XFIN · External financing · Bradshaw, Richardson, Sloan (2006)
Net external financing
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
2.84%
95% interval 1.83% to 3.68%
Next year
2.67%
95% interval 1.72% to 3.58%
Next five years
2.18%
95% interval 0.95% to 3.34%
Cumulative market-adjusted return
+13,711% since 1972Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q3–2024Q4 | 10.39% | 13.89% | 0.75 | 5.42 |
| 2020Q1–2024Q4 | 19.49% | 19.57% | 1.00 | 2.23 |
| 2024Q1–2024Q4 | 12.51% | 11.76% | 1.06 | 1.06 |
| 1972Q3–2024Q4 | 15.52% | 14.63% | 1.06 | 7.69 |
| 2020Q1–2024Q4 | 27.02% | 24.44% | 1.11 | 2.47 |
| 2024Q1–2024Q4 | 22.30% | 15.46% | 1.44 | 1.44 |
| 1972Q3–2024Q4 | 15.08% | 20.71% | 0.73 | 5.27 |
| 2020Q1–2024Q4 | 23.21% | 26.69% | 0.87 | 1.94 |
| 2024Q1–2024Q4 | 15.84% | 20.05% | 0.79 | 0.79 |
| 1972Q3–2024Q4 | 18.52% | 18.88% | 0.98 | 7.11 |
| 2020Q1–2024Q4 | 36.36% | 28.45% | 1.28 | 2.86 |
| 2024Q1–2024Q4 | 40.57% | 20.48% | 1.98 | 1.98 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.413 | 0.263 – 0.537 | 0.00 |
| Next year | 0.387 | 0.247 – 0.520 | 0.00 |
| Next five years | 0.314 | 0.137 – 0.481 | 0.00 |
| Next quarter | 0.584 | 0.376 – 0.774 | 0.00 |
| Next year | 0.553 | 0.376 – 0.724 | 0.00 |
| Next five years | 0.465 | 0.301 – 0.630 | 0.00 |
| Next quarter | 0.341 | 0.220 – 0.458 | 0.00 |
| Next year | 0.329 | 0.202 – 0.457 | 0.00 |
| Next five years | 0.297 | 0.119 – 0.455 | 0.00 |
| Next quarter | 0.573 | 0.333 – 0.820 | 0.00 |
| Next year | 0.539 | 0.335 – 0.748 | 0.00 |
| Next five years | 0.443 | 0.286 – 0.598 | 0.00 |