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

Intangible return using EP

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1956Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.57%

95% interval −0.36% to 1.51%

Next year

0.58%

95% interval −0.37% to 1.51%

Next five years

0.61%

95% interval −0.37% to 1.55%

Next quarter

1.04%

95% interval 0.41% to 1.67%

Next year

1.04%

95% interval 0.41% to 1.67%

Next five years

1.03%

95% interval 0.39% to 1.68%

Next quarter

0.39%

95% interval −0.73% to 1.52%

Next year

0.40%

95% interval −0.75% to 1.53%

Next five years

0.42%

95% interval −0.81% to 1.61%

Next quarter

1.24%

95% interval 0.47% to 2.00%

Next year

1.23%

95% interval 0.47% to 1.99%

Next five years

1.21%

95% interval 0.44% to 1.97%

Cumulative market-adjusted return

+177% since 1956Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1956Q3–2024Q4	2.77%	16.11%	0.17	1.42
2020Q1–2024Q4	−0.97%	25.74%	−0.04	−0.08
2024Q1–2024Q4	−6.45%	10.70%	−0.60	−0.60
1956Q3–2024Q4	4.55%	11.05%	0.41	3.41
2020Q1–2024Q4	7.75%	19.20%	0.40	0.90
2024Q1–2024Q4	−1.10%	11.14%	−0.10	−0.10
1956Q3–2024Q4	1.93%	19.75%	0.10	0.81
2020Q1–2024Q4	−0.16%	30.59%	−0.01	−0.01
2024Q1–2024Q4	−5.36%	19.07%	−0.28	−0.28
1956Q3–2024Q4	5.28%	13.09%	0.40	3.34
2020Q1–2024Q4	10.89%	22.38%	0.49	1.09
2024Q1–2024Q4	0.47%	13.66%	0.03	0.03

Horizon	Mean	95% interval	P(neg)
Next quarter	0.071	−0.045 – 0.188	0.12
Next year	0.072	−0.045 – 0.188	0.11
Next five years	0.076	−0.046 – 0.193	0.11
Next quarter	0.189	0.075 – 0.303	0.00
Next year	0.188	0.074 – 0.304	0.00
Next five years	0.187	0.071 – 0.304	0.00
Next quarter	0.040	−0.074 – 0.154	0.25
Next year	0.041	−0.076 – 0.156	0.24
Next five years	0.043	−0.082 – 0.163	0.24
Next quarter	0.189	0.071 – 0.307	0.00
Next year	0.188	0.072 – 0.305	0.00
Next five years	0.185	0.068 – 0.301	0.00