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

Intangible return using Sale2P

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

Expected return · posterior mean, % per quarter

Next quarter

−0.04%

95% interval −1.20% to 1.14%

Next year

−0.01%

95% interval −1.22% to 1.17%

Next five years

0.07%

95% interval −1.28% to 1.37%

Next quarter

0.78%

95% interval −0.32% to 1.87%

Next year

0.80%

95% interval −0.31% to 1.88%

Next five years

0.84%

95% interval −0.30% to 1.94%

Next quarter

−0.48%

95% interval −2.15% to 1.12%

Next year

−0.40%

95% interval −2.06% to 1.16%

Next five years

−0.15%

95% interval −1.88% to 1.47%

Next quarter

1.06%

95% interval −0.48% to 2.48%

Next year

1.10%

95% interval −0.41% to 2.48%

Next five years

1.21%

95% interval −0.26% to 2.57%

Cumulative market-adjusted return

−63% since 1956Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1956Q3–2024Q4	0.51%	20.13%	0.03	0.21
2020Q1–2024Q4	3.23%	31.75%	0.10	0.23
2024Q1–2024Q4	−16.87%	17.13%	−0.98	−0.98
1956Q3–2024Q4	3.90%	18.17%	0.21	1.78
2020Q1–2024Q4	11.00%	25.14%	0.44	0.98
2024Q1–2024Q4	−4.81%	6.38%	−0.75	−0.75
1956Q3–2024Q4	−0.14%	24.53%	−0.01	−0.05
2020Q1–2024Q4	4.60%	40.36%	0.11	0.25
2024Q1–2024Q4	−21.84%	19.16%	−1.14	−1.14
1956Q3–2024Q4	5.76%	21.94%	0.26	2.17
2020Q1–2024Q4	14.16%	29.99%	0.47	1.06
2024Q1–2024Q4	−9.87%	7.23%	−1.37	−1.37

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.004	−0.120 – 0.113	0.53
Next year	−0.001	−0.121 – 0.116	0.51
Next five years	0.007	−0.127 – 0.136	0.45
Next quarter	0.086	−0.035 – 0.206	0.08
Next year	0.088	−0.034 – 0.207	0.08
Next five years	0.093	−0.034 – 0.214	0.07
Next quarter	−0.040	−0.178 – 0.091	0.71
Next year	−0.033	−0.169 – 0.095	0.68
Next five years	−0.012	−0.153 – 0.120	0.57
Next quarter	0.097	−0.044 – 0.225	0.08
Next year	0.101	−0.038 – 0.226	0.07
Next five years	0.110	−0.024 – 0.234	0.05