OrderBacklog · Sales growth · Rajgopal, Shevlin, Venkatachalam (2003)

Order backlog

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1971Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.36%

95% interval −1.23% to 0.52%

Next year

−0.35%

95% interval −1.25% to 0.55%

Next five years

−0.32%

95% interval −1.32% to 0.68%

Next quarter

−1.53%

95% interval −2.70% to 0.12%

Next year

−1.26%

95% interval −2.34% to 0.14%

Next five years

−0.47%

95% interval −1.42% to 0.39%

Next quarter

−0.45%

95% interval −1.60% to 0.67%

Next year

−0.45%

95% interval −1.61% to 0.70%

Next five years

−0.47%

95% interval −1.69% to 0.78%

Next quarter

−1.50%

95% interval −3.39% to 0.18%

Next year

−1.30%

95% interval −2.96% to 0.16%

Next five years

−0.74%

95% interval −1.93% to 0.27%

Cumulative market-adjusted return

−74% since 1971Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1971Q3–2024Q4	−1.46%	14.13%	−0.10	−0.76
2020Q1–2024Q4	2.61%	11.96%	0.22	0.49
2024Q1–2024Q4	−8.14%	7.38%	−1.10	−1.10
1971Q3–2024Q4	−0.13%	9.70%	−0.01	−0.10
2020Q1–2024Q4	−7.97%	12.82%	−0.62	−1.39
2024Q1–2024Q4	−24.51%	12.40%	−1.98	−1.98
1971Q3–2024Q4	−2.24%	18.14%	−0.12	−0.90
2020Q1–2024Q4	3.97%	14.00%	0.28	0.63
2024Q1–2024Q4	−8.06%	6.42%	−1.26	−1.26
1971Q3–2024Q4	−2.11%	13.01%	−0.16	−1.19
2020Q1–2024Q4	−11.20%	17.79%	−0.63	−1.41
2024Q1–2024Q4	−34.09%	22.27%	−1.53	−1.53

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.051	−0.175 – 0.074	0.79
Next year	−0.050	−0.177 – 0.078	0.78
Next five years	−0.046	−0.187 – 0.096	0.74
Next quarter	−0.320	−0.575 – 0.025	0.96
Next year	−0.262	−0.492 – 0.029	0.96
Next five years	−0.098	−0.293 – 0.081	0.84
Next quarter	−0.050	−0.176 – 0.074	0.78
Next year	−0.050	−0.178 – 0.077	0.78
Next five years	−0.052	−0.187 – 0.086	0.78
Next quarter	−0.232	−0.532 – 0.027	0.95
Next year	−0.201	−0.460 – 0.025	0.95
Next five years	−0.114	−0.296 – 0.041	0.92