RDcap · Asset composition · Li (2011)

R&D capital-to-assets

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1980Q3 to 2024Q4.

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

Next quarter

2026Q4

−7.53%

95% interval −21.59% to 5.34%

Next year

2026Q4–2027Q3

−7.05%

95% interval −21.13% to 5.70%

Next five years

2026Q4–2031Q3

−5.58%

95% interval −19.41% to 6.78%

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.

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

−96% since 1980Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1980Q3–2024Q4	−0.70%	23.64%	−0.03	−0.20
2020Q1–2024Q4	−20.13%	31.60%	−0.64	−1.42
2024Q1–2024Q4	−28.64%	32.31%	−0.89	−0.89
1980Q3–2024Q4	−0.70%	23.64%	−0.03	−0.20
2020Q1–2024Q4	−20.13%	31.60%	−0.64	−1.42
2024Q1–2024Q4	−28.64%	32.31%	−0.89	−0.89
1980Q3–2024Q4	−2.47%	33.46%	−0.07	−0.49
2020Q1–2024Q4	−21.13%	38.65%	−0.55	−1.22
2024Q1–2024Q4	−43.18%	36.45%	−1.18	−1.18
1980Q3–2024Q4	−2.47%	33.46%	−0.07	−0.49
2020Q1–2024Q4	−21.13%	38.65%	−0.55	−1.22
2024Q1–2024Q4	−43.18%	36.45%	−1.18	−1.18
1980Q3–2024Q4	−0.27%	13.90%	−0.02	−0.13
2020Q1–2024Q4	−10.86%	20.91%	−0.52	−1.16
2024Q1–2024Q4	−9.24%	24.07%	−0.38	−0.38

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.27	−0.73 – 0.18	0.86
2026Q4–2027Q3	−0.23	−0.64 – 0.18	0.84
2026Q4–2031Q3	−0.13	−0.44 – 0.18	0.78
2026Q4	−0.27	−0.74 – 0.18	0.86
2026Q4–2027Q3	−0.23	−0.64 – 0.18	0.84
2026Q4–2031Q3	−0.13	−0.44 – 0.19	0.79
2026Q4	−0.23	−0.66 – 0.16	0.86
2026Q4–2027Q3	−0.20	−0.58 – 0.16	0.84
2026Q4–2031Q3	−0.13	−0.41 – 0.17	0.79
2026Q4	−0.23	−0.65 – 0.17	0.86
2026Q4–2027Q3	−0.20	−0.57 – 0.16	0.84
2026Q4–2031Q3	−0.13	−0.41 – 0.17	0.80
2026Q4	−0.20	−0.64 – 0.20	0.81
2026Q4–2027Q3	−0.18	−0.57 – 0.20	0.80
2026Q4–2031Q3	−0.11	−0.40 – 0.21	0.75