RDcap · Asset composition · Li (2011)

R&D capital-to-assets

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1980Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−2.93%

95% interval −5.18% to 0.43%

Next year

−2.43%

95% interval −4.66% to 0.48%

Next five years

−0.96%

95% interval −3.29% to 1.22%

Next quarter

−2.94%

95% interval −5.18% to 0.42%

Next year

−2.43%

95% interval −4.66% to 0.46%

Next five years

−0.96%

95% interval −3.31% to 1.21%

Next quarter

−3.37%

95% interval −6.76% to 0.84%

Next year

−2.84%

95% interval −6.12% to 0.87%

Next five years

−1.31%

95% interval −4.52% to 1.62%

Next quarter

−3.37%

95% interval −6.76% to 0.82%

Next year

−2.84%

95% interval −6.11% to 0.84%

Next five years

−1.29%

95% interval −4.51% to 1.62%

Next quarter

−1.25%

95% interval −2.47% to 0.45%

Next year

−1.03%

95% interval −2.26% to 0.47%

Next five years

−0.39%

95% interval −1.72% to 0.84%

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

−75% since 1980Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1980Q3–2024Q4	−0.70%	23.64%	−0.03	−0.20
2020Q1–2024Q4	−20.13%	31.60%	−0.64	−1.42
2024Q1–2024Q4	−28.64%	32.31%	−0.89	−0.89
1980Q3–2024Q4	−0.70%	23.64%	−0.03	−0.20
2020Q1–2024Q4	−20.13%	31.60%	−0.64	−1.42
2024Q1–2024Q4	−28.64%	32.31%	−0.89	−0.89
1980Q3–2024Q4	−2.47%	33.46%	−0.07	−0.49
2020Q1–2024Q4	−21.13%	38.65%	−0.55	−1.22
2024Q1–2024Q4	−43.18%	36.45%	−1.18	−1.18
1980Q3–2024Q4	−2.47%	33.46%	−0.07	−0.49
2020Q1–2024Q4	−21.13%	38.65%	−0.55	−1.22
2024Q1–2024Q4	−43.18%	36.45%	−1.18	−1.18
1980Q3–2024Q4	−0.27%	13.90%	−0.02	−0.13
2020Q1–2024Q4	−10.86%	20.91%	−0.52	−1.16
2024Q1–2024Q4	−9.24%	24.07%	−0.38	−0.38

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.253	−0.451 – 0.037	0.95
Next year	−0.208	−0.401 – 0.040	0.95
Next five years	−0.081	−0.279 – 0.103	0.79
Next quarter	−0.253	−0.452 – 0.036	0.95
Next year	−0.208	−0.401 – 0.039	0.95
Next five years	−0.081	−0.280 – 0.102	0.79
Next quarter	−0.205	−0.416 – 0.050	0.93
Next year	−0.172	−0.371 – 0.052	0.93
Next five years	−0.078	−0.270 – 0.097	0.80
Next quarter	−0.205	−0.415 – 0.049	0.93
Next year	−0.171	−0.371 – 0.050	0.93
Next five years	−0.077	−0.270 – 0.097	0.80
Next quarter	−0.182	−0.363 – 0.065	0.92
Next year	−0.149	−0.330 – 0.068	0.91
Next five years	−0.056	−0.248 – 0.120	0.72