ChNNCOA · Investment alt · Soliman (2008)

Change in Net Noncurrent Op Assets

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

Expected return · posterior mean, % per quarter

Next quarter

0.61%

95% interval 0.02% to 1.13%

Next year

0.62%

95% interval 0.06% to 1.12%

Next five years

0.66%

95% interval 0.16% to 1.11%

Next quarter

0.29%

95% interval −0.28% to 0.81%

Next year

0.34%

95% interval −0.17% to 0.80%

Next five years

0.49%

95% interval 0.09% to 0.82%

Next quarter

0.19%

95% interval −0.52% to 0.95%

Next year

0.23%

95% interval −0.47% to 0.94%

Next five years

0.37%

95% interval −0.34% to 1.02%

Next quarter

0.16%

95% interval −0.76% to 1.08%

Next year

0.27%

95% interval −0.54% to 1.08%

Next five years

0.60%

95% interval −0.01% to 1.12%

Cumulative market-adjusted return

+587% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	2.97%	7.85%	0.38	3.23
2020Q1–2024Q4	−1.56%	11.97%	−0.13	−0.29
2024Q1–2024Q4	8.75%	12.12%	0.72	0.72
1952Q3–2024Q4	2.66%	4.60%	0.58	4.91
2020Q1–2024Q4	−1.74%	7.51%	−0.23	−0.52
2024Q1–2024Q4	−6.03%	7.52%	−0.80	−0.80
1952Q3–2024Q4	2.07%	10.02%	0.21	1.76
2020Q1–2024Q4	−4.11%	15.34%	−0.27	−0.60
2024Q1–2024Q4	11.75%	3.11%	3.78	3.78
1952Q3–2024Q4	3.78%	6.61%	0.57	4.87
2020Q1–2024Q4	−0.81%	11.38%	−0.07	−0.16
2024Q1–2024Q4	−11.85%	9.81%	−1.21	−1.21

Horizon	Mean	95% interval	P(neg)
Next quarter	0.156	0.005 – 0.287	0.02
Next year	0.159	0.015 – 0.285	0.02
Next five years	0.167	0.039 – 0.283	0.01
Next quarter	0.124	−0.122 – 0.353	0.18
Next year	0.147	−0.075 – 0.351	0.11
Next five years	0.213	0.041 – 0.356	0.01
Next quarter	0.037	−0.105 – 0.189	0.34
Next year	0.047	−0.095 – 0.188	0.27
Next five years	0.074	−0.068 – 0.204	0.14
Next quarter	0.049	−0.233 – 0.326	0.39
Next year	0.083	−0.167 – 0.326	0.28
Next five years	0.182	−0.004 – 0.341	0.03