ShareVol · Volume · Datar, Naik and Radcliffe (1998)
Share Volume
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1926Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.07%
95% interval 0.12% to 1.93%
Next year
1.10%
95% interval 0.20% to 1.91%
Next five years
1.17%
95% interval 0.39% to 1.90%
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
+6,219% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 5.22% | 14.16% | 0.37 | 3.64 |
| 2020Q1–2024Q4 | −5.66% | 10.86% | −0.52 | −1.16 |
| 2024Q1–2024Q4 | 2.21% | 10.04% | 0.22 | 0.22 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.152 | 0.017 – 0.272 | 0.01 |
| Next year | 0.155 | 0.029 – 0.269 | 0.01 |
| Next five years | 0.165 | 0.055 – 0.269 | 0.00 |