DelDRC · Investment alt · Prakash and Sinha (2013)

Deferred Revenue

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 2000Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.89%

95% interval −0.17% to 3.99%

Next year

1.88%

95% interval −0.27% to 4.06%

Next five years

1.85%

95% interval −0.70% to 4.33%

Next quarter

1.45%

95% interval −0.54% to 3.50%

Next year

1.46%

95% interval −0.63% to 3.57%

Next five years

1.47%

95% interval −0.97% to 3.87%

Next quarter

0.43%

95% interval −1.69% to 2.91%

Next year

0.31%

95% interval −1.70% to 2.56%

Next five years

−0.05%

95% interval −1.87% to 1.90%

Next quarter

0.29%

95% interval −1.49% to 2.04%

Next year

0.20%

95% interval −1.50% to 1.92%

Next five years

−0.03%

95% interval −1.71% to 1.71%

Cumulative market-adjusted return

+514% since 2000Q3 · log scale

Window	Mean	Vol.	Sharpe	t
2000Q3–2024Q4	9.81%	25.57%	0.38	1.90
2020Q1–2024Q4	4.81%	12.37%	0.39	0.87
2024Q1–2024Q4	5.36%	4.18%	1.28	1.28
2000Q3–2024Q4	7.77%	24.72%	0.31	1.55
2020Q1–2024Q4	1.67%	8.85%	0.19	0.42
2024Q1–2024Q4	4.67%	7.29%	0.64	0.64
2001Q3–2024Q4	−1.27%	18.40%	−0.07	−0.34
2020Q1–2024Q4	−0.10%	19.29%	−0.00	−0.01
2024Q1–2024Q4	24.64%	24.27%	1.02	1.02
2001Q3–2024Q4	−0.71%	17.24%	−0.04	−0.20
2020Q1–2024Q4	1.52%	13.66%	0.11	0.25
2024Q1–2024Q4	14.05%	5.14%	2.73	2.73

Horizon	Mean	95% interval	P(neg)
Next quarter	0.149	−0.013 – 0.313	0.04
Next year	0.148	−0.021 – 0.318	0.04
Next five years	0.145	−0.055 – 0.338	0.07
Next quarter	0.118	−0.044 – 0.284	0.08
Next year	0.118	−0.051 – 0.290	0.09
Next five years	0.119	−0.079 – 0.312	0.11
Next quarter	0.048	−0.183 – 0.323	0.38
Next year	0.034	−0.184 – 0.282	0.41
Next five years	−0.005	−0.203 – 0.207	0.53
Next quarter	0.034	−0.172 – 0.240	0.38
Next year	0.024	−0.174 – 0.224	0.41
Next five years	−0.004	−0.198 – 0.198	0.52