OScore · Default risk · Dichev (1998)
O Score
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1972Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
5.94%
95% interval 2.29% to 8.98%
Next year
5.32%
95% interval 2.31% to 7.91%
Next five years
3.53%
95% interval 1.99% to 5.26%
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
+47,383% since 1972Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q1–2024Q4 | 13.56% | 18.82% | 0.72 | 5.25 |
| 2020Q1–2024Q4 | 37.59% | 24.96% | 1.51 | 3.37 |
| 2024Q1–2024Q4 | 47.11% | 18.21% | 2.59 | 2.59 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.638 | 0.242 – 0.980 | 0.00 |
| Next year | 0.569 | 0.245 – 0.852 | 0.00 |
| Next five years | 0.375 | 0.211 – 0.558 | 0.00 |