RD · R&D · Chan, Lakonishok and Sougiannis (2001)

R&D over market cap

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

−0.51%

95% interval −9.28% to 6.76%

Next year

2026Q4–2027Q3

−0.33%

95% interval −9.03% to 6.83%

Next five years

2026Q4–2031Q3

0.30%

95% interval −8.17% to 7.20%

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

+1.8% since 1951Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	1.02%	17.00%	0.06	0.51
2020Q1–2024Q4	−13.49%	21.31%	−0.63	−1.41
2024Q1–2024Q4	−50.94%	19.90%	−2.56	−2.56
1951Q3–2024Q4	6.52%	18.21%	0.36	3.07
2020Q1–2024Q4	−13.69%	24.06%	−0.57	−1.27
2024Q1–2024Q4	−18.85%	31.50%	−0.60	−0.60
1951Q3–2024Q4	2.78%	24.12%	0.12	0.99
2020Q1–2024Q4	−3.91%	29.73%	−0.13	−0.29
2024Q1–2024Q4	−22.15%	28.91%	−0.77	−0.77
1951Q3–2024Q4	7.54%	22.86%	0.33	2.83
2020Q1–2024Q4	−15.83%	29.92%	−0.53	−1.18
2024Q1–2024Q4	−35.08%	35.76%	−0.98	−0.98

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.29	−0.82 – 0.17	0.85
2026Q4–2027Q3	−0.25	−0.71 – 0.18	0.83
2026Q4–2031Q3	−0.13	−0.44 – 0.19	0.76
2026Q4	−0.21	−0.67 – 0.35	0.76
2026Q4–2027Q3	−0.17	−0.58 – 0.34	0.73
2026Q4–2031Q3	−0.05	−0.36 – 0.33	0.62
2026Q4	−0.02	−0.39 – 0.28	0.51
2026Q4–2027Q3	−0.01	−0.34 – 0.28	0.50
2026Q4–2031Q3	0.02	−0.24 – 0.28	0.43
2026Q4	−0.26	−0.74 – 0.35	0.78
2026Q4–2027Q3	−0.20	−0.64 – 0.33	0.75
2026Q4–2031Q3	−0.07	−0.40 – 0.32	0.64