RIO_Disp · Short sale constraints · Nagel (2005)

Inst Own and Forecast Dispersion

Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1976Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.46%

95% interval 0.56% to 2.45%

Next year

1.48%

95% interval 0.43% to 2.55%

Next five years

1.55%

95% interval 0.06% to 2.93%

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

+3,368% since 1976Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1976Q2–2024Q4	8.46%	15.66%	0.54	3.77
2020Q1–2024Q4	7.56%	12.57%	0.60	1.34
2024Q1–2024Q4	0.64%	18.10%	0.04	0.04

Horizon	Mean	95% interval	P(neg)
Next quarter	0.188	0.072 – 0.314	0.00
Next year	0.190	0.056 – 0.327	0.00
Next five years	0.198	0.007 – 0.375	0.02