ChInvIA · Investment growth · Abarbanell and Bushee (1998)

Change in capital inv (ind adj)

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

Expected return · posterior mean, % per quarter

Next quarter

0.76%

95% interval 0.24% to 1.35%

Next year

0.75%

95% interval 0.25% to 1.30%

Next five years

0.72%

95% interval 0.24% to 1.21%

Next quarter

0.12%

95% interval −0.35% to 0.77%

Next year

0.22%

95% interval −0.27% to 0.80%

Next five years

0.50%

95% interval −0.05% to 1.01%

Next quarter

1.27%

95% interval 0.60% to 1.94%

Next year

1.27%

95% interval 0.58% to 1.95%

Next five years

1.27%

95% interval 0.50% to 1.99%

Next quarter

0.73%

95% interval 0.14% to 1.47%

Next year

0.80%

95% interval 0.18% to 1.48%

Next five years

0.99%

95% interval 0.28% to 1.62%

Cumulative market-adjusted return

+625% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	3.10%	8.50%	0.36	3.10
2020Q1–2024Q4	5.22%	12.05%	0.43	0.97
2024Q1–2024Q4	22.87%	11.95%	1.91	1.91
1952Q3–2024Q4	3.33%	6.71%	0.50	4.22
2020Q1–2024Q4	−2.39%	9.98%	−0.24	−0.54
2024Q1–2024Q4	−1.58%	6.24%	−0.25	−0.25
1952Q3–2024Q4	5.67%	12.22%	0.46	3.95
2020Q1–2024Q4	7.98%	17.82%	0.45	1.00
2024Q1–2024Q4	0.24%	3.65%	0.06	0.06
1952Q3–2024Q4	5.41%	8.53%	0.63	5.40
2020Q1–2024Q4	−1.31%	9.70%	−0.13	−0.30
2024Q1–2024Q4	1.34%	6.69%	0.20	0.20

Horizon	Mean	95% interval	P(neg)
Next quarter	0.179	0.057 – 0.318	0.00
Next year	0.177	0.058 – 0.307	0.00
Next five years	0.170	0.056 – 0.286	0.00
Next quarter	0.036	−0.106 – 0.229	0.37
Next year	0.065	−0.081 – 0.239	0.21
Next five years	0.150	−0.015 – 0.303	0.04
Next quarter	0.208	0.098 – 0.318	0.00
Next year	0.207	0.094 – 0.319	0.00
Next five years	0.207	0.083 – 0.326	0.00
Next quarter	0.172	0.033 – 0.343	0.01
Next year	0.188	0.042 – 0.348	0.00
Next five years	0.233	0.066 – 0.380	0.00