NetEquityFinance · External financing · Bradshaw, Richardson, Sloan (2006)
Net equity financing
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.47%
95% interval 0.55% to 2.39%
Next year
1.42%
95% interval 0.55% to 2.31%
Next five years
1.26%
95% interval 0.39% to 2.14%
Cumulative market-adjusted return
+1,170% since 1972Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q3–2024Q4 | 5.59% | 12.15% | 0.46 | 3.33 |
| 2020Q1–2024Q4 | 10.41% | 14.63% | 0.71 | 1.59 |
| 2024Q1–2024Q4 | 17.24% | 21.52% | 0.80 | 0.80 |
| 1972Q3–2024Q4 | 10.57% | 14.47% | 0.73 | 5.29 |
| 2020Q1–2024Q4 | 19.81% | 20.35% | 0.97 | 2.18 |
| 2024Q1–2024Q4 | 16.97% | 17.34% | 0.98 | 0.98 |
| 1972Q3–2024Q4 | 8.82% | 14.33% | 0.62 | 4.46 |
| 2020Q1–2024Q4 | 9.86% | 15.97% | 0.62 | 1.38 |
| 2024Q1–2024Q4 | 3.66% | 18.18% | 0.20 | 0.20 |
| 1972Q3–2024Q4 | 14.47% | 16.79% | 0.86 | 6.24 |
| 2020Q1–2024Q4 | 24.54% | 25.42% | 0.97 | 2.16 |
| 2024Q1–2024Q4 | 27.12% | 17.89% | 1.52 | 1.52 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.243 | 0.090 – 0.397 | 0.00 |
| Next year | 0.234 | 0.090 – 0.382 | 0.00 |
| Next five years | 0.208 | 0.064 – 0.353 | 0.00 |
| Next quarter | 0.464 | 0.255 – 0.626 | 0.00 |
| Next year | 0.428 | 0.251 – 0.587 | 0.00 |
| Next five years | 0.328 | 0.158 – 0.495 | 0.00 |
| Next quarter | 0.286 | 0.159 – 0.411 | 0.00 |
| Next year | 0.279 | 0.151 – 0.411 | 0.00 |
| Next five years | 0.262 | 0.105 – 0.412 | 0.00 |
| Next quarter | 0.488 | 0.281 – 0.695 | 0.00 |
| Next year | 0.461 | 0.282 – 0.644 | 0.00 |
| Next five years | 0.385 | 0.233 – 0.542 | 0.00 |