SurpriseRD · R&D · Eberhart, Maxwell and Siddique (2004)
Unexpected R&D increase
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1952Q2 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
−0.48%
95% interval −0.84% to −0.02%
Next year
−0.40%
95% interval −0.80% to 0.04%
Next five years
−0.17%
95% interval −0.69% to 0.34%
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
−16% since 1952Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1952Q2–2024Q4 | −0.03% | 6.48% | −0.01 | −0.04 |
| 2020Q1–2024Q4 | −3.48% | 7.98% | −0.44 | −0.98 |
| 2024Q1–2024Q4 | −4.93% | 8.57% | −0.58 | −0.58 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | −0.150 | −0.265 – −0.007 | 0.98 |
| Next year | −0.124 | −0.250 – 0.012 | 0.96 |
| Next five years | −0.052 | −0.214 – 0.104 | 0.74 |