Annualized Real Total Returns 100% commercial paper

Research on Safe Withdrawal Rates

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JWR1945
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Annualized Real Total Returns 100% commercial paper

Post by JWR1945 »

Here are some tables of annualized real rates of returns for commercial paper after 1, 5, 10, 15, 20, 25 and 30 years.

This is for 100% commercial paper. Expenses are 0.20%. I have listed P/E10 as well.

This is useful for making comparisons with tables that include stock investments.

One striking feature of these tables is how often inflation caused major losses for those investing in commercial paper. This effect has decreased substantially in recent years. I associate that change with the advent modern money market mutual funds and good economic statistics. This may help explain the strange behavior that I have seen in how portfolios have behaved in the earlier era of 1871-1920.

Some of the erratic behavior in the early years can be explained as an artifact caused by the precision of CPI numbers.

Have fun.

John R.

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0% stocks and 100% commercial paper                        

Year   PE10   1      5      10     15     20    25     30
1871  13.3   5.98   9.44   8.52   8.42   7.74   7.81   6.58
1872  14.5   5.75   9.01   7.58   8.42   7.97   7.82   6.45
1873  15.3  11.57  12.56   7.72   8.02   7.69   7.59   6.11
1874  13.9  12.54  13.44   7.97   7.88   8.03   7.20   6.02
1875  13.6  11.57   7.72   8.29   7.74   7.78   6.21   5.66
1876  13.3   3.91   7.60   7.92   7.18   7.40   6.02   5.46
1877  10.6  24.12   6.17   8.12   7.62   7.52   5.94   5.37
1878   9.7  16.00   3.09   5.81   6.12   6.39   4.86   4.87
1879  10.7 (13.09)  2.76   5.19   6.27   5.67   4.58   4.33
1880  15.3  10.92   8.86   7.75   7.80   5.84   5.25   4.66
1881  18.5  (2.80)  8.24   6.98   7.34   5.63   5.03   4.67
1882  15.7   7.14  10.11   8.35   7.98   5.88   5.21   4.95
1883  15.3  14.14   8.61   7.66   7.51   5.31   5.22   4.65
1884  14.4  15.97   7.70   8.10   6.69   5.06   4.67   4.27
1885  13.1   7.77   6.66   7.27   4.85   4.37   3.84   3.84
1886  16.7   5.90   5.73   6.89   4.77   4.25   3.97   3.59
1887  17.5   0.05   6.63   6.93   4.51   4.02   3.95   3.13
1888  15.4   9.45   6.72   6.97   4.23   4.39   3.87   2.70
1889  15.8  10.46   8.50   6.18   4.19   3.93   3.59   2.01
1890  17.2   3.18   7.88   3.95   3.62   3.15   3.28   1.38
1891  15.4  10.46   8.06   4.30   3.76   3.54   3.17   1.56
1892  19.0   0.47   7.23   3.47   3.17   3.29   2.44   1.76
1893  17.7  18.87   7.21   3.00   3.63   3.17   1.92   1.92
1894  15.7   7.36   3.92   2.11   2.45   2.40   0.76   1.38
1895  16.5   4.04   0.17   1.55   1.62   2.16   0.12   1.26
1896  16.6   6.27   0.67   1.67   2.07   1.98   0.31   1.14
1897  17.0   0.39  (0.16)  1.20   2.01   1.28   0.70   1.15
1898  19.2   1.70  (1.04)  1.88   1.86   0.64   0.90   1.32
1899  22.9 (10.67)  0.33   1.73   1.90  (0.01)  0.88   1.49
1900  18.7   6.66   2.95   2.35   2.84   0.11   1.48   2.01
JWR1945
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Posts: 1697
Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida

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Year   PE10    1      5      10     15     20    25     30
1901  21.0   1.99   2.68   2.78   2.43   0.22   1.24   2.11
1902  22.3  (3.97)  2.57   3.11   1.76   0.92   1.41   2.51
1903  20.3   8.92   4.89   3.34   1.20   1.39   1.80   3.05
1904  15.9   1.63   3.15   2.70  (0.13)  1.01   1.73   2.70
1905  18.5   5.26   1.75   2.78  (0.82)  1.11   1.82   2.56
1906  20.1   1.46   2.89   2.30  (0.59)  0.88   2.00   2.36
1907  17.2   7.42   3.64   1.36   0.38   1.13   2.50   2.26
1908  11.9   0.14   1.82  (0.60)  0.25   1.04   2.68   2.01
1909  14.8  (5.05)  2.26  (1.72)  0.31   1.38   2.61   2.07
1910  14.5  11.28   3.82  (2.09)  0.89   1.82   2.71   2.27
1911  14.0   5.23   1.72  (2.29)  0.22   1.78   2.25   1.88
1912  13.8  (1.73) (0.88) (1.22)  0.30   2.22   1.98   1.36
1913  13.1   2.34  (2.96) (0.53)  0.78   2.90   2.05   1.18
1914  11.6   2.42  (5.55) (0.65)  1.09   2.70   2.03   1.03
1915  10.4   0.45  (7.64) (0.53)  1.19   2.45   1.98   0.89
1916  12.5  (7.52) (6.14) (0.51)  1.80   2.38   1.91   0.82
1917  11.0 (11.61) (1.56)  0.88   3.25   2.70   1.80   0.54
1918   6.6 (10.61)  1.96   2.71   4.93   3.34   2.03   0.67
1919   6.1  (8.45)  4.51   4.58   5.61   4.02   2.39   1.05
1920   6.0   8.92   7.14   5.91   6.06   4.53   2.69   1.46
JWR1945
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Posts: 1697
Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida

Post by JWR1945 »

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Year   PE10     1     5    10      15      20     25     30
1921   5.1  17.34   5.45   6.01   5.39    4.03    2.27   0.97
1922   6.3   5.37   3.41   5.77   4.17    2.67    0.97   0.37
1923   8.2   1.12   3.46   6.44   3.81    2.05    0.42   0.26
1924   8.1   3.66   4.64   6.16   3.85    1.87    0.38   0.24
1925   9.7   0.58   4.70   5.52   3.68    1.60    0.36   0.19
1926  11.3   6.43   6.58   5.37   3.56    1.49    0.10   0.26
1927  13.2   5.64   8.19   4.56   2.43    0.37   (0.23)  0.07
1928  18.8   7.04   9.51   3.98   1.59   (0.33)  (0.37) (0.15)
1929  27.1   3.94   7.70   3.46   0.97   (0.66)  (0.62) (0.31)
1930  22.3   9.94   6.36   3.17   0.59   (0.70)  (0.68) (0.34)
1931  16.7  14.70   4.17   2.09  (0.15)  (1.46)  (0.96) (0.62)
1932   9.3  12.25   1.05  (0.34) (2.10)  (2.23)  (1.47) (0.99)
1933   8.7  (1.48) (1.26) (2.16) (3.41)  (2.70)  (1.98) (1.31)
1934  13.0  (2.41) (0.61) (2.24) (3.31)  (2.60)  (1.84) (1.19)
1935  11.5  (0.91)  0.09  (2.17) (2.94)  (2.37)  (1.62) (1.00)
1936  17.1  (1.46)  0.05  (2.25) (3.26)  (2.20)  (1.55) (0.87)
1937  21.6  (0.03) (1.71) (3.64) (3.30)  (2.10)  (1.39) (0.76)
1938  13.5   1.79  (3.04) (4.47) (3.17)  (2.15)  (1.32) (0.68)
1939  15.6   1.08  (3.85) (4.63) (3.26)  (2.14)  (1.30) (0.64)
1940  16.4  (1.09) (4.39) (4.42) (3.18)  (2.05)  (1.22) (0.59)
1941  13.9  (9.81) (4.49) (4.88) (2.94)  (1.95)  (1.05) (0.55)
1942  10.1  (6.65) (5.55) (4.09) (2.22)  (1.32)  (0.57) (0.17)
1943  10.2  (2.37) (5.87) (3.24) (1.86)  (0.88)  (0.21)  0.19
1944  11.1  (1.71) (5.40) (2.96) (1.56)  (0.66)   0.02   0.31
1945  12.0  (1.65) (4.46) (2.56) (1.26)  (0.41)   0.19   0.23
1946  15.6 (14.66) (5.26) (2.15) (1.08)  (0.17)   0.26   0.24
1947  11.5  (8.24) (2.61) (0.52)  0.13    0.72    0.94   0.77
1948  10.4   0.11  (0.53)  0.21   0.84    1.26    1.45   1.08
1949  10.2   3.27  (0.46)  0.41   0.98    1.42    1.50   1.12
1950  10.7  (5.71) (0.63)  0.39   0.98    1.39    1.19   0.93
JWR1945
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Posts: 1697
Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida

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Year  PE10     1      5     10     15     20    25     30
1951 11.9  (2.06)  1.06   1.08   1.59   1.69   1.38   1.29
1952 12.5   1.99   1.61   1.54   1.85   1.85   1.46   1.54
1953 13.0   0.46   0.96   1.53   1.87   1.95   1.41   1.65
1954 12.0   2.37   1.29   1.70   2.06   1.99   1.44   1.84
1955 16.0   2.62   1.41   1.79   2.07   1.65   1.24   1.91
1956 18.3   0.65   1.09   1.85   1.90   1.46   1.34   1.93
1957 16.7  (1.24)  1.46   1.97   1.93   1.42   1.53   2.06
1958 13.8   2.10   2.10   2.32   2.28   1.52   1.79   2.21
1959 18.0   3.01   2.12   2.44   2.23   1.48   1.96   2.28
1960 18.3   0.98   2.17   2.40   1.73   1.20   2.01   2.27
1961 18.5   2.50   2.62   2.31   1.58   1.40   2.10   2.27
1962 21.2   1.93   2.49   2.17   1.41   1.55   2.18   2.22
1963 19.3   2.20   2.55   2.37   1.32   1.71   2.23   2.16
1964 21.6   3.25   2.76   2.28   1.26   1.91   2.31   2.14
1965 23.3   3.24   2.63   1.51   0.88   1.97   2.29   2.14
1966 24.1   1.82   2.00   1.07   0.99   1.97   2.20   2.12
1967 20.4   2.23   1.86   0.87   1.23   2.10   2.17   2.14
1968 21.5   3.29   2.20   0.72   1.43   2.15   2.08   2.19
1969 21.2   2.55   1.80   0.52   1.63   2.19   2.01   2.19
1970 17.1   0.15   0.40   0.02   1.76   2.21   2.04   2.21
1971 16.5   1.11   0.14   0.49   1.95   2.25   2.15   2.22
1972 17.3   3.92  (0.11)  0.92   2.18   2.25   2.20   2.18
1973 18.7   1.30  (0.74)  1.05   2.13   2.05   2.19   2.00
1974 13.5  (4.27) (0.74)  1.55   2.33   2.07   2.27   1.91
1975  8.9  (1.15) (0.36)  2.44   2.82   2.46   2.57   2.01
1976 11.2  (0.14)  0.84   2.87   2.97   2.65   2.65   2.00
1977 11.4   0.68   1.96   3.34   3.05   2.78   2.64   1.96
1978  9.2   1.26   2.87   3.60   3.00   2.93   2.56   1.89
1979  9.3  (2.42)  3.90   3.90   3.02   3.03   2.45   1.80
1980  8.9   4.98   5.32   4.45   3.42   3.32   2.49   1.83
Notice that commercial paper no longer loses money over long periods. Notice that it outperformed stocks for ten to fifteen years many times during the 1960s.

Have fun,

John R.
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