cfp · Valuation · Desai, Rajgopal, Venkatachalam (2004)

Operating Cash flows to price

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1964Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.36%

95% interval 0.50% to 2.21%

Next year

1.34%

95% interval 0.49% to 2.20%

Next five years

1.28%

95% interval 0.36% to 2.19%

Next quarter

2.76%

95% interval 0.90% to 5.07%

Next year

2.59%

95% interval 0.94% to 4.58%

Next five years

2.09%

95% interval 0.87% to 3.45%

Next quarter

0.99%

95% interval −0.08% to 2.02%

Next year

0.96%

95% interval −0.09% to 2.00%

Next five years

0.87%

95% interval −0.24% to 1.95%

Next quarter

4.84%

95% interval 1.28% to 7.80%

Next year

4.29%

95% interval 1.31% to 6.86%

Next five years

2.69%

95% interval 1.08% to 4.50%

Cumulative market-adjusted return

+1,684% since 1964Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1964Q3–2024Q4	5.73%	13.91%	0.41	3.21
2020Q1–2024Q4	9.06%	19.22%	0.47	1.05
2024Q1–2024Q4	12.77%	20.11%	0.64	0.64
1964Q3–2024Q4	8.53%	18.01%	0.47	3.68
2020Q1–2024Q4	26.71%	30.98%	0.86	1.93
2024Q1–2024Q4	22.65%	27.20%	0.83	0.83
1964Q3–2024Q4	3.83%	16.69%	0.23	1.78
2020Q1–2024Q4	11.03%	26.68%	0.41	0.92
2024Q1–2024Q4	2.84%	40.07%	0.07	0.07
1964Q3–2024Q4	9.19%	20.26%	0.45	3.53
2020Q1–2024Q4	35.34%	35.26%	1.00	2.24
2024Q1–2024Q4	43.67%	32.04%	1.36	1.36

Horizon	Mean	95% interval	P(neg)
Next quarter	0.196	0.072 – 0.319	0.00
Next year	0.193	0.070 – 0.317	0.00
Next five years	0.183	0.051 – 0.315	0.00
Next quarter	0.308	0.099 – 0.572	0.00
Next year	0.289	0.104 – 0.513	0.00
Next five years	0.232	0.096 – 0.384	0.00
Next quarter	0.119	−0.009 – 0.243	0.03
Next year	0.115	−0.010 – 0.240	0.04
Next five years	0.104	−0.028 – 0.234	0.06
Next quarter	0.482	0.126 – 0.789	0.00
Next year	0.425	0.129 – 0.687	0.00
Next five years	0.266	0.107 – 0.444	0.00