NumEarnIncrease · Earnings growth · Loh and Warachka (2012)
Earnings streak length
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1964Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
0.59%
95% interval 0.23% to 0.95%
Next year
0.58%
95% interval 0.22% to 0.95%
Next five years
0.57%
95% interval 0.18% to 0.96%
Cumulative market-adjusted return
+324% since 1964Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1964Q1–2024Q4 | 2.56% | 6.07% | 0.42 | 3.29 |
| 2020Q1–2024Q4 | 3.13% | 10.30% | 0.30 | 0.68 |
| 2024Q1–2024Q4 | 9.99% | 11.36% | 0.88 | 0.88 |
| 1964Q1–2024Q4 | 6.34% | 4.86% | 1.31 | 10.20 |
| 2020Q1–2024Q4 | 7.21% | 7.71% | 0.94 | 2.09 |
| 2024Q1–2024Q4 | 10.33% | 1.93% | 5.35 | 5.35 |
| 1963Q4–2024Q4 | 2.61% | 7.21% | 0.36 | 2.84 |
| 2020Q1–2024Q4 | 1.38% | 11.80% | 0.12 | 0.26 |
| 2024Q1–2024Q4 | 10.51% | 12.18% | 0.86 | 0.86 |
| 1963Q4–2024Q4 | 5.85% | 5.42% | 1.08 | 8.44 |
| 2020Q1–2024Q4 | 7.42% | 8.79% | 0.84 | 1.89 |
| 2024Q1–2024Q4 | 15.52% | 3.74% | 4.16 | 4.16 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.194 | 0.076 – 0.312 | 0.00 |
| Next year | 0.192 | 0.073 – 0.313 | 0.00 |
| Next five years | 0.188 | 0.060 – 0.316 | 0.00 |
| Next quarter | 0.611 | 0.493 – 0.721 | 0.00 |
| Next year | 0.590 | 0.467 – 0.714 | 0.00 |
| Next five years | 0.531 | 0.342 – 0.698 | 0.00 |
| Next quarter | 0.162 | 0.045 – 0.278 | 0.00 |
| Next year | 0.161 | 0.041 – 0.281 | 0.00 |
| Next five years | 0.159 | 0.026 – 0.288 | 0.01 |
| Next quarter | 0.550 | 0.392 – 0.733 | 0.00 |
| Next year | 0.531 | 0.389 – 0.686 | 0.00 |
| Next five years | 0.479 | 0.328 – 0.614 | 0.00 |