CashProd · Profitability alt · Chandrashekar and Rao (2009)

Cash Productivity

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.22%

95% interval −0.61% to 0.98%

Next year

0.24%

95% interval −0.56% to 0.97%

Next five years

0.29%

95% interval −0.48% to 1.01%

Next quarter

1.43%

95% interval 0.71% to 2.12%

Next year

1.40%

95% interval 0.67% to 2.13%

Next five years

1.31%

95% interval 0.44% to 2.14%

Next quarter

0.54%

95% interval −0.35% to 1.39%

Next year

0.56%

95% interval −0.32% to 1.38%

Next five years

0.60%

95% interval −0.25% to 1.41%

Next quarter

1.73%

95% interval 0.93% to 2.48%

Next year

1.67%

95% interval 0.86% to 2.48%

Next five years

1.51%

95% interval 0.48% to 2.48%

Cumulative market-adjusted return

+70% since 1951Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q1–2024Q4	1.46%	12.25%	0.12	1.03
2020Q1–2024Q4	−4.14%	19.95%	−0.21	−0.46
2024Q1–2024Q4	−7.81%	11.26%	−0.69	−0.69
1951Q1–2024Q4	5.81%	13.06%	0.44	3.83
2020Q1–2024Q4	11.94%	18.66%	0.64	1.43
2024Q1–2024Q4	2.60%	8.03%	0.32	0.32
1951Q1–2024Q4	2.76%	14.01%	0.20	1.70
2020Q1–2024Q4	−2.14%	19.71%	−0.11	−0.24
2024Q1–2024Q4	−8.65%	14.27%	−0.61	−0.61
1951Q1–2024Q4	6.74%	14.37%	0.47	4.04
2020Q1–2024Q4	14.43%	19.93%	0.72	1.62
2024Q1–2024Q4	1.78%	13.06%	0.14	0.14

Horizon	Mean	95% interval	P(neg)
Next quarter	0.035	−0.100 – 0.160	0.29
Next year	0.039	−0.092 – 0.159	0.27
Next five years	0.048	−0.078 – 0.165	0.21
Next quarter	0.220	0.109 – 0.326	0.00
Next year	0.215	0.102 – 0.326	0.00
Next five years	0.200	0.067 – 0.326	0.00
Next quarter	0.077	−0.050 – 0.198	0.11
Next year	0.079	−0.045 – 0.197	0.10
Next five years	0.086	−0.036 – 0.201	0.08
Next quarter	0.242	0.129 – 0.348	0.00
Next year	0.233	0.119 – 0.347	0.00
Next five years	0.209	0.066 – 0.344	0.00