ChNWC · Investment alt · Soliman (2008)
Change in Net Working Capital
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
3.01%
95% interval −0.30% to 5.65%
Next year
2026Q4–2027Q3
3.04%
95% interval −0.25% to 5.65%
Next five years
2026Q4–2031Q3
3.14%
95% interval −0.10% to 5.69%
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
+1,297% since 1952Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q3–2024Q4 | 2.74% | 7.39% | 0.37 | 3.16 |
| 2020Q1–2024Q4 | 2.71% | 5.39% | 0.50 | 1.12 |
| 2024Q1–2024Q4 | 10.02% | 5.70% | 1.76 | 1.76 |
| 1952Q3–2024Q4 | 1.78% | 3.70% | 0.48 | 4.10 |
| 2020Q1–2024Q4 | 2.78% | 4.24% | 0.65 | 1.46 |
| 2024Q1–2024Q4 | 0.43% | 2.81% | 0.15 | 0.15 |
| 1952Q3–2024Q4 | 4.12% | 9.73% | 0.42 | 3.60 |
| 2020Q1–2024Q4 | 0.68% | 7.92% | 0.09 | 0.19 |
| 2024Q1–2024Q4 | −15.44% | 4.90% | −3.15 | −3.15 |
| 1952Q3–2024Q4 | 2.14% | 4.95% | 0.43 | 3.68 |
| 2020Q1–2024Q4 | 2.58% | 5.93% | 0.44 | 0.97 |
| 2024Q1–2024Q4 | 0.40% | 6.35% | 0.06 | 0.06 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.32 | 0.09 – 0.55 | <0.01 |
| 2026Q4–2027Q3 | 0.31 | 0.08 – 0.54 | <0.01 |
| 2026Q4–2031Q3 | 0.29 | 0.06 – 0.53 | 0.01 |
| 2026Q4 | 0.31 | 0.04 – 0.57 | 0.01 |
| 2026Q4–2027Q3 | 0.29 | 0.04 – 0.55 | 0.01 |
| 2026Q4–2031Q3 | 0.25 | 0.01 – 0.51 | 0.02 |
| 2026Q4 | 0.31 | −0.03 – 0.58 | 0.04 |
| 2026Q4–2027Q3 | 0.31 | −0.02 – 0.58 | 0.03 |
| 2026Q4–2031Q3 | 0.31 | −0.01 – 0.58 | 0.03 |
| 2026Q4 | 0.30 | 0.02 – 0.56 | 0.02 |
| 2026Q4–2027Q3 | 0.29 | 0.02 – 0.56 | 0.02 |
| 2026Q4–2031Q3 | 0.27 | 0.01 – 0.55 | 0.02 |