Professional Documents
Culture Documents
End Game: Stocks (Large Cap)
End Game: Stocks (Large Cap)
US T.Bond
US T.Bill
Inflation Rate
Real Returns
Risk Premium
FAQ
I use the 10-year US treasury bond, since it is the only longer maturity bond with an
uninterrupted history going back in time. For the data, I use the yields on a constant-
maturrity 10-year bond, which can be found on FRED (the Federal Reserve website). I
convert the yield into a return, by repricing the bond, issued at par at the prior year's
yield, with the new yield, while keeping the maturity constant at 10 years. Thus, if the
yield goes from 2.5% to 3%, I first price a 2.5%, 10 year coupon bond with a 3%
interest rate, and subtract this number from the par value of the bond which is $1000.
That gives me the price change. Adding the 3% coupon for the current year gives me
the total return.
I use the 3-month US treasury bill, again choosing it over the 6-month because of
longevity. I get the T.Bill rate at the end of each year from FRED and use it as my
erturn, since there should be no price change in this security. I use the average T.Bill
rate over the course of the year.
I obtain the yield on a Moody's Baa corporate bond from FRED and then compute the
return on the bond, using the same approach that I use for the US T.Bond.
I use the CPI for all urban consumers, reported on FRED.
For each of the data series. I computre a real return by removing the inflatin for the
year from the nominal return, using (1+ Nominal Rate)/ (1+Inflation Rate) -1.
A simple average of the annual returns over the specified period (10 yrs, 50 yrs etc.)
A compounded average of the returns over the period. This is most simply computed
by dividing the value you would have at the end of the period by the value at the
beginning and then computing the compouded average. To compute the cumulated
value on both stocks and bonds, I assume that dividends/coupons get reinvested back.
The risk premium is the difference in the annualized return on stocks and the
annualized return on T.Bonds and on T.Bills over the specified period.
FAQ
Since the S&P and US treasuries are liquid and the underlying data is widely dispersed,
the annual numbers are reliable.
The returns, especially on stocks and bonds, are noisy, with up years and down years.
The averages that have been computed come with error, and I have computed standard
errros in each of the numbers (especially the risk premiums). Note that even with the
longest data series, there is substantial standard error and it becomes explosively large
for shorter periods.
Normally, when you buy a 10-year bond and hold it for a year, you will end up with a
9-year bond. While I could compute the return using a 9-year maturity, and the answer
will be fairly close to what I report, I want to keep the 10-year rmaturity going for
consistency in my risk premium computation. Put simply, think of the return on the 10-
year bond as the one you would have if the coupon changed, but the maturity is reset to
10 year at the end of the year.
Returns by year
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Returns by year
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Returns by year
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Returns by year
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Returns by year
ms from 1928, over the last 50 years and over the last 10 years
m of this table.
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Returns by year
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Returns by year
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Returns by year
4.83%
3.52%
9.31%
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Returns by year
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Returns by year
-11.78% -12.35%
-5.33% -3.95%
5.69% 6.41%
-0.65% 3.12%
-7.56% -7.46%
-0.01% 2.11%
3.30% 0.80%
2.97% 5.83%
-1.06% 2.33%
-3.72% -3.82%
3.34% -3.93%
-4.70% 3.60%
-3.62% 0.56%
10.04% 5.13%
0.98% 3.99%
4.44% 5.23%
0.44% 4.17%
2.42% 3.83%
-0.85% 1.58%
-0.10% -6.27%
-4.24% -1.83%
-0.96% 0.55%
-9.93% -7.10%
10.31% -0.18%
5.27% 9.31%
-0.44% 7.88%
-2.37% -1.75%
-8.16% -13.90%
-5.07% 1.75%
9.68% 13.25%
-4.89% 3.24%
-7.81% -4.17%
-9.51% -11.92%
-14.57% -14.85%
-1.94% -1.70%
25.14% 21.60%
-0.01% 12.58%
9.04% 10.85%
21.41% 19.62%
21.97% 19.22%
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Returns by year
-8.32% -1.33%
3.98% 10.60%
12.27% 10.46%
0.79% 0.70%
10.33% 13.07%
6.15% 8.87%
10.94% 13.09%
-10.37% -3.83%
20.11% 16.88%
-1.46% 1.81%
7.43% 9.28%
13.16% 6.30%
-10.22% -1.32%
12.84% 5.76%
2.67% 4.86%
13.32% 10.43%
-1.85% 11.01%
1.77% 7.02%
-0.51% 1.47%
-1.23% 3.70%
7.15% 0.29%
15.66% -8.58%
-10.80% 23.77%
6.71% 6.60%
12.48% 9.14%
0.88% 7.89%
-10.42% -2.48%
8.98% 8.62%
1.16% -0.82%
-0.56% 8.99%
0.66% 7.44%
-2.40% -5.08%
7.18% 12.75%
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S&P 500 & Raw Data
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S&P 500 & Raw Data
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S&P 500 & Raw Data
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S&P 500 & Raw Data
Return on
Returns
Baa on Real Estate Jan 1 notes
3.22% 1.49%
3.02% -2.06%
0.54% -4.30%
-15.68% -8.15%
23.59% -10.47%
12.97% -3.81%
18.82% 2.91%
13.31% 9.77%
11.38% 3.22%
-4.42% 2.56%
9.24% -0.87%
7.98% -1.30%
8.65% 3.31%
5.01% -8.38%
5.18% 3.33%
8.04% 11.45%
6.57% 16.58%
6.80% 11.78%
2.51% 24.10%
0.26% 21.26%
3.44% 2.06%
5.38% 0.09%
4.24% 3.64%
-0.19% 6.05%
4.44% 4.41%
1.62% 11.52%
6.16% 0.92%
2.04% 0.00%
-2.35% 0.91%
-0.72% 2.72%
6.43% 0.66%
1.57% 0.11%
6.66% 0.77%
5.10% 0.98%
6.50% 0.32%
5.46% 2.14%
5.16% 1.26%
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S&P 500 & Raw Data
3.19% 1.66%
-3.45% 1.22%
0.90% 2.32%
4.85% 4.13%
-2.03% 6.99%
5.65% 8.22%
14.00% 4.24%
11.41% 2.98%
4.32% 3.42%
-4.38% 10.07%
11.05% 6.76%
19.75% 8.20%
9.95% 14.66%
3.14% 15.71%
-2.01% 13.74%
-3.32% 7.40%
8.46% 5.08%
29.05% 0.57%
16.19% 4.75%
15.62% 4.67%
23.86% 7.47%
21.49% 9.62%
2.29% 7.87%
15.12% 7.21%
15.79% 4.38%
6.14% -0.70%
17.85% -0.18%
12.17% 0.84%
16.43% 2.16%
-1.32% 2.52%
20.16% 1.81%
4.79% 2.43%
11.83% 4.03%
7.95% 6.44%
0.84% 7.69%
9.33% 9.25%
7.82% 6.68%
12.18% 9.56%
13.53% 9.82%
9.89% 13.64%
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S&P 500 & Raw Data
4.92% 13.51%
7.05% 1.73%
3.15% -5.40%
-5.07% -12.00%
23.33% -3.85%
8.35% -4.12%
12.58% -3.90%
10.12% 6.45%
-1.06% 10.71%
10.38% 4.52%
-0.70% 5.22%
10.37% 5.33%
9.72% 6.23%
-2.76% 4.55%
15.33% 4.55% Used indicated dividend
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T. Bond yield & return
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T. Bond yield & return
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T. Bond yield & return
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T. Bond yield & return
promised coupon at the start of the year and the price change due to interest rate changes.
end of 1927) - Price change on a bond with a coupon rate of 3.17%, when the interest rate goes to 3.45%.
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T. Bill rates
TB3MS 3-Month Treasury Bill: Secondary Market Rate, Percent, Annual, Not Seasonally Adjusted
Frequency: Annual
observation_date TB3MS
1934-01-01 0.28 0.28%
1935-01-01 0.17 0.17%
1936-01-01 0.17 0.17%
1937-01-01 0.28 0.28%
1938-01-01 0.07 0.07%
1939-01-01 0.05 0.05%
1940-01-01 0.04 0.04%
1941-01-01 0.13 0.13%
1942-01-01 0.34 0.34%
1943-01-01 0.38 0.38%
1944-01-01 0.38 0.38%
1945-01-01 0.38 0.38%
1946-01-01 0.38 0.38%
1947-01-01 0.60 0.60%
1948-01-01 1.05 1.05%
1949-01-01 1.12 1.12%
1950-01-01 1.20 1.20%
1951-01-01 1.52 1.52%
1952-01-01 1.72 1.72%
1953-01-01 1.89 1.89%
1954-01-01 0.94 0.94%
1955-01-01 1.73 1.73%
1956-01-01 2.63 2.63%
1957-01-01 3.23 3.23%
1958-01-01 1.77 1.77%
1959-01-01 3.39 3.39%
1960-01-01 2.88 2.88%
1961-01-01 2.35 2.35%
1962-01-01 2.77 2.77%
1963-01-01 3.16 3.16%
1964-01-01 3.55 3.55%
1965-01-01 3.95 3.95%
1966-01-01 4.86 4.86%
1967-01-01 4.31 4.31%
1968-01-01 5.34 5.34%
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T. Bill rates
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T. Bill rates
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T. Bill rates
ally Adjusted
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Inflation Rate
CPIAUCNS Consumer Price Index for All Urban Consumers: All Items in U.S. City Average, Percent Change from Year Ago of (Index 1
Frequency: Annual
observation_dCPIAUCNS
1914-01-01 1.3 1.35%
1915-01-01 0.9 0.92%
1916-01-01 7.7 7.67%
1917-01-01 17.8 17.84%
1918-01-01 17.3 17.28%
1919-01-01 15.2 15.24%
1920-01-01 15.6 15.63%
1921-01-01 -10.9 -10.94%
1922-01-01 -6.2 -6.16%
1923-01-01 1.8 1.79%
1924-01-01 0.4 0.44%
1925-01-01 2.4 2.43%
1926-01-01 0.9 0.90%
1927-01-01 -1.9 -1.93%
1928-01-01 -1.2 -1.15%
1929-01-01 0.0 0.00%
1930-01-01 -2.7 -2.67%
1931-01-01 -8.9 -8.93%
1932-01-01 -10.3 -10.30%
1933-01-01 -5.2 -5.19%
1934-01-01 3.5 3.48%
1935-01-01 2.6 2.55%
1936-01-01 1.0 1.03%
1937-01-01 3.7 3.73%
1938-01-01 -2.0 -2.03%
1939-01-01 -1.3 -1.30%
1940-01-01 0.7 0.72%
1941-01-01 5.1 5.12%
1942-01-01 10.9 10.92%
1943-01-01 6.0 5.97%
1944-01-01 1.6 1.64%
1945-01-01 2.3 2.27%
1946-01-01 8.5 8.48%
1947-01-01 14.4 14.39%
1948-01-01 7.7 7.69%
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Inflation Rate
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Inflation Rate
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Inflation Rate
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Summary for ppt
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Home Prices (Raw Data)
Home Price data from Robert Shiller's website. FRED Graph Observations
Federal Reserve Economic Data
Link: https://fred.stlouisfed.org
Help: https://fred.stlouisfed.org/help-faq
Economic Research Division
Federal Reserve Bank of St. Louis
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Home Prices (Raw Data)
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Home Prices (Raw Data)
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Home Prices (Raw Data)
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Home Prices (Raw Data)
ional Home Price Index, Percent Change from Year Ago of (Index Jan 2000=100), Annual, Not Seasonally Adjusted
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Moody's Rates
AAA Moody's Seasoned Aaa Corporate Bond Yield, Percent, Annual, Not Seasonally Adjusted
Frequency: Annual
observation_dAAA % Rate
1919-01-01 5.73 5.73%
1920-01-01 6.26 6.26%
1921-01-01 5.50 5.50%
1922-01-01 5.08 5.08%
1923-01-01 5.09 5.09%
1924-01-01 4.95 4.95%
1925-01-01 4.85 4.85%
1926-01-01 4.68 4.68%
1927-01-01 4.46 4.46%
1928-01-01 4.61 4.61%
1929-01-01 4.67 4.67%
1930-01-01 4.52 4.52%
1931-01-01 5.32 5.32%
1932-01-01 4.59 4.59%
1933-01-01 4.50 4.50%
1934-01-01 3.81 3.81%
1935-01-01 3.44 3.44%
1936-01-01 3.10 3.10%
1937-01-01 3.21 3.21%
1938-01-01 3.08 3.08%
1939-01-01 2.94 2.94%
1940-01-01 2.71 2.71%
1941-01-01 2.80 2.80%
1942-01-01 2.81 2.81%
1943-01-01 2.74 2.74%
1944-01-01 2.70 2.70%
1945-01-01 2.61 2.61%
1946-01-01 2.61 2.61%
1947-01-01 2.86 2.86%
1948-01-01 2.79 2.79%
1949-01-01 2.58 2.58%
1950-01-01 2.67 2.67%
1951-01-01 3.01 3.01%
1952-01-01 2.97 2.97%
1953-01-01 3.13 3.13%
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Moody's Rates
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Moody's Rates
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Moody's Rates
BAA Moody's Seasoned Baa Corporate Bond Yield, Percent, Annual, Not Seasonally Adjusted
Frequency: Annual
observation_date BAA
1919-01-01 7.77 7.77%
1920-01-01 8.56 8.56%
1921-01-01 7.61 7.61%
1922-01-01 7.02 7.02%
1923-01-01 7.38 7.38%
1924-01-01 6.46 6.46%
1925-01-01 6.15 6.15%
1926-01-01 5.68 5.68%
1927-01-01 5.32 5.32%
1928-01-01 5.60 5.60%
1929-01-01 5.95 5.95%
1930-01-01 6.71 6.71%
1931-01-01 10.42 10.42%
1932-01-01 8.42 8.42%
1933-01-01 7.75 7.75%
1934-01-01 6.23 6.23%
1935-01-01 5.30 5.30%
1936-01-01 4.53 4.53%
1937-01-01 5.73 5.73%
1938-01-01 5.27 5.27%
1939-01-01 4.92 4.92%
1940-01-01 4.45 4.45%
1941-01-01 4.38 4.38%
1942-01-01 4.28 4.28%
1943-01-01 3.82 3.82%
1944-01-01 3.49 3.49%
1945-01-01 3.10 3.10%
1946-01-01 3.17 3.17%
1947-01-01 3.52 3.52%
1948-01-01 3.53 3.53%
1949-01-01 3.31 3.31%
1950-01-01 3.20 3.20%
1951-01-01 3.61 3.61%
1952-01-01 3.51 3.51%
1953-01-01 3.74 3.74%
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Moody's Rates
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Moody's Rates
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