GrAdExp · Investment alt · Lou (2014)
Growth in advertising expenses
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1965Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.47%
95% interval −1.26% to 8.24%
Next year
2026Q4–2027Q3
3.44%
95% interval −1.34% to 8.26%
Next five years
2026Q4–2031Q3
3.36%
95% interval −1.69% to 8.36%
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
+258% since 1965Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1965Q3–2024Q4 | 3.23% | 17.04% | 0.19 | 1.46 |
| 2020Q1–2024Q4 | 8.00% | 15.52% | 0.52 | 1.15 |
| 2024Q1–2024Q4 | 23.74% | 8.08% | 2.94 | 2.94 |
| 1965Q3–2024Q4 | 3.44% | 12.82% | 0.27 | 2.07 |
| 2020Q1–2024Q4 | 2.58% | 8.59% | 0.30 | 0.67 |
| 2024Q1–2024Q4 | 13.72% | 3.87% | 3.55 | 3.55 |
| 1965Q3–2024Q4 | 3.96% | 19.13% | 0.21 | 1.60 |
| 2020Q1–2024Q4 | 5.43% | 14.36% | 0.38 | 0.85 |
| 2024Q1–2024Q4 | 16.80% | 11.31% | 1.48 | 1.48 |
| 1965Q3–2024Q4 | 3.68% | 14.37% | 0.26 | 1.98 |
| 2020Q1–2024Q4 | 2.68% | 11.36% | 0.24 | 0.53 |
| 2024Q1–2024Q4 | 15.90% | 8.33% | 1.91 | 1.91 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.18 | −0.06 – 0.44 | 0.07 |
| 2026Q4–2027Q3 | 0.18 | −0.07 – 0.42 | 0.08 |
| 2026Q4–2031Q3 | 0.17 | −0.07 – 0.40 | 0.08 |
| 2026Q4 | 0.24 | −0.02 – 0.50 | 0.03 |
| 2026Q4–2027Q3 | 0.23 | −0.02 – 0.48 | 0.04 |
| 2026Q4–2031Q3 | 0.20 | −0.05 – 0.45 | 0.06 |
| 2026Q4 | 0.18 | −0.07 – 0.43 | 0.07 |
| 2026Q4–2027Q3 | 0.18 | −0.07 – 0.42 | 0.08 |
| 2026Q4–2031Q3 | 0.16 | −0.08 – 0.41 | 0.09 |
| 2026Q4 | 0.24 | −0.03 – 0.51 | 0.04 |
| 2026Q4–2027Q3 | 0.21 | −0.04 – 0.46 | 0.05 |
| 2026Q4–2031Q3 | 0.16 | −0.07 – 0.40 | 0.09 |