change in ppe and inv/assets

⚠ weakened

InvestPPEInvInvestment· Accounting data

One-year change in property, plants and equipment (ppegt) plus one year change in inventory (invt), scaled by one-year lagged assets (at).

IS Sharpe (1952–2007)

1.136

+7.4% p.a.

OOS Sharpe (2008–2024)

0.436

+2.4% p.a.

Sharpe decay

+61.6%

(IS − OOS) / |IS|

IS vol

6.5%

annualized

Cumulative return (last 40 years, monthly)

+1008%

1984-012024-12

Publication details

AuthorsLyandres, Sun and Zhang

PaperLyandres, Sun and Zhang (2008)

JournalReview of Financial Studies

Publication year2008

Original sample1970–2005

IS T-statistic7.13