AssetGrowth · Investment · Cooper, Gulen and Schill (2008)
Asset growth
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
1.28%
95% interval −3.17% to 6.06%
Next year
2026Q4–2027Q3
1.47%
95% interval −3.07% to 6.26%
Next five years
2026Q4–2031Q3
2.12%
95% interval −2.78% to 6.95%
Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q4. The 7 quarters between then and 2026Q4 are unobserved and are integrated out under the model.
Cumulative market-adjusted return
+2,415% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | 3.99% | 11.04% | 0.36 | 3.08 |
| 2020Q1–2024Q4 | 4.22% | 16.08% | 0.26 | 0.59 |
| 2024Q1–2024Q4 | −10.17% | 13.47% | −0.75 | −0.75 |
| 1952Q3–2024Q4 | 8.63% | 11.78% | 0.73 | 6.24 |
| 2020Q1–2024Q4 | 12.48% | 14.56% | 0.86 | 1.92 |
| 2024Q1–2024Q4 | 0.82% | 15.76% | 0.05 | 0.05 |
| 1952Q3–2024Q4 | 5.47% | 14.40% | 0.38 | 3.23 |
| 2020Q1–2024Q4 | 5.49% | 23.33% | 0.24 | 0.53 |
| 2024Q1–2024Q4 | −38.00% | 20.14% | −1.89 | −1.89 |
| 1952Q3–2024Q4 | 11.27% | 15.02% | 0.75 | 6.39 |
| 2020Q1–2024Q4 | 12.92% | 17.37% | 0.74 | 1.66 |
| 2024Q1–2024Q4 | −5.82% | 18.61% | −0.31 | −0.31 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.23 | −0.06 – 0.51 | 0.06 |
| 2026Q4–2027Q3 | 0.23 | −0.05 – 0.50 | 0.06 |
| 2026Q4–2031Q3 | 0.22 | −0.04 – 0.49 | 0.05 |
| 2026Q4 | 0.51 | 0.27 – 0.77 | <0.01 |
| 2026Q4–2027Q3 | 0.47 | 0.23 – 0.74 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.14 – 0.67 | <0.01 |
| 2026Q4 | 0.09 | −0.22 – 0.42 | 0.30 |
| 2026Q4–2027Q3 | 0.10 | −0.19 – 0.42 | 0.27 |
| 2026Q4–2031Q3 | 0.12 | −0.12 – 0.41 | 0.20 |
| 2026Q4 | 0.43 | 0.17 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.40 | 0.15 – 0.69 | <0.01 |
| 2026Q4–2031Q3 | 0.31 | 0.08 – 0.61 | <0.01 |