grcapx · Investment growth · Anderson and Garcia-Feijoo (2006)
Change in capex (two years)
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1953Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.13%
95% interval 0.40% to 2.03%
Next year
1.09%
95% interval 0.41% to 1.90%
Next five years
0.99%
95% interval 0.36% to 1.66%
Cumulative market-adjusted return
+1,258% since 1953Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1953Q3–2024Q4 | 4.20% | 10.59% | 0.40 | 3.35 |
| 2020Q1–2024Q4 | 11.82% | 22.19% | 0.53 | 1.19 |
| 2024Q1–2024Q4 | 13.93% | 10.27% | 1.36 | 1.36 |
| 1953Q3–2024Q4 | 4.88% | 6.75% | 0.72 | 6.12 |
| 2020Q1–2024Q4 | 8.12% | 8.86% | 0.92 | 2.05 |
| 2024Q1–2024Q4 | 3.18% | 2.01% | 1.58 | 1.58 |
| 1953Q3–2024Q4 | 4.84% | 13.53% | 0.36 | 3.03 |
| 2020Q1–2024Q4 | 11.33% | 15.46% | 0.73 | 1.64 |
| 2024Q1–2024Q4 | 15.47% | 5.69% | 2.72 | 2.72 |
| 1953Q3–2024Q4 | 6.40% | 8.92% | 0.72 | 6.07 |
| 2020Q1–2024Q4 | 10.21% | 10.73% | 0.95 | 2.13 |
| 2024Q1–2024Q4 | 2.92% | 7.33% | 0.40 | 0.40 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.214 | 0.076 – 0.385 | 0.00 |
| Next year | 0.207 | 0.077 – 0.359 | 0.00 |
| Next five years | 0.187 | 0.068 – 0.313 | 0.00 |
| Next quarter | 0.342 | 0.234 – 0.449 | 0.00 |
| Next year | 0.336 | 0.224 – 0.449 | 0.00 |
| Next five years | 0.318 | 0.175 – 0.448 | 0.00 |
| Next quarter | 0.214 | 0.059 – 0.428 | 0.00 |
| Next year | 0.204 | 0.060 – 0.387 | 0.00 |
| Next five years | 0.175 | 0.053 – 0.308 | 0.00 |
| Next quarter | 0.341 | 0.234 – 0.447 | 0.00 |
| Next year | 0.333 | 0.221 – 0.447 | 0.00 |
| Next five years | 0.311 | 0.162 – 0.447 | 0.00 |