MS · Composite accounting · Mohanram (2005)
Mohanram G-score
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1976Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.52%
95% interval 0.62% to 2.67%
Next year
1.57%
95% interval 0.58% to 2.71%
Next five years
1.74%
95% interval 0.47% to 2.91%
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+10,542% since 1976Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q3–2024Q4 | 10.49% | 12.29% | 0.85 | 5.95 |
| 2020Q1–2024Q4 | 3.48% | 15.95% | 0.22 | 0.49 |
| 2024Q1–2024Q4 | 1.22% | 6.34% | 0.19 | 0.19 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.249 | 0.102 – 0.437 | 0.00 |
| Next year | 0.258 | 0.095 – 0.444 | 0.00 |
| Next five years | 0.283 | 0.075 – 0.474 | 0.00 |