InvestPPEInv · Investment · Lyandres, Sun and Zhang (2008)
change in ppe and inv/assets
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.64%
95% interval −0.15% to 8.96%
Next year
2026Q4–2027Q3
4.70%
95% interval −0.12% to 8.98%
Next five years
2026Q4–2031Q3
4.93%
95% interval −0.03% to 9.09%
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.
The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.
Cumulative market-adjusted return
+9,861% since 1952Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q1–2024Q4 | 4.34% | 10.46% | 0.41 | 3.54 |
| 2020Q1–2024Q4 | −3.21% | 19.94% | −0.16 | −0.36 |
| 2024Q1–2024Q4 | −19.94% | 18.21% | −1.10 | −1.10 |
| 1952Q1–2024Q4 | 8.99% | 8.96% | 1.00 | 8.57 |
| 2020Q1–2024Q4 | 2.88% | 7.41% | 0.39 | 0.87 |
| 2024Q1–2024Q4 | 5.55% | 3.71% | 1.50 | 1.50 |
| 1952Q1–2024Q4 | 7.23% | 13.65% | 0.53 | 4.53 |
| 2020Q1–2024Q4 | 2.36% | 29.01% | 0.08 | 0.18 |
| 2024Q1–2024Q4 | −8.05% | 9.50% | −0.85 | −0.85 |
| 1952Q1–2024Q4 | 12.96% | 11.92% | 1.09 | 9.29 |
| 2020Q1–2024Q4 | 10.43% | 11.42% | 0.91 | 2.04 |
| 2024Q1–2024Q4 | 13.54% | 8.67% | 1.56 | 1.56 |
| 1952Q1–2024Q4 | 6.89% | 7.40% | 0.93 | 7.95 |
| 2020Q1–2024Q4 | −0.69% | 5.57% | −0.12 | −0.28 |
| 2024Q1–2024Q4 | 0.66% | 2.23% | 0.30 | 0.30 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.14 | −0.31 – 0.53 | 0.29 |
| 2026Q4–2027Q3 | 0.15 | −0.27 – 0.53 | 0.27 |
| 2026Q4–2031Q3 | 0.17 | −0.17 – 0.53 | 0.20 |
| 2026Q4 | 0.49 | 0.22 – 0.84 | <0.01 |
| 2026Q4–2027Q3 | 0.45 | 0.19 – 0.82 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.11 – 0.75 | <0.01 |
| 2026Q4 | 0.34 | −0.01 – 0.66 | 0.03 |
| 2026Q4–2027Q3 | 0.34 | −0.01 – 0.66 | 0.03 |
| 2026Q4–2031Q3 | 0.33 | −<0.01 – 0.66 | 0.03 |
| 2026Q4 | 0.75 | 0.52 – 1.03 | <0.01 |
| 2026Q4–2027Q3 | 0.69 | 0.46 – 0.99 | <0.01 |
| 2026Q4–2031Q3 | 0.53 | 0.28 – 0.91 | <0.01 |
| 2026Q4 | 0.26 | −0.03 – 0.66 | 0.04 |
| 2026Q4–2027Q3 | 0.25 | −0.02 – 0.64 | 0.04 |
| 2026Q4–2031Q3 | 0.23 | −0.02 – 0.60 | 0.04 |