ChInv · Investment alt · Thomas and Zhang (2002)

Inventory Growth

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

Expected return · posterior mean, % per quarter

Next quarter

0.33%

95% interval −1.14% to 1.59%

Next year

0.47%

95% interval −0.84% to 1.57%

Next five years

0.85%

95% interval −0.06% to 1.56%

Next quarter

0.92%

95% interval 0.52% to 1.43%

Next year

0.95%

95% interval 0.50% to 1.45%

Next five years

1.04%

95% interval 0.46% to 1.54%

Next quarter

1.29%

95% interval 0.39% to 2.06%

Next year

1.31%

95% interval 0.45% to 2.05%

Next five years

1.36%

95% interval 0.57% to 2.06%

Next quarter

1.09%

95% interval 0.41% to 1.95%

Next year

1.17%

95% interval 0.46% to 1.97%

Next five years

1.39%

95% interval 0.60% to 2.10%

Cumulative market-adjusted return

+2,909% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	5.10%	8.82%	0.58	4.93
2020Q1–2024Q4	−2.69%	14.46%	−0.19	−0.42
2024Q1–2024Q4	−21.63%	5.98%	−3.62	−3.62
1952Q3–2024Q4	5.54%	6.40%	0.87	7.37
2020Q1–2024Q4	4.77%	7.28%	0.66	1.47
2024Q1–2024Q4	3.29%	3.80%	0.87	0.87
1952Q3–2024Q4	6.17%	11.91%	0.52	4.41
2020Q1–2024Q4	1.71%	13.36%	0.13	0.29
2024Q1–2024Q4	−4.41%	15.36%	−0.29	−0.29
1952Q3–2024Q4	7.70%	8.54%	0.90	7.68
2020Q1–2024Q4	5.22%	8.43%	0.62	1.38
2024Q1–2024Q4	−3.15%	4.33%	−0.73	−0.73

Horizon	Mean	95% interval	P(neg)
Next quarter	0.075	−0.265 – 0.360	0.35
Next year	0.106	−0.191 – 0.356	0.27
Next five years	0.193	−0.013 – 0.355	0.03
Next quarter	0.291	0.166 – 0.449	0.00
Next year	0.299	0.160 – 0.453	0.00
Next five years	0.323	0.143 – 0.484	0.00
Next quarter	0.217	0.065 – 0.346	0.00
Next year	0.220	0.074 – 0.344	0.00
Next five years	0.228	0.095 – 0.346	0.00
Next quarter	0.258	0.097 – 0.459	0.00
Next year	0.275	0.108 – 0.462	0.00
Next five years	0.326	0.139 – 0.491	0.00