OrgCap · R&D · Eisfeldt and Papanikolaou (2013)
Organizational capital
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.17%
95% interval 0.63% to 1.73%
Next year
1.17%
95% interval 0.62% to 1.73%
Next five years
1.18%
95% interval 0.58% to 1.75%
Cumulative market-adjusted return
+3,413% since 1951Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1951Q3–2024Q4 | 5.32% | 9.57% | 0.56 | 4.77 |
| 2020Q1–2024Q4 | 2.15% | 13.16% | 0.16 | 0.37 |
| 2024Q1–2024Q4 | 5.74% | 4.22% | 1.36 | 1.36 |
| 1951Q3–2024Q4 | 5.32% | 9.57% | 0.56 | 4.77 |
| 2020Q1–2024Q4 | 2.15% | 13.16% | 0.16 | 0.37 |
| 2024Q1–2024Q4 | 5.74% | 4.22% | 1.36 | 1.36 |
| 1951Q3–2024Q4 | 6.89% | 11.52% | 0.60 | 5.12 |
| 2020Q1–2024Q4 | 4.68% | 20.23% | 0.23 | 0.52 |
| 2024Q1–2024Q4 | 10.38% | 6.93% | 1.50 | 1.50 |
| 1951Q3–2024Q4 | 6.89% | 11.52% | 0.60 | 5.12 |
| 2020Q1–2024Q4 | 4.68% | 20.23% | 0.23 | 0.52 |
| 2024Q1–2024Q4 | 10.38% | 6.93% | 1.50 | 1.50 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.245 | 0.132 – 0.362 | 0.00 |
| Next year | 0.246 | 0.129 – 0.362 | 0.00 |
| Next five years | 0.248 | 0.120 – 0.366 | 0.00 |
| Next quarter | 0.246 | 0.132 – 0.360 | 0.00 |
| Next year | 0.247 | 0.129 – 0.361 | 0.00 |
| Next five years | 0.249 | 0.121 – 0.367 | 0.00 |
| Next quarter | 0.280 | 0.170 – 0.391 | 0.00 |
| Next year | 0.276 | 0.165 – 0.390 | 0.00 |
| Next five years | 0.267 | 0.136 – 0.393 | 0.00 |
| Next quarter | 0.280 | 0.170 – 0.388 | 0.00 |
| Next year | 0.277 | 0.164 – 0.388 | 0.00 |
| Next five years | 0.267 | 0.135 – 0.390 | 0.00 |