OrgCap · R&D · Eisfeldt and Papanikolaou (2013)
Organizational capital
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
6.14%
95% interval 3.51% to 8.84%
Next year
2026Q4–2027Q3
6.12%
95% interval 3.45% to 8.84%
Next five years
2026Q4–2031Q3
6.08%
95% interval 3.24% to 8.87%
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
+9,412% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 5.32% | 9.57% | 0.56 | 4.77 |
| 2020Q1–2024Q4 | 2.15% | 13.16% | 0.16 | 0.37 |
| 2024Q1–2024Q4 | 5.74% | 4.22% | 1.36 | 1.36 |
| 1951Q3–2024Q4 | 5.32% | 9.57% | 0.56 | 4.77 |
| 2020Q1–2024Q4 | 2.15% | 13.16% | 0.16 | 0.37 |
| 2024Q1–2024Q4 | 5.74% | 4.22% | 1.36 | 1.36 |
| 1951Q3–2024Q4 | 6.89% | 11.52% | 0.60 | 5.12 |
| 2020Q1–2024Q4 | 4.68% | 20.23% | 0.23 | 0.52 |
| 2024Q1–2024Q4 | 10.38% | 6.93% | 1.50 | 1.50 |
| 1951Q3–2024Q4 | 6.89% | 11.52% | 0.60 | 5.12 |
| 2020Q1–2024Q4 | 4.68% | 20.23% | 0.23 | 0.52 |
| 2024Q1–2024Q4 | 10.38% | 6.93% | 1.50 | 1.50 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.49 | 0.24 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.48 | 0.23 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.19 – 0.71 | <0.01 |
| 2026Q4 | 0.49 | 0.24 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.48 | 0.23 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.19 – 0.71 | <0.01 |
| 2026Q4 | 0.53 | 0.30 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.52 | 0.29 – 0.75 | <0.01 |
| 2026Q4–2031Q3 | 0.49 | 0.23 – 0.74 | <0.01 |
| 2026Q4 | 0.53 | 0.30 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.52 | 0.29 – 0.75 | <0.01 |
| 2026Q4–2031Q3 | 0.49 | 0.22 – 0.74 | <0.01 |