60%

Next five years

0.87%

95% interval 0.11% to 1.62%

Next quarter

0.12%

95% interval −1.11% to 1.38%

Next year

0.15%

95% interval −1.12% to 1.39%

Next five years

0.23%

95% interval −1.15% to 1.55%

Next quarter

0.94%

95% interval 0.06% to 1.82%

Next year

0.94%

95% interval 0.05% to 1.82%

Next five years

0.94%

95% interval 0.02% to 1.85%

Cumulative market-adjusted return

+95% since 1956Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1956Q1–2024Q4	2.41%	17.07%	0.14	1.17
2020Q1–2024Q4	−6.60%	24.38%	−0.27	−0.61
2024Q1–2024Q4	−15.68%	11.92%	−1.32	−1.32
1956Q1–2024Q4	3.84%	12.95%	0.30	2.46
2020Q1–2024Q4	7.49%	19.19%	0.39	0.87
2024Q1–2024Q4	−10.39%	11.30%	−0.92	−0.92
1956Q1–2024Q4	1.24%	21.12%	0.06	0.49
2020Q1–2024Q4	−0.80%	34.40%	−0.02	−0.05
2024Q1–2024Q4	−11.46%	15.24%	−0.75	−0.75
1956Q1–2024Q4	4.19%	15.64%	0.27	2.23
2020Q1–2024Q4	7.65%	23.82%	0.32	0.72
2024Q1–2024Q4	−13.66%	12.96%	−1.05	−1.05

Horizon	Mean	95% interval	P(neg)
Next quarter	0.044	−0.100 – 0.176	0.26
Next year	0.047	−0.090 – 0.174	0.23
Next five years	0.057	−0.070 – 0.177	0.17
Next quarter	0.134	0.022 – 0.247	0.01
Next year	0.134	0.021 – 0.248	0.01
Next five years	0.134	0.016 – 0.250	0.01
Next quarter	0.011	−0.106 – 0.130	0.43
Next year	0.014	−0.107 – 0.132	0.41
Next five years	0.021	−0.109 – 0.147	0.36
Next quarter	0.120	0.008 – 0.232	0.02
Next year	0.120	0.006 – 0.233	0.02
Next five years	0.121	0.002 – 0.236	0.02