OperProfRD · Profitability · Ball et al. (2016)
Operating profitability R&D adjusted
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
9.81%
95% interval 4.89% to 14.20%
Next year
2026Q4–2027Q3
9.60%
95% interval 4.66% to 14.10%
Next five years
2026Q4–2031Q3
8.77%
95% interval 3.67% to 13.65%
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
+8,394% since 1963Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1963Q3–2024Q4 | 6.97% | 12.23% | 0.57 | 4.47 |
| 2020Q1–2024Q4 | 14.29% | 17.48% | 0.82 | 1.83 |
| 2024Q1–2024Q4 | 19.84% | 18.97% | 1.05 | 1.05 |
| 1963Q3–2024Q4 | 6.97% | 12.23% | 0.57 | 4.47 |
| 2020Q1–2024Q4 | 14.29% | 17.48% | 0.82 | 1.83 |
| 2024Q1–2024Q4 | 19.84% | 18.97% | 1.05 | 1.05 |
| 1963Q3–2024Q4 | 8.51% | 15.81% | 0.54 | 4.22 |
| 2020Q1–2024Q4 | 14.03% | 23.19% | 0.60 | 1.35 |
| 2024Q1–2024Q4 | 31.74% | 32.30% | 0.98 | 0.98 |
| 1963Q3–2024Q4 | 8.51% | 15.81% | 0.54 | 4.22 |
| 2020Q1–2024Q4 | 14.03% | 23.19% | 0.60 | 1.35 |
| 2024Q1–2024Q4 | 31.74% | 32.30% | 0.98 | 0.98 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.68 | 0.34 – 0.99 | <0.01 |
| 2026Q4–2027Q3 | 0.62 | 0.30 – 0.90 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.19 – 0.71 | <0.01 |
| 2026Q4 | 0.68 | 0.35 – 0.99 | <0.01 |
| 2026Q4–2027Q3 | 0.62 | 0.31 – 0.90 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.20 – 0.71 | <0.01 |
| 2026Q4 | 0.63 | 0.31 – 0.91 | <0.01 |
| 2026Q4–2027Q3 | 0.57 | 0.27 – 0.83 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.17 – 0.66 | <0.01 |
| 2026Q4 | 0.63 | 0.31 – 0.91 | <0.01 |
| 2026Q4–2027Q3 | 0.57 | 0.27 – 0.83 | <0.01 |
| 2026Q4–2031Q3 | 0.42 | 0.16 – 0.66 | <0.01 |