DelCOA · Investment alt · Richardson et al. (2005)

Change in current operating assets

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

Expected return · posterior mean, % per quarter

Next quarter

−0.08%

95% interval −1.45% to 1.05%

Next year

0.04%

95% interval −1.18% to 1.04%

Next five years

0.36%

95% interval −0.50% to 1.07%

Next quarter

1.02%

95% interval 0.57% to 1.53%

Next year

1.04%

95% interval 0.54% to 1.55%

Next five years

1.10%

95% interval 0.45% to 1.67%

Next quarter

1.00%

95% interval 0.32% to 1.70%

Next year

1.01%

95% interval 0.29% to 1.73%

Next five years

1.02%

95% interval 0.17% to 1.83%

Next quarter

1.30%

95% interval 0.78% to 1.94%

Next year

1.33%

95% interval 0.74% to 1.98%

Next five years

1.42%

95% interval 0.61% to 2.17%

Cumulative market-adjusted return

+339% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	2.55%	10.02%	0.25	2.17
2020Q1–2024Q4	−6.84%	13.04%	−0.52	−1.17
2024Q1–2024Q4	−21.58%	13.45%	−1.60	−1.60
1952Q3–2024Q4	5.87%	7.24%	0.81	6.90
2020Q1–2024Q4	8.25%	8.34%	0.99	2.21
2024Q1–2024Q4	3.54%	2.59%	1.37	1.37
1952Q3–2024Q4	4.71%	12.65%	0.37	3.17
2020Q1–2024Q4	2.31%	13.64%	0.17	0.38
2024Q1–2024Q4	3.61%	16.06%	0.22	0.22
1952Q3–2024Q4	7.85%	9.08%	0.87	7.37
2020Q1–2024Q4	8.07%	8.36%	0.96	2.16
2024Q1–2024Q4	5.73%	5.33%	1.07	1.07

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.016	−0.295 – 0.211	0.50
Next year	0.007	−0.238 – 0.207	0.45
Next five years	0.073	−0.099 – 0.213	0.18
Next quarter	0.284	0.160 – 0.422	0.00
Next year	0.288	0.150 – 0.430	0.00
Next five years	0.303	0.124 – 0.461	0.00
Next quarter	0.159	0.051 – 0.269	0.00
Next year	0.159	0.045 – 0.273	0.00
Next five years	0.161	0.026 – 0.289	0.01
Next quarter	0.290	0.175 – 0.431	0.00
Next year	0.295	0.164 – 0.438	0.00
Next five years	0.313	0.135 – 0.477	0.00