GrLTNOA · Investment · Fairfield, Whisenant and Yohn (2003)

Growth in long term operating assets

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

Expected return · posterior mean, % per quarter

Next quarter

0.34%

95% interval −0.12% to 0.81%

Next year

0.35%

95% interval −0.12% to 0.81%

Next five years

0.35%

95% interval −0.13% to 0.82%

Next quarter

−0.06%

95% interval −0.62% to 0.56%

Next year

0.01%

95% interval −0.52% to 0.56%

Next five years

0.22%

95% interval −0.28% to 0.64%

Next quarter

0.14%

95% interval −1.09% to 0.98%

Next year

0.18%

95% interval −0.90% to 0.95%

Next five years

0.28%

95% interval −0.46% to 0.92%

Next quarter

0.00%

95% interval −0.52% to 0.74%

Next year

0.10%

95% interval −0.44% to 0.75%

Next five years

0.36%

95% interval −0.22% to 0.89%

Cumulative market-adjusted return

+141% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	1.56%	8.33%	0.19	1.59
2020Q1–2024Q4	0.66%	10.78%	0.06	0.14
2024Q1–2024Q4	−9.99%	13.30%	−0.75	−0.75
1952Q3–2024Q4	1.66%	5.55%	0.30	2.55
2020Q1–2024Q4	−1.18%	4.83%	−0.24	−0.55
2024Q1–2024Q4	−7.71%	1.39%	−5.54	−5.54
1952Q3–2024Q4	1.47%	10.75%	0.14	1.17
2020Q1–2024Q4	−9.42%	17.21%	−0.55	−1.22
2024Q1–2024Q4	−36.09%	22.02%	−1.64	−1.64
1952Q3–2024Q4	2.65%	6.79%	0.39	3.33
2020Q1–2024Q4	−4.56%	4.76%	−0.96	−2.14
2024Q1–2024Q4	−2.47%	1.45%	−1.70	−1.70

Horizon	Mean	95% interval	P(neg)
Next quarter	0.083	−0.029 – 0.195	0.07
Next year	0.083	−0.029 – 0.195	0.07
Next five years	0.084	−0.031 – 0.197	0.07
Next quarter	−0.022	−0.230 – 0.201	0.58
Next year	0.004	−0.192 – 0.202	0.49
Next five years	0.078	−0.101 – 0.229	0.18
Next quarter	0.027	−0.203 – 0.182	0.33
Next year	0.033	−0.168 – 0.177	0.31
Next five years	0.052	−0.086 – 0.171	0.20
Next quarter	0.000	−0.157 – 0.218	0.55
Next year	0.028	−0.132 – 0.222	0.41
Next five years	0.107	−0.065 – 0.261	0.10