ChInv · Investment alt · Thomas and Zhang (2002)
Inventory 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
5.18%
95% interval 1.70% to 8.08%
Next year
2026Q4–2027Q3
5.19%
95% interval 1.72% to 8.08%
Next five years
2026Q4–2031Q3
5.25%
95% interval 1.79% to 8.11%
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
+5,071% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | 5.10% | 8.82% | 0.58 | 4.93 |
| 2020Q1–2024Q4 | −2.69% | 14.46% | −0.19 | −0.42 |
| 2024Q1–2024Q4 | −21.63% | 5.98% | −3.62 | −3.62 |
| 1952Q3–2024Q4 | 5.54% | 6.40% | 0.87 | 7.37 |
| 2020Q1–2024Q4 | 4.77% | 7.28% | 0.66 | 1.47 |
| 2024Q1–2024Q4 | 3.29% | 3.80% | 0.87 | 0.87 |
| 1952Q3–2024Q4 | 6.17% | 11.91% | 0.52 | 4.41 |
| 2020Q1–2024Q4 | 1.71% | 13.36% | 0.13 | 0.29 |
| 2024Q1–2024Q4 | −4.41% | 15.36% | −0.29 | −0.29 |
| 1952Q3–2024Q4 | 7.70% | 8.54% | 0.90 | 7.68 |
| 2020Q1–2024Q4 | 5.22% | 8.43% | 0.62 | 1.38 |
| 2024Q1–2024Q4 | −3.15% | 4.33% | −0.73 | −0.73 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.26 | −0.33 – 0.70 | 0.20 |
| 2026Q4–2027Q3 | 0.27 | −0.28 – 0.70 | 0.18 |
| 2026Q4–2031Q3 | 0.29 | −0.16 – 0.70 | 0.13 |
| 2026Q4 | 0.62 | 0.30 – 0.94 | <0.01 |
| 2026Q4–2027Q3 | 0.58 | 0.27 – 0.91 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.18 – 0.88 | <0.01 |
| 2026Q4 | 0.43 | 0.14 – 0.68 | <0.01 |
| 2026Q4–2027Q3 | 0.43 | 0.14 – 0.68 | <0.01 |
| 2026Q4–2031Q3 | 0.43 | 0.12 – 0.69 | <0.01 |
| 2026Q4 | 0.54 | 0.19 – 0.93 | <0.01 |
| 2026Q4–2027Q3 | 0.52 | 0.17 – 0.91 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.11 – 0.90 | <0.01 |