grcapx3y · Investment growth · Anderson and Garcia-Feijoo (2006)
Change in capex (three years)
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1954Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.51%
95% interval 1.06% to 8.11%
Next year
2026Q4–2027Q3
4.48%
95% interval 1.04% to 8.06%
Next five years
2026Q4–2031Q3
4.39%
95% interval 0.90% to 7.96%
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
+1,151% since 1954Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1954Q3–2024Q4 | 2.85% | 10.72% | 0.27 | 2.23 |
| 2020Q1–2024Q4 | 4.52% | 23.45% | 0.19 | 0.43 |
| 2024Q1–2024Q4 | 14.04% | 8.31% | 1.69 | 1.69 |
| 1954Q3–2024Q4 | 4.57% | 7.90% | 0.58 | 4.85 |
| 2020Q1–2024Q4 | 5.72% | 9.71% | 0.59 | 1.32 |
| 2024Q1–2024Q4 | −1.14% | 3.99% | −0.29 | −0.29 |
| 1954Q3–2024Q4 | 4.65% | 15.00% | 0.31 | 2.60 |
| 2020Q1–2024Q4 | 5.34% | 31.27% | 0.17 | 0.38 |
| 2024Q1–2024Q4 | 22.15% | 8.61% | 2.57 | 2.57 |
| 1954Q3–2024Q4 | 5.61% | 9.26% | 0.61 | 5.09 |
| 2020Q1–2024Q4 | 6.46% | 10.61% | 0.61 | 1.36 |
| 2024Q1–2024Q4 | 0.89% | 8.47% | 0.11 | 0.11 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.25 | 0.02 – 0.48 | 0.02 |
| 2026Q4–2027Q3 | 0.24 | 0.02 – 0.47 | 0.02 |
| 2026Q4–2031Q3 | 0.23 | <0.01 – 0.46 | 0.02 |
| 2026Q4 | 0.43 | 0.16 – 0.70 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.14 – 0.70 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.09 – 0.69 | <0.01 |
| 2026Q4 | 0.30 | 0.07 – 0.54 | <0.01 |
| 2026Q4–2027Q3 | 0.30 | 0.07 – 0.53 | 0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.06 – 0.51 | 0.01 |
| 2026Q4 | 0.43 | 0.15 – 0.71 | <0.01 |
| 2026Q4–2027Q3 | 0.42 | 0.14 – 0.71 | <0.01 |
| 2026Q4–2031Q3 | 0.38 | 0.09 – 0.70 | <0.01 |