UpRecomm · Earnings forecast · Barber et al. (2001)
Up Forecast
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
0.77%
95% interval 0.52% to 1.02%
Next year
0.74%
95% interval 0.44% to 1.04%
Next five years
0.64%
95% interval 0.19% to 1.09%
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
+264% since 1994Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1994Q1–2024Q4 | 4.28% | 4.10% | 1.04 | 5.80 |
| 2020Q1–2024Q4 | 2.93% | 6.11% | 0.48 | 1.07 |
| 2024Q1–2024Q4 | 4.42% | 2.32% | 1.91 | 1.91 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.382 | 0.258 – 0.506 | 0.00 |
| Next year | 0.363 | 0.219 – 0.510 | 0.00 |
| Next five years | 0.313 | 0.093 – 0.529 | 0.00 |