PatentsRD · Profitability alt · Hirschleifer, Hsu and Li (2013)
Patents to RD expenses
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1977Q3 to 2023Q2.
Expected return · posterior mean, % per quarter
Next quarter
−8.15%
95% interval −10.25% to −4.65%
Next year
−6.77%
95% interval −8.90% to −3.76%
Next five years
−2.77%
95% interval −5.22% to −0.33%
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
−90% since 1977Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1977Q3–2023Q2 | −3.01% | 23.17% | −0.13 | −0.79 |
| 2012Q3–2023Q2 | −54.56% | 51.34% | −1.06 | −2.38 |
| 2022Q3–2023Q2 | −68.34% | 67.06% | −1.02 | −1.02 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | −0.722 | −0.921 – −0.404 | 1.00 |
| Next year | −0.595 | −0.787 – −0.326 | 1.00 |
| Next five years | −0.240 | −0.452 – −0.029 | 0.99 |