BrandInvest · Investment alt · Belo, Lin and Vitorino (2014)

Brand capital investment

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1965Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−1.43%

95% interval −3.51% to 0.11%

Next year

−1.32%

95% interval −3.13% to 0.09%

Next five years

−0.98%

95% interval −2.29% to 0.14%

Next quarter

−1.11%

95% interval −2.93% to 1.03%

Next year

−0.88%

95% interval −2.67% to 1.04%

Next five years

−0.22%

95% interval −1.99% to 1.36%

Next quarter

−1.40%

95% interval −3.47% to 0.16%

Next year

−1.31%

95% interval −3.14% to 0.14%

Next five years

−1.05%

95% interval −2.44% to 0.20%

Next quarter

−1.12%

95% interval −3.31% to 0.86%

Next year

−0.99%

95% interval −3.04% to 0.84%

Next five years

−0.61%

95% interval −2.42% to 0.98%

Cumulative market-adjusted return

−95% since 1965Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1965Q3–2024Q4	−3.59%	16.55%	−0.22	−1.67
2020Q1–2024Q4	−12.08%	23.03%	−0.52	−1.17
2024Q1–2024Q4	−39.11%	17.00%	−2.30	−2.30
1965Q3–2024Q4	1.07%	20.50%	0.05	0.40
2020Q1–2024Q4	−4.60%	24.19%	−0.19	−0.43
2024Q1–2024Q4	−13.86%	29.23%	−0.47	−0.47
1965Q3–2024Q4	−4.11%	18.97%	−0.22	−1.67
2020Q1–2024Q4	−13.05%	23.61%	−0.55	−1.24
2024Q1–2024Q4	−36.14%	16.20%	−2.23	−2.23
1965Q3–2024Q4	−1.70%	23.18%	−0.07	−0.57
2020Q1–2024Q4	−4.35%	33.10%	−0.13	−0.29
2024Q1–2024Q4	−16.77%	44.30%	−0.38	−0.38

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.174	−0.430 – 0.013	0.96
Next year	−0.160	−0.381 – 0.011	0.97
Next five years	−0.119	−0.277 – 0.017	0.96
Next quarter	−0.110	−0.291 – 0.100	0.83
Next year	−0.087	−0.263 – 0.101	0.80
Next five years	−0.022	−0.194 – 0.132	0.59
Next quarter	−0.148	−0.370 – 0.017	0.96
Next year	−0.138	−0.333 – 0.015	0.96
Next five years	−0.111	−0.258 – 0.021	0.95
Next quarter	−0.097	−0.289 – 0.074	0.84
Next year	−0.085	−0.264 – 0.073	0.84
Next five years	−0.053	−0.209 – 0.085	0.76