RDAbility · Other · Cohen, Diether and Malloy (2013)

R&D ability

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1957Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−2.63%

95% interval −5.49% to 0.90%

Next year

−2.09%

95% interval −4.61% to 0.90%

Next five years

−0.54%

95% interval −2.39% to 1.10%

Next quarter

0.08%

95% interval −0.77% to 0.90%

Next year

0.12%

95% interval −0.75% to 0.93%

Next five years

0.22%

95% interval −0.74% to 1.08%

Next quarter

−1.71%

95% interval −5.57% to 1.46%

Next year

−1.35%

95% interval −4.72% to 1.43%

Next five years

−0.31%

95% interval −2.60% to 1.53%

Next quarter

−0.27%

95% interval −1.57% to 0.93%

Next year

−0.21%

95% interval −1.48% to 0.95%

Next five years

−0.04%

95% interval −1.33% to 1.12%

Cumulative market-adjusted return

+6.5% since 1957Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1957Q3–2024Q4	1.76%	18.55%	0.09	0.78
2020Q1–2024Q4	−13.71%	22.18%	−0.62	−1.38
2024Q1–2024Q4	−45.65%	26.15%	−1.75	−1.75
1957Q3–2024Q4	1.36%	12.67%	0.11	0.88
2020Q1–2024Q4	2.42%	12.45%	0.19	0.43
2024Q1–2024Q4	−16.51%	7.75%	−2.13	−2.13
1957Q3–2024Q4	1.60%	24.23%	0.07	0.54
2020Q1–2024Q4	−17.09%	23.27%	−0.73	−1.64
2024Q1–2024Q4	−45.75%	28.71%	−1.59	−1.59
1957Q3–2024Q4	0.42%	17.60%	0.02	0.19
2020Q1–2024Q4	−1.20%	14.23%	−0.08	−0.19
2024Q1–2024Q4	−23.00%	10.49%	−2.19	−2.19

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.288	−0.609 – 0.097	0.89
Next year	−0.228	−0.506 – 0.097	0.88
Next five years	−0.058	−0.256 – 0.118	0.71
Next quarter	0.013	−0.124 – 0.142	0.42
Next year	0.019	−0.120 – 0.146	0.38
Next five years	0.034	−0.117 – 0.171	0.30
Next quarter	−0.143	−0.470 – 0.120	0.76
Next year	−0.112	−0.394 – 0.118	0.74
Next five years	−0.025	−0.214 – 0.126	0.58
Next quarter	−0.031	−0.181 – 0.106	0.65
Next year	−0.024	−0.170 – 0.108	0.62
Next five years	−0.005	−0.151 – 0.127	0.51