InvestPPEInv · Investment · Lyandres, Sun and Zhang (2008)

change in ppe and inv/assets

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.13%

95% interval −1.14% to 1.39%

Next year

0.27%

95% interval −0.90% to 1.39%

Next five years

0.66%

95% interval −0.30% to 1.45%

Next quarter

1.26%

95% interval 0.73% to 1.93%

Next year

1.34%

95% interval 0.74% to 2.00%

Next five years

1.56%

95% interval 0.76% to 2.30%

Next quarter

1.07%

95% interval −0.23% to 2.25%

Next year

1.15%

95% interval −0.07% to 2.25%

Next five years

1.39%

95% interval 0.27% to 2.34%

Next quarter

2.53%

95% interval 1.94% to 3.19%

Next year

2.52%

95% interval 1.83% to 3.26%

Next five years

2.49%

95% interval 1.48% to 3.43%

Next quarter

0.62%

95% interval 0.14% to 1.27%

Next year

0.73%

95% interval 0.21% to 1.36%

Next five years

1.07%

95% interval 0.41% to 1.69%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+1,491% since 1952Q1 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1952Q1–2024Q4	4.34%	10.46%	0.41	3.54
2020Q1–2024Q4	−3.21%	19.94%	−0.16	−0.36
2024Q1–2024Q4	−19.94%	18.21%	−1.10	−1.10
1952Q1–2024Q4	8.99%	8.96%	1.00	8.57
2020Q1–2024Q4	2.88%	7.41%	0.39	0.87
2024Q1–2024Q4	5.55%	3.71%	1.50	1.50
1952Q1–2024Q4	7.23%	13.65%	0.53	4.53
2020Q1–2024Q4	2.36%	29.01%	0.08	0.18
2024Q1–2024Q4	−8.05%	9.50%	−0.85	−0.85
1952Q1–2024Q4	12.96%	11.92%	1.09	9.29
2020Q1–2024Q4	10.43%	11.42%	0.91	2.04
2024Q1–2024Q4	13.54%	8.67%	1.56	1.56
1952Q1–2024Q4	6.89%	7.40%	0.93	7.95
2020Q1–2024Q4	−0.69%	5.57%	−0.12	−0.28
2024Q1–2024Q4	0.66%	2.23%	0.30	0.30

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	0.024	−0.222 – 0.267	0.44
Next year	0.051	−0.174 – 0.265	0.35
Next five years	0.126	−0.058 – 0.278	0.08
Next quarter	0.286	0.166 – 0.432	0.00
Next year	0.301	0.167 – 0.450	0.00
Next five years	0.348	0.168 – 0.513	0.00
Next quarter	0.156	−0.034 – 0.330	0.06
Next year	0.169	−0.011 – 0.331	0.03
Next five years	0.204	0.039 – 0.343	0.01
Next quarter	0.429	0.328 – 0.538	0.00
Next year	0.425	0.309 – 0.546	0.00
Next five years	0.417	0.247 – 0.579	0.00
Next quarter	0.169	0.039 – 0.345	0.00
Next year	0.200	0.057 – 0.368	0.00
Next five years	0.289	0.110 – 0.458	0.00