Recomm_ShortInterest · Recommendation · Drake, Rees and Swanson (2011)
Analyst Recommendations and Short-Interest
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1994Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
2.31%
95% interval 1.06% to 3.54%
Next year
2.28%
95% interval 1.01% to 3.54%
Next five years
2.18%
95% interval 0.71% to 3.56%
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
+1,853% since 1994Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1994Q1–2024Q4 | 10.96% | 15.98% | 0.69 | 3.82 |
| 2020Q1–2024Q4 | 10.20% | 23.97% | 0.43 | 0.95 |
| 2024Q1–2024Q4 | 19.13% | 24.20% | 0.79 | 0.79 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.290 | 0.133 – 0.445 | 0.00 |
| Next year | 0.285 | 0.126 – 0.445 | 0.00 |
| Next five years | 0.273 | 0.089 – 0.446 | 0.00 |