grcapx · Investment growth · Anderson and Garcia-Feijoo (2006)
Change in capex (two years)
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1953Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
5.15%
95% interval 1.69% to 9.43%
Next year
2026Q4–2027Q3
5.10%
95% interval 1.67% to 9.26%
Next five years
2026Q4–2031Q3
4.91%
95% interval 1.57% to 8.74%
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
+1,601% since 1953Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1953Q3–2024Q4 | 4.20% | 10.59% | 0.40 | 3.35 |
| 2020Q1–2024Q4 | 11.82% | 22.19% | 0.53 | 1.19 |
| 2024Q1–2024Q4 | 13.93% | 10.27% | 1.36 | 1.36 |
| 1953Q3–2024Q4 | 4.88% | 6.75% | 0.72 | 6.12 |
| 2020Q1–2024Q4 | 8.12% | 8.86% | 0.92 | 2.05 |
| 2024Q1–2024Q4 | 3.18% | 2.01% | 1.58 | 1.58 |
| 1953Q3–2024Q4 | 4.84% | 13.53% | 0.36 | 3.03 |
| 2020Q1–2024Q4 | 11.33% | 15.46% | 0.73 | 1.64 |
| 2024Q1–2024Q4 | 15.47% | 5.69% | 2.72 | 2.72 |
| 1953Q3–2024Q4 | 6.40% | 8.92% | 0.72 | 6.07 |
| 2020Q1–2024Q4 | 10.21% | 10.73% | 0.95 | 2.13 |
| 2024Q1–2024Q4 | 2.92% | 7.33% | 0.40 | 0.40 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.40 | 0.15 – 0.68 | <0.01 |
| 2026Q4–2027Q3 | 0.39 | 0.15 – 0.64 | <0.01 |
| 2026Q4–2031Q3 | 0.36 | 0.14 – 0.58 | <0.01 |
| 2026Q4 | 0.65 | 0.42 – 0.88 | <0.01 |
| 2026Q4–2027Q3 | 0.63 | 0.40 – 0.86 | <0.01 |
| 2026Q4–2031Q3 | 0.56 | 0.29 – 0.85 | <0.01 |
| 2026Q4 | 0.38 | 0.12 – 0.70 | <0.01 |
| 2026Q4–2027Q3 | 0.37 | 0.12 – 0.65 | <0.01 |
| 2026Q4–2031Q3 | 0.34 | 0.11 – 0.56 | <0.01 |
| 2026Q4 | 0.66 | 0.43 – 0.88 | <0.01 |
| 2026Q4–2027Q3 | 0.63 | 0.39 – 0.85 | <0.01 |
| 2026Q4–2031Q3 | 0.54 | 0.27 – 0.84 | <0.01 |