RDAbility · Other · Cohen, Diether and Malloy (2013)

R&D ability

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1957Q3 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

−2.84%

95% interval −14.90% to 5.77%

Next year

2026Q4–2027Q3

−2.54%

95% interval −14.33% to 5.83%

Next five years

2026Q4–2031Q3

−1.55%

95% interval −12.28% to 6.13%

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

−56% since 1957Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1957Q3–2024Q4	1.76%	18.55%	0.09	0.78
2020Q1–2024Q4	−13.71%	22.18%	−0.62	−1.38
2024Q1–2024Q4	−45.65%	26.15%	−1.75	−1.75
1957Q3–2024Q4	1.36%	12.67%	0.11	0.88
2020Q1–2024Q4	2.42%	12.45%	0.19	0.43
2024Q1–2024Q4	−16.51%	7.75%	−2.13	−2.13
1957Q3–2024Q4	1.60%	24.23%	0.07	0.54
2020Q1–2024Q4	−17.09%	23.27%	−0.73	−1.64
2024Q1–2024Q4	−45.75%	28.71%	−1.59	−1.59
1957Q3–2024Q4	0.42%	17.60%	0.02	0.19
2020Q1–2024Q4	−1.20%	14.23%	−0.08	−0.19
2024Q1–2024Q4	−23.00%	10.49%	−2.19	−2.19

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.22	−0.78 – 0.23	0.77
2026Q4–2027Q3	−0.17	−0.65 – 0.23	0.74
2026Q4–2031Q3	−0.06	−0.38 – 0.24	0.64
2026Q4	0.07	−0.19 – 0.31	0.29
2026Q4–2027Q3	0.07	−0.18 – 0.31	0.28
2026Q4–2031Q3	0.07	−0.16 – 0.30	0.27
2026Q4	−0.12	−0.62 – 0.24	0.66
2026Q4–2027Q3	−0.10	−0.54 – 0.24	0.64
2026Q4–2031Q3	−0.04	−0.35 – 0.24	0.58
2026Q4	−0.02	−0.28 – 0.23	0.55
2026Q4–2027Q3	−0.01	−0.26 – 0.23	0.54
2026Q4–2031Q3	−<0.01	−0.23 – 0.23	0.52