AssetGrowth · Investment · Cooper, Gulen and Schill (2008)

Asset growth

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.51%

95% interval −0.34% to 1.35%

Next year

0.57%

95% interval −0.28% to 1.36%

Next five years

0.73%

95% interval −0.15% to 1.49%

Next quarter

1.50%

95% interval 0.85% to 2.21%

Next year

1.52%

95% interval 0.78% to 2.27%

Next five years

1.58%

95% interval 0.56% to 2.50%

Next quarter

−0.17%

95% interval −1.35% to 1.21%

Next year

0.04%

95% interval −1.13% to 1.31%

Next five years

0.66%

95% interval −0.61% to 1.83%

Next quarter

1.53%

95% interval 0.67% to 2.54%

Next year

1.62%

95% interval 0.65% to 2.67%

Next five years

1.88%

95% interval 0.57% to 3.15%

Cumulative market-adjusted return

+1,063% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	3.99%	11.04%	0.36	3.08
2020Q1–2024Q4	4.22%	16.08%	0.26	0.59
2024Q1–2024Q4	−10.17%	13.47%	−0.75	−0.75
1952Q3–2024Q4	8.63%	11.78%	0.73	6.24
2020Q1–2024Q4	12.48%	14.56%	0.86	1.92
2024Q1–2024Q4	0.82%	15.76%	0.05	0.05
1952Q3–2024Q4	5.47%	14.40%	0.38	3.23
2020Q1–2024Q4	5.49%	23.33%	0.24	0.53
2024Q1–2024Q4	−38.00%	20.14%	−1.89	−1.89
1952Q3–2024Q4	11.27%	15.02%	0.75	6.39
2020Q1–2024Q4	12.92%	17.37%	0.74	1.66
2024Q1–2024Q4	−5.82%	18.61%	−0.31	−0.31

Horizon	Mean	95% interval	P(neg)
Next quarter	0.093	−0.063 – 0.245	0.13
Next year	0.103	−0.051 – 0.247	0.10
Next five years	0.133	−0.027 – 0.271	0.05
Next quarter	0.258	0.147 – 0.378	0.00
Next year	0.260	0.134 – 0.388	0.00
Next five years	0.268	0.095 – 0.426	0.00
Next quarter	−0.025	−0.193 – 0.168	0.62
Next year	0.005	−0.159 – 0.183	0.49
Next five years	0.091	−0.085 – 0.254	0.15
Next quarter	0.206	0.091 – 0.341	0.00
Next year	0.218	0.088 – 0.356	0.00
Next five years	0.251	0.076 – 0.419	0.00