fgr5yrLag · Earnings forecast · La Porta (1996)

Long-term EPS forecast

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1982Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.49%

95% interval 0.20% to 2.82%

Next year

1.50%

95% interval 0.15% to 2.84%

Next five years

1.51%

95% interval −0.00% to 2.95%

Next quarter

1.68%

95% interval 0.47% to 2.88%

Next year

1.69%

95% interval 0.44% to 2.90%

Next five years

1.73%

95% interval 0.35% to 2.98%

Next quarter

2.09%

95% interval 0.49% to 3.65%

Next year

2.06%

95% interval 0.46% to 3.66%

Next five years

1.95%

95% interval 0.20% to 3.68%

Next quarter

1.96%

95% interval 0.44% to 3.45%

Next year

1.98%

95% interval 0.42% to 3.47%

Next five years

2.05%

95% interval 0.32% to 3.60%

Cumulative market-adjusted return

+952% since 1982Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1982Q3–2024Q4	7.30%	18.84%	0.39	2.53
2020Q1–2024Q4	7.36%	27.56%	0.27	0.60
2024Q1–2024Q4	−0.84%	17.77%	−0.05	−0.05
1982Q3–2024Q4	8.46%	16.38%	0.52	3.37
2020Q1–2024Q4	6.34%	14.29%	0.44	0.99
2024Q1–2024Q4	0.80%	14.30%	0.06	0.06
1982Q3–2024Q4	9.12%	22.76%	0.40	2.61
2020Q1–2024Q4	19.30%	35.67%	0.54	1.21
2024Q1–2024Q4	14.24%	36.31%	0.39	0.39
1982Q3–2024Q4	10.15%	19.99%	0.51	3.31
2020Q1–2024Q4	12.50%	18.11%	0.69	1.54
2024Q1–2024Q4	−5.05%	20.96%	−0.24	−0.24

Horizon	Mean	95% interval	P(neg)
Next quarter	0.159	0.021 – 0.301	0.01
Next year	0.159	0.016 – 0.302	0.01
Next five years	0.161	−0.000 – 0.314	0.03
Next quarter	0.205	0.058 – 0.352	0.00
Next year	0.206	0.054 – 0.354	0.00
Next five years	0.211	0.043 – 0.364	0.01
Next quarter	0.184	0.043 – 0.322	0.01
Next year	0.181	0.040 – 0.322	0.01
Next five years	0.172	0.017 – 0.324	0.02
Next quarter	0.196	0.045 – 0.347	0.01
Next year	0.198	0.042 – 0.348	0.01
Next five years	0.205	0.032 – 0.360	0.01