Growth in book equity

✓ alive

ChEQInvestment· Accounting data

Ratio of book equity (ceq) to book equity in the previous year. Include only if book equity is positive this year and last year.

IS Sharpe (1962–2009)

0.571

+6.2% p.a.

OOS Sharpe (2010–2024)

0.551

+5.1% p.a.

Sharpe decay

+3.5%

(IS − OOS) / |IS|

IS vol

10.8%

annualized

Cumulative return (last 40 years, monthly)

+1074%

1984-012024-12

Publication details

AuthorsLockwood and Prombutr

PaperLockwood and Prombutr (2010)

JournalJFR

Publication year2010

Original sample1964–2007

IS T-statistic5.38