PatentsRD · Profitability alt · Hirschleifer, Hsu and Li (2013)
Patents to RD expenses
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1977Q3 to 2023Q2.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
−24.28%
95% interval −35.44% to −7.01%
Next year
2026Q4–2027Q3
−23.34%
95% interval −34.71% to −6.14%
Next five years
2026Q4–2031Q3
−19.34%
95% interval −31.46% to −3.09%
Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2023Q2. The 13 quarters between then and 2026Q4 are unobserved and are integrated out under the model.
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
−90% since 1977Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1977Q3–2023Q2 | −3.01% | 23.17% | −0.13 | −0.79 |
| 2012Q3–2023Q2 | −54.56% | 51.34% | −1.06 | −2.38 |
| 2022Q3–2023Q2 | −68.34% | 67.06% | −1.02 | −1.02 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | −1.07 | −1.58 – −0.30 | 1.00 |
| 2026Q4–2027Q3 | −0.90 | −1.34 – −0.24 | 1.00 |
| 2026Q4–2031Q3 | −0.52 | −0.82 – −0.09 | 0.99 |