ShareIss1Y · External financing · Pontiff and Woodgate (2008)
Share issuance (1 year)
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
0.83%
95% interval 0.30% to 1.30%
Next year
0.85%
95% interval 0.32% to 1.32%
Next five years
0.90%
95% interval 0.32% to 1.39%
Cumulative market-adjusted return
+4,668% since 1927Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q3–2024Q4 | 4.30% | 8.13% | 0.53 | 5.23 |
| 2020Q1–2024Q4 | 6.08% | 12.29% | 0.49 | 1.11 |
| 2024Q1–2024Q4 | −2.70% | 10.51% | −0.26 | −0.26 |
| 1927Q3–2024Q4 | 7.88% | 11.71% | 0.67 | 6.64 |
| 2020Q1–2024Q4 | 20.78% | 24.70% | 0.84 | 1.88 |
| 2024Q1–2024Q4 | 5.34% | 23.25% | 0.23 | 0.23 |
| 1927Q3–2024Q4 | 7.97% | 11.24% | 0.71 | 7.00 |
| 2020Q1–2024Q4 | 13.76% | 16.13% | 0.85 | 1.91 |
| 2024Q1–2024Q4 | −7.45% | 9.55% | −0.78 | −0.78 |
| 1927Q3–2024Q4 | 11.14% | 13.10% | 0.85 | 8.39 |
| 2020Q1–2024Q4 | 29.49% | 29.57% | 1.00 | 2.23 |
| 2024Q1–2024Q4 | 17.14% | 25.92% | 0.66 | 0.66 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.206 | 0.075 – 0.320 | 0.00 |
| Next year | 0.210 | 0.079 – 0.325 | 0.00 |
| Next five years | 0.221 | 0.079 – 0.343 | 0.00 |
| Next quarter | 0.472 | 0.261 – 0.628 | 0.00 |
| Next year | 0.437 | 0.261 – 0.583 | 0.00 |
| Next five years | 0.340 | 0.216 – 0.470 | 0.00 |
| Next quarter | 0.294 | 0.143 – 0.415 | 0.00 |
| Next year | 0.296 | 0.146 – 0.417 | 0.00 |
| Next five years | 0.302 | 0.148 – 0.428 | 0.00 |
| Next quarter | 0.740 | 0.547 – 0.873 | 0.00 |
| Next year | 0.665 | 0.504 – 0.795 | 0.00 |
| Next five years | 0.453 | 0.310 – 0.593 | 0.00 |