Spinoff · Other · Cusatis, Miles and Woolridge (1993)
Spinoffs
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
−1.77%
95% interval −2.68% to −0.43%
Next year
−1.49%
95% interval −2.46% to −0.32%
Next five years
−0.70%
95% interval −1.83% to 0.38%
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
−90% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | −1.23% | 15.92% | −0.08 | −0.77 |
| 2020Q1–2024Q4 | −17.61% | 12.58% | −1.40 | −3.13 |
| 2024Q1–2024Q4 | −6.92% | 18.35% | −0.38 | −0.38 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | −0.225 | −0.343 – −0.053 | 0.99 |
| Next year | −0.189 | −0.312 – −0.040 | 0.99 |
| Next five years | −0.087 | −0.230 – 0.048 | 0.90 |