Change in order backlog
✓ aliveOrderBacklogChgQuality· Accounting data
Define normalized order backlog as order backlog (ob) divided by average total assets (at) in years t-1 and t. Exclude if order backlog is 0. Signal is normalized order backlog minus normalized order backlog one year ago.
IS Sharpe (1972–2006)
0.278
+3.0% p.a.
OOS Sharpe (2007–2024)
0.736
+9.4% p.a.
Sharpe decay
-164.7%
(IS − OOS) / |IS|
IS vol
11.0%
annualized
Cumulative return (last 40 years, monthly)
+662%1984-012024-12
Publication details
AuthorsBaik and Ahn
PaperBaik and Ahn (2007)
JournalOther
Publication year2007
Original sample1971–1999
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