ChInvIA · Investment growth · Abarbanell and Bushee (1998)
Change in capital inv (ind adj)
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
4.95%
95% interval 2.12% to 7.71%
Next year
2026Q4–2027Q3
4.95%
95% interval 2.09% to 7.72%
Next five years
2026Q4–2031Q3
4.95%
95% interval 1.94% to 7.77%
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
+3,430% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | 3.10% | 8.50% | 0.36 | 3.10 |
| 2020Q1–2024Q4 | 5.22% | 12.05% | 0.43 | 0.97 |
| 2024Q1–2024Q4 | 22.87% | 11.95% | 1.91 | 1.91 |
| 1952Q3–2024Q4 | 3.33% | 6.71% | 0.50 | 4.22 |
| 2020Q1–2024Q4 | −2.39% | 9.98% | −0.24 | −0.54 |
| 2024Q1–2024Q4 | −1.58% | 6.24% | −0.25 | −0.25 |
| 1952Q3–2024Q4 | 5.67% | 12.22% | 0.46 | 3.95 |
| 2020Q1–2024Q4 | 7.98% | 17.82% | 0.45 | 1.00 |
| 2024Q1–2024Q4 | 0.24% | 3.65% | 0.06 | 0.06 |
| 1952Q3–2024Q4 | 5.41% | 8.53% | 0.63 | 5.40 |
| 2020Q1–2024Q4 | −1.31% | 9.70% | −0.13 | −0.30 |
| 2024Q1–2024Q4 | 1.34% | 6.69% | 0.20 | 0.20 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.34 | 0.12 – 0.58 | <0.01 |
| 2026Q4–2027Q3 | 0.34 | 0.12 – 0.57 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.12 – 0.56 | <0.01 |
| 2026Q4 | −0.03 | −0.36 – 0.43 | 0.60 |
| 2026Q4–2027Q3 | −0.01 | −0.32 – 0.43 | 0.58 |
| 2026Q4–2031Q3 | 0.04 | −0.22 – 0.43 | 0.45 |
| 2026Q4 | 0.40 | 0.17 – 0.63 | <0.01 |
| 2026Q4–2027Q3 | 0.40 | 0.17 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.39 | 0.13 – 0.63 | <0.01 |
| 2026Q4 | 0.29 | −0.04 – 0.68 | 0.05 |
| 2026Q4–2027Q3 | 0.28 | −0.04 – 0.67 | 0.05 |
| 2026Q4–2031Q3 | 0.27 | −0.03 – 0.67 | 0.04 |