ChNWC · Investment alt · Soliman (2008)

Change in Net Working Capital

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

Expected return · posterior mean, % per quarter

Next quarter

0.64%

95% interval 0.24% to 1.05%

Next year

0.64%

95% interval 0.23% to 1.05%

Next five years

0.62%

95% interval 0.16% to 1.07%

Next quarter

0.22%

95% interval −0.03% to 0.48%

Next year

0.24%

95% interval −0.02% to 0.50%

Next five years

0.31%

95% interval −0.01% to 0.59%

Next quarter

0.70%

95% interval −0.30% to 1.43%

Next year

0.73%

95% interval −0.17% to 1.43%

Next five years

0.84%

95% interval 0.11% to 1.45%

Next quarter

0.32%

95% interval −0.06% to 0.68%

Next year

0.34%

95% interval −0.04% to 0.69%

Next five years

0.41%

95% interval 0.01% to 0.75%

Cumulative market-adjusted return

+498% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	2.74%	7.39%	0.37	3.16
2020Q1–2024Q4	2.71%	5.39%	0.50	1.12
2024Q1–2024Q4	10.02%	5.70%	1.76	1.76
1952Q3–2024Q4	1.78%	3.70%	0.48	4.10
2020Q1–2024Q4	2.78%	4.24%	0.65	1.46
2024Q1–2024Q4	0.43%	2.81%	0.15	0.15
1952Q3–2024Q4	4.12%	9.73%	0.42	3.60
2020Q1–2024Q4	0.68%	7.92%	0.09	0.19
2024Q1–2024Q4	−15.44%	4.90%	−3.15	−3.15
1952Q3–2024Q4	2.14%	4.95%	0.43	3.68
2020Q1–2024Q4	2.58%	5.93%	0.44	0.97
2024Q1–2024Q4	0.40%	6.35%	0.06	0.06

Horizon	Mean	95% interval	P(neg)
Next quarter	0.175	0.065 – 0.284	0.00
Next year	0.173	0.061 – 0.286	0.00
Next five years	0.167	0.044 – 0.289	0.01
Next quarter	0.120	−0.015 – 0.263	0.04
Next year	0.131	−0.011 – 0.273	0.04
Next five years	0.165	−0.006 – 0.322	0.03
Next quarter	0.143	−0.063 – 0.295	0.08
Next year	0.151	−0.035 – 0.293	0.05
Next five years	0.173	0.023 – 0.298	0.01
Next quarter	0.128	−0.026 – 0.275	0.05
Next year	0.138	−0.016 – 0.279	0.04
Next five years	0.164	0.003 – 0.304	0.02