Investment · Investment · Titman, Wei and Xie (2004)
Investment to revenue
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1953Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
0.27%
95% interval −0.25% to 0.80%
Next year
0.27%
95% interval −0.25% to 0.80%
Next five years
0.26%
95% interval −0.28% to 0.80%
Cumulative market-adjusted return
+62% since 1953Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1953Q3–2024Q4 | 1.10% | 9.28% | 0.12 | 1.00 |
| 2020Q1–2024Q4 | 3.14% | 16.56% | 0.19 | 0.42 |
| 2024Q1–2024Q4 | 3.34% | 13.40% | 0.25 | 0.25 |
| 1953Q3–2024Q4 | 1.10% | 9.28% | 0.12 | 1.00 |
| 2020Q1–2024Q4 | 3.14% | 16.56% | 0.19 | 0.42 |
| 2024Q1–2024Q4 | 3.34% | 13.40% | 0.25 | 0.25 |
| 1953Q3–2024Q4 | 3.83% | 11.50% | 0.33 | 2.82 |
| 2020Q1–2024Q4 | 5.49% | 23.26% | 0.24 | 0.53 |
| 2024Q1–2024Q4 | 18.41% | 9.83% | 1.87 | 1.87 |
| 1953Q3–2024Q4 | 3.83% | 11.50% | 0.33 | 2.82 |
| 2020Q1–2024Q4 | 5.49% | 23.26% | 0.24 | 0.53 |
| 2024Q1–2024Q4 | 18.41% | 9.83% | 1.87 | 1.87 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.059 | −0.054 – 0.172 | 0.15 |
| Next year | 0.058 | −0.055 – 0.172 | 0.16 |
| Next five years | 0.055 | −0.061 – 0.172 | 0.17 |
| Next quarter | 0.059 | −0.053 – 0.171 | 0.15 |
| Next year | 0.058 | −0.054 – 0.170 | 0.16 |
| Next five years | 0.055 | −0.059 – 0.170 | 0.17 |
| Next quarter | 0.158 | 0.044 – 0.272 | 0.00 |
| Next year | 0.157 | 0.044 – 0.271 | 0.00 |
| Next five years | 0.154 | 0.041 – 0.268 | 0.00 |
| Next quarter | 0.157 | 0.045 – 0.273 | 0.00 |
| Next year | 0.156 | 0.045 – 0.271 | 0.00 |
| Next five years | 0.153 | 0.041 – 0.268 | 0.00 |