Periodic Tables and Charts of Annual Investment Returns

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Re: Periodic Tables and Charts of Annual Investment Returns

Post by LadyGeek »

We now have a dedicated finiki article: Periodic table of annual returns

Comments / questions / corrections are welcome. Finiki editors should edit the page directly.
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Re: Periodic Tables and Charts of Annual Investment Returns

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LadyGeek wrote:We now have a dedicated finiki article: Periodic table of annual returns

Comments / questions / corrections are welcome. Finiki editors should edit the page directly.
Thank you to whomever created this! For Canadian dollars, this is a welcome thing to see. I do have a question about how the numbers were obtained. For my own tracking purposes, I've been using some Canadian dollar ETFs. When I plot the last three years (Jan 1, 2012 to Jan 1, 2015), I'm getting compound return numbers for the periodic table at 99% for the S&P and -10% for gold. However, the corresponding numbers for VFV and IGT are 79% and -18%, using Yahoo Finance data. Though the data for XEC and XEF only goes back a couple of years, the pattern seems to be that the periodic table is reporting higher numbers. Why the discrepancy? A continuous vs. end-of-year exchange difference might explain part of it, and it might be better to use the Bank of Canada's average exchange vs. end-of-year. But I wouldn't think that could explain all of the difference.

Also, small quibbles, but I would drop the Wilshire and maybe include small value or something else. Also, I would rename "All Bond" to "CDN Bond." Another interesting thing would be to get the CPI data and show this table using real returns. Of course, that would mean more work for someone, so who am I to complain. :)
Last edited by SoninlawofGus on 16 Jan 2015 13:15, edited 1 time in total.
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Re: Periodic Tables and Charts of Annual Investment Returns

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SoninlawofGus wrote:Also, small quibbles, but I would drop the Wilshire and maybe include small value or something else. Also, I would rename "All Bond" to "CDN Bond." Another interesting thing would be get the CPI data and show this table using real returns. Of course, that would mean more work for someone, so who am I to complain.
Wilshire is/was the total US stock market index. It's now DJ US Total etc.., probably the best index to follow. The offices used to be on Wilshire, I remember reading about the history of Vanguard in some book about the myth of the rational markets. The history of the Wilshire index is interesting.

Libra(Norbert) has a total return spreadsheet with real and nominal returns. You'll have to wait a few days for 2014 CPI before the real numbers are out. That's the source of the finiki data.

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Re: Periodic Tables and Charts of Annual Investment Returns

Post by SoninlawofGus »

Thanks for the pointed to Norbert's site. I still wonder why there are significant return differences between the ETFs and the table, though. I keep thinking I must have missed something.
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Re: Periodic Tables and Charts of Annual Investment Returns

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SoninlawofGus wrote: I do have a question about how the numbers were obtained.
The intention of the wiki page is to follow of the spirit, if not the actual practice, of Wikipedia:Verifiability and show sources of information. Having worked on the page, I think the information is there, but your question gives me pause that maybe it isn't clear enough. If you re-read the page, is there anything we could do differently so the source would be more apparent?
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Re: Periodic Tables and Charts of Annual Investment Returns

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As one of the authors who also worked on the page* the data for the table was the result of help from several members. See the posts starting from here: Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Source

* View history, the top-right corner tab, will show who worked on the article. This is how Wikipedia works - it's the same software.
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Re: Periodic Tables and Charts of Annual Investment Returns

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I'm fine with the sources, and thanks for the thread, which was helpful. Bottom line, though, I'm still confused by the differences in the numbers. For example, in 2014, VFV and the S&P 500 returned 22.5% and 12.39%, respectively. Annual average exchange was 1.104%, so that's about right. For gold, returned IGT 5.2% and GLD 3.75%. Not quite as close, but returns in the 5-6% area.

The table shows returns as 24.0% for the S&P and 9.2% for gold. So, what am I missing? If the end of year rate was used, that was 1.16, so that's not really close either.
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Re: Periodic Tables and Charts of Annual Investment Returns

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Could it be the difference between "annual return" and "total return"?

Another possibility is the currency conversion rates. This post shows the CAD/USD rates used for the Barclays Aggregate Bond index.

BTW, the table colours are hosed when viewing the Excel spreadsheet in LibreOffice Calc. :? Add that to the MS Excel / LibreOffice Calc compatibility list (conditional formatting colours).
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Re: Periodic Tables and Charts of Annual Investment Returns

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Deleted my earlier post on XLB -- missed the income part of it.

Just checked the TSX (not capped) composite versus the table. I checked the source data and also the TSX site. Both had the same values: closed at 13621 on 12/31/13, closed at 14632 on 12/31/14, for an annual return of 7.4%, versus 10.6% on the table. Part of this difference would seem to be due to the "income plus price changes" note -- dividends?

Sorry to belabor all this. One of the reasons for my persistence with trying to validate these numbers is because I can't get my head around the long bond numbers. If correct, long bonds have returned 10.25%, or 6% real, since 1970. Overall, the returns are stronger than I would have expected (outside of the 1970s). In Bernstein's latest book, he quotes US long bond real return numbers since 1926 at 5.7% for long bonds and 5.34% for 5-year bonds. The spread in Canada seems much larger. Since 1980, the long returned 7.76% real and "all bonds" returned 6.28% real. Granted, different time comparisons, but still...
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Re: Periodic Tables and Charts of Annual Investment Returns

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Thanks! I gave you credit in the Bogleheads forum: Re: Credit Suisse Yearbook 2015

Page 41 discusses Canada. I was going to update the "Canadian asset returns" chart in finiki: Canadian asset class returns, but standard deviation is not shown. I don't know how to revise the finiki article, as the Credit Suisse report focuses on real returns.
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Re: Periodic Tables and Charts of Annual Investment Returns

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Finiki has been updated for 2016 (and 2015): Periodic table of annual returns

A link to the spreadsheet used to create the returns is under "External links".
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Re: Periodic Tables and Charts of Annual Investment Returns

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Credit Suisse Global Investment Returns Yearbook 2017

http://publications.credit-suisse.com/t ... 52F61BA0B4
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Re: Periodic Tables and Charts of Annual Investment Returns

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^^^ Thanks! I gave you credit in the Bogleheads forum: Credit Suisse Yearbook 2017
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Re: Periodic Tables and Charts of Annual Investment Returns

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Credit Suisse Global Investment Returns Yearbook 2018

http://at.e-fundresearch.com/files/inve ... dition.pdf

Slides

https://www.credit-suisse.com/media/ass ... s-2018.pdf

I note that for this year the returns yearbook includes real estate and collectibles.

There was a Financial Times report on it here:

Gold, violins and wine don’t cut it as a rival to stocks

https://www.ft.com/content/9efa2a9c-16d ... 6390addb44
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Re: Periodic Tables and Charts of Annual Investment Returns

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Taggart wrote: 21 Feb 2018 09:15 Credit Suisse Global Investment Returns Yearbook 2018

http://at.e-fundresearch.com/files/inve ... dition.pdf

Slides

https://www.credit-suisse.com/media/ass ... s-2018.pdf

I note that for this year the returns yearbook includes real estate and collectibles.

There was a Financial Times report on it here:

Gold, violins and wine don’t cut it as a rival to stocks

https://www.ft.com/content/9efa2a9c-16d ... 6390addb44
Thanks!

I made a post about it on the Bogleheads forum.
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Re: Periodic Tables and Charts of Annual Investment Returns

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finiki has been updated for 2017: Periodic table of annual returns
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Credit Suisse Global Investment Returns Yearbook for 2019

Post by Peculiar_Investor »

The annual Credit Suisse Global Investment Returns Yearbook for 2019 has been published. The full version is available in hard copy only upon request.

They do make available online the Summary Edition Credit Suisse Global Investment Returns Yearbook 2019.
Credit Suisse wrote:This year's edition also takes a closer look to the rise of emerging economies and of the expansion of emerging financial markets.
The press release at Credit Suisse Global Investment Returns Yearbook 2019 - Credit Suisse also contains a significant summary of the yearbook and key bullet points and highlights.
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Re: Periodic Tables and Charts of Annual Investment Returns

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Posted in the Bogleheads forum, the Jordà-Schularick-Taylor Macrohistory Database is now available as a free download.
The database covers 17 advanced economies since 1870 on an annual basis. It comprises 45 real and nominal variables. Among these, there are time series that had been hitherto unavailable to researchers, among them financial variables such as bank credit to the non-financial private sector, mortgage lending and long-term returns on housing, equities, bonds and bills. The database captures the near-universe of advanced-country macroeconomic and asset price dynamics, covering on average over 90 percent of advanced-economy output and over 50 percent of world output.
Canada is included. If you have Excel (or LibreOffice Calc), you can slice-and-dice the data using pivot tables.

Credit to siamond - Subject: Study: The Rate of Return on Everything, 1870-2015
siamond wrote: 10 Jun 2019 18:21
siamond wrote: 10 Apr 2019 11:23
siamond wrote: 03 Apr 2019 12:08 The updated paper was finally published [...]

Unfortunately, following the link to the underlying database, the dividends are still missing. I'll wait a few days and ping the authors...
I just pinged one of the authors, who was kind enough to answer right away. The new data is available in Stata format (which I never played with), there are working on updating the Macrohistory public database (which provides an Excel pointer), it might take a month or so before it is made publicly available. Bottomline is... this is coming! Good things come to those who wait... :wink:

PS. the DMS/Morningstar folks must be a little miffed... They won't get much sympathy from me though... :twisted:
That's it! The full data set is finally available in Excel format... Including price, dividends, total return data series for stocks and govt bonds for the various countries. Also bills, short-term and long-term bonds interest rates. And all the real estate data, inflation, GDP and more.

http://www.macrohistory.net/data/

Everything is free to share, redistribute, remix and build upon as long we provide the following citation:

JSTdatasetR4 (Release 4, May 2019)

To comply with the attribution requirement in the license, whenever it
is used the dataset must be cited as follows: 'Òscar Jordà, Moritz
Schularick, and Alan M. Taylor. 2017. Macrofinancial History and the New
Business Cycle Facts. In NBER Macroeconomics Annual 2016, volume 31,
edited by Martin Eichenbaum and Jonathan A. Parker. Chicago: University
of Chicago Press.' Those using any data pertaining to rates of return
should also cite: 'Òscar Jordà, Katharina Knoll, Dmitry Kuvshinov,
Moritz Schularick and Alan M. Taylor. 2019. The Rate of Return on
Everything, 1870–2015. Quarterly Journal of Economics. Forthcoming.'
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Re: Periodic Tables and Charts of Annual Investment Returns

Post by Taggart »

The Credit Suisse Global Investment Returns Yearbook 2020

Go to the end of the press release and click on available and you'll see the Credit Suisse Global Investment Returns Yearbook 2020 Summary Edition.

The Global Investment Returns Yearbook 2020 Summary is available.

Unfortunately, another year of no summary for Canada. :twisted:

------------------

Investors Chronicle over in the UK has a good summary of ESG.

The challenge that dwarfs coronavirus

https://www.investorschronicle.co.uk/sh ... ronavirus/

----------------------

The Times in England had an interesting article for Value Investors, but unfortunately I don't have access.

Ireland named world's worst market for value investing in Credit Suisse report

https://www.thetimes.co.uk/article/irel ... -j7cttpmn6

The banking crash has made Ireland the world’s worst stock market for value seekers — such as those who follow the creed of legendary investor Warren Buffett — according to a study of long-term investment returns published by Credit Suisse.

“Ireland has been very poor for value investors because the Irish banks were deemed value stocks and they suffered terribly in the global financial crisis,” said Paul Marsh of London Business School, who compiled the study with his colleague Mike Staunton and with Elroy Dimson of Cambridge University.

Returns for Irish value investors since 1991 were about eight percentage points lower each year compared with those investing in growth stocks.

------------------------------

I heard a number of years ago that Buffett lost big time on shares of a couple of Irish banks he bought into during the financial crisis of 2008. He doesn't get everything right.
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Re: Periodic Tables and Charts of Annual Investment Returns

Post by Flaccidsteele »

Taggart wrote: 06 Mar 2020 14:04I heard a number of years ago that Buffett lost big time on shares of a couple of Irish banks he bought into during the financial crisis of 2008. He doesn't get everything right.
I don’t think anyone claimed that he does

And that’s the best thing about investing. It’s simple to become financially independent while getting things wrong
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Re: Periodic Tables and Charts of Annual Investment Returns

Post by longinvest »

Taggart wrote: 06 Mar 2020 14:04 The Credit Suisse Global Investment Returns Yearbook 2020

Go to the end of the press release and click on available and you'll see the Credit Suisse Global Investment Returns Yearbook 2020 Summary Edition.

The Global Investment Returns Yearbook 2020 Summary is available.
Thanks!
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Re: Periodic Tables and Charts of Annual Investment Returns

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longinvest wrote: 06 Mar 2020 18:33
Taggart wrote: 06 Mar 2020 14:04 The Credit Suisse Global Investment Returns Yearbook 2020

Go to the end of the press release and click on available and you'll see the Credit Suisse Global Investment Returns Yearbook 2020 Summary Edition.

The Global Investment Returns Yearbook 2020 Summary is available.
Thanks!
You're welcome. Hopefully you'll find this year's edition helpful.
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Re: Periodic Tables and Charts of Annual Investment Returns

Post by Flaccidsteele »

How do posters use the portfolio of returns information? Do you adjust your allocation based on their findings?
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