ShortInterest · Short sale constraints · Dechow et al. (2001)
Short Interest
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1973Q2 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.33%
95% interval 0.44% to 2.32%
Next year
1.27%
95% interval 0.45% to 2.18%
Next five years
1.12%
95% interval 0.35% to 1.92%
Cumulative market-adjusted return
+824% since 1973Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1973Q2–2024Q4 | 4.92% | 10.95% | 0.45 | 3.23 |
| 2020Q1–2024Q4 | 7.29% | 19.34% | 0.38 | 0.84 |
| 2024Q1–2024Q4 | 21.86% | 17.52% | 1.25 | 1.25 |
| 1973Q2–2024Q4 | 12.20% | 9.33% | 1.31 | 9.40 |
| 2020Q1–2024Q4 | 15.68% | 12.16% | 1.29 | 2.88 |
| 2024Q1–2024Q4 | 29.59% | 4.79% | 6.17 | 6.17 |
| 1973Q2–2024Q4 | 6.37% | 14.15% | 0.45 | 3.24 |
| 2020Q1–2024Q4 | 11.35% | 24.74% | 0.46 | 1.03 |
| 2024Q1–2024Q4 | 14.91% | 14.16% | 1.05 | 1.05 |
| 1973Q2–2024Q4 | 15.12% | 11.79% | 1.28 | 9.23 |
| 2020Q1–2024Q4 | 23.04% | 15.85% | 1.45 | 3.25 |
| 2024Q1–2024Q4 | 38.41% | 10.28% | 3.74 | 3.74 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.243 | 0.081 – 0.429 | 0.00 |
| Next year | 0.233 | 0.082 – 0.400 | 0.00 |
| Next five years | 0.205 | 0.063 – 0.351 | 0.00 |
| Next quarter | 0.608 | 0.454 – 0.785 | 0.00 |
| Next year | 0.595 | 0.453 – 0.758 | 0.00 |
| Next five years | 0.558 | 0.394 – 0.713 | 0.00 |
| Next quarter | 0.233 | 0.090 – 0.367 | 0.00 |
| Next year | 0.224 | 0.087 – 0.362 | 0.00 |
| Next five years | 0.201 | 0.049 – 0.351 | 0.01 |
| Next quarter | 0.655 | 0.470 – 0.847 | 0.00 |
| Next year | 0.626 | 0.463 – 0.786 | 0.00 |
| Next five years | 0.545 | 0.365 – 0.709 | 0.00 |