Here are the annualized real returns Return0 for 80% stocks and 20% commercial paper (and 0.20% expenses) after 10 years. This covers the years 1871-1920 (50 years).
11.84
9.95
9.74
9.84
8.84
10.27
12.47
10.28
8.61
8.35
5.05
7.84
7.10
6.53
7.05
4.88
4.49
6.17
7.37
4.95
7.48
6.63
6.55
5.68
7.00
8.36
7.46
4.49
4.89
6.40
5.05
4.24
4.40
4.76
2.26
2.54
2.32
0.93
(1.70)
(2.03)
(3.24)
(1.80)
0.37
1.03
3.41
3.03
4.66
10.75
14.84
14.23
(more follows)
John R.
From Earnings Yield
Moderator: hocus2004
Here are the annualized real returns Return0 for 80% stocks and 20% commercial paper (and 0.20% expenses) after 10 years. This covers the years 1921-1980 (60 years).
13.93
8.94
7.09
10.48
7.46
9.45
10.46
4.73
2.62
3.59
3.81
4.69
4.95
2.95
5.09
4.10
(0.62)
1.35
0.74
1.88
4.31
7.25
7.64
6.33
8.42
8.02
11.15
11.12
13.30
12.26
10.91
11.22
9.78
11.18
9.01
7.66
6.56
8.33
6.10
4.38
4.13
3.51
4.91
1.42
(2.36)
(1.10)
0.05
(2.00)
(2.03)
(0.86)
(0.02)
(1.79)
(1.08 )
2.13
5.27
4.77
6.55
7.36
7.93
9.18
Have fun.
John R.
13.93
8.94
7.09
10.48
7.46
9.45
10.46
4.73
2.62
3.59
3.81
4.69
4.95
2.95
5.09
4.10
(0.62)
1.35
0.74
1.88
4.31
7.25
7.64
6.33
8.42
8.02
11.15
11.12
13.30
12.26
10.91
11.22
9.78
11.18
9.01
7.66
6.56
8.33
6.10
4.38
4.13
3.51
4.91
1.42
(2.36)
(1.10)
0.05
(2.00)
(2.03)
(0.86)
(0.02)
(1.79)
(1.08 )
2.13
5.27
4.77
6.55
7.36
7.93
9.18
Have fun.
John R.
Here are the annualized real returns Return0 for 100% stocks (and 0.20% expenses) after 10 years. This covers the years 1871-1920 (50 years).
12.47
10.34
10.04
10.10
8.73
10.57
13.33
11.17
9.25
8.37
4.47
7.60
6.84
5.98
6.86
4.30
3.80
5.86
7.52
5.05
8.13
7.28
7.29
6.44
8.20
9.87
8.85
4.85
5.36
7.08
5.29
4.22
4.35
5.01
1.91
2.34
2.31
1.11
(1.83)
(2.15)
(3.65)
(2.12)
0.38
1.25
4.17
3.71
5.40
12.59
17.19
16.04
(more follows)
John R.
12.47
10.34
10.04
10.10
8.73
10.57
13.33
11.17
9.25
8.37
4.47
7.60
6.84
5.98
6.86
4.30
3.80
5.86
7.52
5.05
8.13
7.28
7.29
6.44
8.20
9.87
8.85
4.85
5.36
7.08
5.29
4.22
4.35
5.01
1.91
2.34
2.31
1.11
(1.83)
(2.15)
(3.65)
(2.12)
0.38
1.25
4.17
3.71
5.40
12.59
17.19
16.04
(more follows)
John R.
Here are the annualized real returns Return0 for 100% stocks (and 0.20% expenses) after 10 years. This covers the years 1921-1980 (60 years).
15.60
9.04
6.60
10.73
7.14
9.53
10.94
3.87
1.47
2.76
3.37
5.40
6.19
3.82
6.48
5.31
(0.20)
2.62
1.90
3.28
6.44
9.94
10.22
8.50
10.98
10.39
13.95
13.70
16.35
15.05
13.20
13.48
11.65
13.36
10.69
9.00
7.57
9.72
6.95
4.77
4.48
3.75
5.45
1.05
(3.52)
(1.93)
(0.43)
(2.96)
(2.95)
(1.34)
(0.42)
(2.76)
(1.93)
2.01
5.82
5.12
7.19
8.16
8.79
10.22
Have fun.
John R.
15.60
9.04
6.60
10.73
7.14
9.53
10.94
3.87
1.47
2.76
3.37
5.40
6.19
3.82
6.48
5.31
(0.20)
2.62
1.90
3.28
6.44
9.94
10.22
8.50
10.98
10.39
13.95
13.70
16.35
15.05
13.20
13.48
11.65
13.36
10.69
9.00
7.57
9.72
6.95
4.77
4.48
3.75
5.45
1.05
(3.52)
(1.93)
(0.43)
(2.96)
(2.95)
(1.34)
(0.42)
(2.76)
(1.93)
2.01
5.82
5.12
7.19
8.16
8.79
10.22
Have fun.
John R.
They did. I right clicked on an Excel cell, chose paste in unicode for formatting, and was able to make charts with the resultant data with no further modifications. Thanks again.I am not sure that individual columns will transfer directly to Excel (or Word). If nothing else, they should be easier to cut and paste.
This is the impact of our adjustments to the number of degrees of freedom.
Instead of confidence limits corresponding to plus and minus 1.64 standard deviations, the 90% confidence limits are widened by 10% to 40% (actually, by the square root of 58/48 to the square root of 2). The existing confidence limits are actually at plus and minus 1.64/1.1 = 1.49 to 1.64/1.4 = 1.17 standard deviations. Instead of changing the existing confidence limits, we will change the confidence levels associated with them. The new confidence levels are 86% to 75% instead of 90%.
It is important to recognize that the larger adjustment (to a 75% confidence level) is an extreme upper bound. It assumes that Historical Database Rates vary much more than they do. It is worth having this bound since is assures us that the existing confidence limits will still be meaningful even if future calculations widen the 90% confidence limits further.
By focusing on earnings yield and the effects of valuations, we have separated out the effects of year-to-year price fluctuations. We have been able to capture a large fraction of the degrees of freedom buried within the historical record. This is in stark contrast to previous historical-sequence methodologies, which used only a small fraction of the information available.
Have fun.
John R.
Instead of confidence limits corresponding to plus and minus 1.64 standard deviations, the 90% confidence limits are widened by 10% to 40% (actually, by the square root of 58/48 to the square root of 2). The existing confidence limits are actually at plus and minus 1.64/1.1 = 1.49 to 1.64/1.4 = 1.17 standard deviations. Instead of changing the existing confidence limits, we will change the confidence levels associated with them. The new confidence levels are 86% to 75% instead of 90%.
It is important to recognize that the larger adjustment (to a 75% confidence level) is an extreme upper bound. It assumes that Historical Database Rates vary much more than they do. It is worth having this bound since is assures us that the existing confidence limits will still be meaningful even if future calculations widen the 90% confidence limits further.
By focusing on earnings yield and the effects of valuations, we have separated out the effects of year-to-year price fluctuations. We have been able to capture a large fraction of the degrees of freedom buried within the historical record. This is in stark contrast to previous historical-sequence methodologies, which used only a small fraction of the information available.
Have fun.
John R.