Session 3: Arithmetic and Geometric Rates of Return

PART A Random Rate of Return PART B

Mean 10.7 7.9376364
Stdev. (SQRT (3.2) 1.788854 10.88755 1P variance
9.0060804 2P variance
Arithmetic r.r. 10.57331 8.0962443
Variance 3.320848 9.5384544
Geometric r.r. 10.4128 9.8695938 Here, return for arithmetic
9.8792986 mean R(A) seems always
11.876146 higher than return for
(R(A) - R(G) 0.160516 10.032414 geometric mean R(G),
Variance/2 1.660424 12.415043 though not by half the
13.649706
variance. Theoretically, it
could be true, though.
10.851042
8.6792763
9.0914215
10.187352
10.798016
12.096109
10.412603
8.9231589
12.453054
12.125784
9.3966423
11.560097
12.417233
8.7331485
11.54397
8.8194707
8.7636915
7.3483518
11.279922
10.191192
10.887918
13.088212
10.377608
11.92427
9.2891804
11.646624
8.6773629
10.581944
12.932385
7.8417396
10.504735
11.965194
9.5116255
10.332822
8.388588
9.0655017
9.0260488
10.445474
14.277959
9.0659738
14.639712
11.466796
9.6427717
11.129345
10.574814
15.023798
10.277183
7.4556702
9.0611136
9.1265708
11.504575
12.701369
9.9789359
12.289209
10.579139
10.591924
8.2878945
11.351817
8.7256948
10.630838
6.5884197
8.6417158
7.7910765
11.080252
9.2632003
10.18251
12.26293
10.146188
9.81465
7.4095042
12.88466
13.343503
12.18236
12.549187
9.5951547
12.13946
11.424887
11.046708
10.979788
8.7993049
9.8128066
10.01937
9.8808794
10.477049
10.121994
12.893654
9.5651641
11.3036
11.491337
10.359105
10.087436
10.250686
9.3736458
10.862339
8.0656891
10.370223
7.9317293
12.267987
10.067177
12.493421
10.615269
9.4364509
12.137961
12.99464
9.841778
10.276817
7.9489995
13.370027
8.3913894
9.2178047
8.9822295
12.69283
12.376724
10.962125
10.857298
6.8094237
8.7200043
6.9689492
10.581341
10.318988
9.9327837
11.218995
7.1776593
11.782022
9.1161417
9.7642554
7.4560044
10.009694
7.2504557
8.9967315
9.146158
5.8872292
12.450211
12.480972
9.3820831
9.4657372
10.822175
11.37211
8.104536
13.602519
12.806636
12.528383
9.6824515
10.413623
8.3093309
10.886223
9.136803
10.20014
7.9542732
12.806636
10.183922
8.8400336
10.642567
13.418979
7.1671706
11.022844
10.656947
12.659621
13.49523
9.9785444
12.484561
12.320584
10.890045
12.496113
8.8774933
9.5686012
10.921946
12.015267
9.5295253
11.610939
16.451698
15.872331
13.557114
7.979714
11.911319
10.439651
11.337097
10.458507
12.795934
9.8944115
10.722419
10.480807
13.278044
12.904715
12.726006
12.383522
11.32989
10.188445
10.21328
10.584565
9.2644983
10.535617
8.9246609
11.008315
10.281091
8.9500348
11.421462
13.452056
10.479063
12.126294
10.705027
11.924745
9.2442063
16.129186
11.503421
11.6765
8.7433831
8.116341
12.589036
9.3613561
9.677595
11.011846
7.6302135
10.068828
12.305354
11.532738
10.943682
12.589036
7.723933
7.7463584
7.3640592
10.502415
11.120194
11.041956
10.067299
9.6067477
9.979008
9.9847354
9.9368549
8.2904426
12.8786
9.1131391
10.582561
11.036993
8.2727781
9.1565586
11.251807
10.134619
10.696108
9.622919
9.4343786
10.670174
10.285454
10.89053
13.207685
8.7163237
11.32076
8.4093946
9.9674694
10.482778
8.462106
10.785069
6.9136802
14.930988
12.093526
9.7526004
13.084027
11.372313
7.7615099
10.239821
10.733085
11.349437
8.0303301
8.3358843
7.9254733
12.538013
13.197994
12.157895
9.6877418
4.8061746
9.6280128
13.03738
13.312563
11.318607
9.8524459
10.99351
9.773731
12.121733
11.99218
10.312085
10.714528
11.69024
10.035653
11.556106
11.080248
11.457258
14.261691
8.21683
11.340195
11.07051
7.9804895
11.712599
14.644722
10.360742
12.35784
11.021623
9.0654071
8.3169439
10.302754
12.874709
10.273367
9.9129535
13.957755
11.464313
11.125911
6.1119509
11.755057
11.069842
8.0031904
16.264258
9.0269368
10.341618
12.493089
11.410371
11.013098
7.0096259
12.954268
11.509528
8.5343984
6.3000395
8.0773919
11.114026
11.088918
8.9906117
9.1758154
10.104551
9.8910895
9.347328
11.262049
9.3975275
12.813533
8.5134457
9.8716356
10.668138
9.9064748
13.376466
14.061099
12.937273
12.702632
13.406168
8.3680476
10.301994
10.564127
10.690142
9.8461474
10.551775
11.103243
10.201896
11.230215
13.609201
9.371604
8.743243
9.8467942
11.731024
12.032279
12.355547
8.8586197
12.967822
13.001613
10.939364
9.5810577
9.8168195
10.401259
8.895599
9.0730804
9.2021445
10.750204
8.6274995
11.106175
8.5517889
12.924295
9.6919055
12.502108
10.971544
14.058444
12.337164
9.080675
10.722832
10.021041
11.307348
11.824621
12.424951
8.6885352
10.889915
12.898891
11.988514
7.7157089
11.500615
12.481025
 1P holding rate 2P holding rate
12.770937107481 188.638708818
3.212031 12.770937107481 134.141146177
870.7574 8.8135039846613 114.329405404
10.752112760599 146.228132235
11.527801190645 165.373690829
12.280358484047 157.663431448 Observed relationship is:
10.947225042057 124.205692159
9.479897358485 100.148030565 SD1P x SQRT(T) ≈ SD2P
8.6516241624572 116.933265108
11.219007197439 121.77216486 Where SD1P is the standard deviation of holding
9.0476383126737 115.282958535 rate over one period; SD2P is holding over two
10.573163256554 119.427778494 periods; and T is time period (400 years).
9.4057789408293 120.64799434 Thus, statement on page 171 holds true,
10.690426543928 121.968825495 theoretically.
9.5187629410369 149.000207479
13.260251734878 142.921252094
9.0924762598858 156.773890494
14.632822553285 231.054832612
13.844077697475 120.378350605
7.1768873134705 92.2703389882
10.40658240875 153.655757229
12.558465777682 164.444165984
11.202277801723 170.058833639
13.018598528819 179.004875706
11.840433038712 143.142597385
10.225680391784 123.884823595
10.124922431148 121.675562071
10.027093701549 130.871705208
10.958881349589 168.775111272
13.196571260219 121.893795571
7.6565828690898 87.3704980245
9.2084736391816 67.3574254133
5.6961455580289 84.3515928563
11.746376570916 203.223641374
15.022093827071 160.492492805
9.0793625694746 111.759016865
10.187117844772 130.234227496
10.730834457736 133.80609936
10.491603589267 161.283512922
13.121920553685 147.617040364
9.5238547263178 144.443357503
12.820350174492 183.177552649
12.326547469763 157.304551153
10.878886974474 144.45870444
11.245145925923 156.533377742
11.864965325434 148.922142898
10.653520946685 158.258672389
12.666142028484 142.514951632
9.50149715498 158.030623101
14.143614358446 249.342596656
15.531231628729 186.328314233
10.331782074089 89.2200131654
6.9616791582721 111.292509451
13.104123918944 105.367580874
6.5415943227322 78.4612554389
9.536400134831 143.827674153
12.745460717094 176.463550073
11.910702211087 147.387986804
10.493409450396 135.100334733
10.841598032334 132.128504736
10.24244416782 141.891863263
11.710035391807 148.805047301
10.786359572027 154.581597435
12.200140084287 167.871471216
11.793157507271 150.777167354
10.86393329933 134.242149669
10.399436110878 122.38207274
9.8235242111864 134.202483444
11.491539798504 151.040538774
11.171480956459 132.073997141
9.9332625682243 123.712980177
10.406748845448 133.415062917
10.783818924948 151.050391733
11.903320451676 143.143000245
10.171000579635 160.986811179
13.500653726062 184.228113475
11.773776753386 137.527184837
9.8446536612537 121.650077443
10.309727472563 112.158957019
9.0054539150892 105.292517288
9.623457785174 108.086706863
9.2684746406371 126.038109809
11.371663197768 130.916466033
9.6627915684797 98.7001222586
8.3502833304265 86.0664353533
8.3116360517089 108.900099763
10.802447942833 138.027767284
10.779570471936 152.288089428
12.013045746708 126.703576288
8.8135039846613 125.523380069
11.892783277698 172.461932643
12.454188200239 161.401550601
11.070706027324 158.087389382
12.179625866278 119.256625753
8.1244339538558 83.5501607018
8.2663458499834 121.132106495
12.180180027004 133.565547593
9.2096896489868 134.145249097
12.236959569099 180.637767016
12.722015699129 169.412868346
11.418938447706 141.307861295
10.458939255905 178.946149828
14.703560845327 156.435611609
9.0254721307936 129.972233929
12.0639467369 182.478711216
13.044661610383 152.589481767
9.9357908383993 128.065446698
10.802113683921 118.507544938
9.1259442281577 110.924760036
10.053266491859 122.268077939
10.152185467533 124.177987117
10.224525227016 98.3054362853
7.8471836694024 108.250222716
11.348587618257 111.075852824
8.076005798306 103.694593414
10.5353158361 123.530704691
9.7956042522461 118.052352593
10.027854468458 121.583048248
10.115765863445 125.762338999
10.40383312825 123.188317388
9.8900503884647 139.820726263
11.931136334534 118.39527862
8.2331621546228 154.073023545
15.79522366748 246.295473099
13.724154795165 169.677618992
10.591675132867 110.388371974
8.6093421094842 96.9207712324
9.1901639172334 103.803349109
9.2847559627136 121.794827109
10.939498375511 129.073861089
9.8944159124749 127.449116742
10.790362858758 161.526921608
12.784726013511 169.355875954
11.358306997679 155.518769768
11.665065675879 170.829561387
12.567206502051 108.945445362
7.1037644223582 71.6526738974
7.9652993486468 101.224131416
10.402199462692 117.986372873
9.4353877742866 107.531047227
9.4002888607871 156.278030553
14.12246752545 183.995574326
11.233160627668 149.841628325
11.330552415326 153.219299468
11.507087620515 141.103833835
10.361864420162 162.149144935
13.359363824595 145.957312107
9.2342495045138 164.451384311
15.166440366507 170.853667685
9.6302725763154 134.044681456
11.703783509426 149.883394091
10.877043872694 131.151419917
10.126625558771 151.761811856
12.729392712017 159.067347409
10.658734713632 123.191891287
9.6522615307212 141.080341417
12.338044790521 182.922400814
12.789307481193 185.737821538
12.542218983266 120.304549773
7.9575090996959 114.6260516
11.908281790536 147.432015387
10.498975448144 167.940306061
13.691770307998 123.799195634
7.4944967840767 100.847693318
10.989844237614 165.457565097
12.883213309347 181.3271515
12.132921567757 184.103950626
13.094651344038 137.299279456
8.8121816623946 121.834370884
11.518558574436 171.735042726
12.798317250227 199.428307824
13.525561645586 192.714575755
12.336116047109 155.455677173
10.731727335033 147.125366165
11.62604916865 186.955434889
13.886322108999 183.018991417
11.361615587108 115.711098326
8.441411399966 136.665962742
13.581078708484 164.674724193
10.362309161417 94.18019133
7.3768351994145 99.0880669888
10.948195781122 167.449864154
13.098351520156 136.752966977
8.7708563146559 124.384397712
11.832488133528 154.421226426
11.111542579172 143.423293983
10.924434318642 168.899330283
13.247999170692 160.069216449
10.304690189772 103.24981216
8.2218194758342 81.2736670482
7.9216306243888 121.709194948
12.754121876866 177.613549549
11.98618342542 173.345884366
12.425490666083 156.529271229
10.733595080179 125.154573324
9.7515703807803 131.582743185
11.331477029804 133.854453526
9.9357908383993 138.004170073
11.710938982551 147.517324984
10.684213509983 149.221792298
11.856816778467 155.655697268
11.184641032656 153.45670064
11.676343950225 126.025273274
9.0206553066976 106.678917259
9.7456961609307 90.9518816462
7.5570893005993 90.7373782076
9.7206288242418 110.099547254
9.3631558442146 138.02413042
12.415231084964 155.018550906
10.629956272704 137.929806171
10.945857999232 137.364662941
10.582647554469 132.508573174
10.526602406415 126.815742569
10.088761289982 145.92939018
12.250297877091 135.28789211
9.2856474152029 99.1447008894
8.7363536631989 98.3057121628
9.1994766827488 139.315400463
12.757117627426 165.552812049
11.106664823197 123.19120708
9.258085847228 120.980814971
10.891186795205 140.95591669
10.937909910512 116.356047888
8.8305355600535 102.85717055
9.5647520336419 147.928282369
13.096713476551 186.032075457
12.267778746279 118.975153137
8.04259525508 83.7736535495
8.3749251357799 124.179433061
12.352579487059 155.532535069
10.723018404096 143.211899824
11.301601418057 169.318491386
12.845229218377 141.97742959
9.3268373050762 126.942053301
11.389277522366 127.391999992
9.3631547327908 99.5058157206
8.6983803013781 96.4311152988
9.0461223700346 119.111198246
10.955976029588 133.533667251
10.252420289064 90.8048936203
7.158679756167 118.556816703
13.653941602825 157.091945455
9.7883564531724 104.94955574
8.820731841803 110.315445588
10.334740361577 134.806151186
10.98140820646 123.950146278
9.4286694956514 105.166923998
9.1802942400549 127.138519194
11.5869170549 118.017612527
8.455660350167 110.821817173
10.825913054349 113.448997374
8.677814883971 111.46065097
10.620458989797 119.005580037
9.32709466492 67.3320324383
5.6167721566848 64.6187455131
8.9170326496404 122.207331829
11.423810244594 139.262239051
10.289792446067 121.519417535
9.8522294028065 164.660024611
14.265068444619 168.173577837
10.082398906418 111.535309953
9.1544179110574 125.536562161
11.46123246739 141.8059856
10.460020986983 130.807242247
10.501483496141 159.18908331
12.927688838056 180.028249565
11.997723575657 142.645267514
10.051571198465 137.084060608
 11.49451848319 141.268970976
10.386510906147 135.047375915
10.948118000049 121.468397969
9.2500157738723 119.081096413
10.71521088965 135.552558294
10.6560051356 139.39607969
11.04495691762 118.631129526
8.9320512596472 144.382395105
13.637700843917 184.642199722
11.682469856507 174.726424777
12.855851956722 130.451279283
8.4870585867678 167.257586525
16.735485133382 175.464904758
8.949821131536 91.7054419531
8.3172973390715 109.942106295
10.907112358652 127.937479565
9.8286103029311 105.502400447
8.8352787170084 108.748374992
10.158644116772 122.775799387
10.092369116871 138.017902939
11.5327512522 127.113383239
9.2222872425099 91.2949500169
8.0287963767102 93.5644750887
9.4736524275369 96.5965302798
8.318289961887 76.2012147267
7.2849122577687 115.401196483
13.049780234433 183.735578665
12.148645429498 104.996880944
7.0614297124352 91.7339579475
10.503413321891 146.357936459
11.809931481691 161.057966431
11.650962783296 149.55146457
10.900395815593 125.496289764
9.6295867569985 138.869936207
12.158548813292 199.961574278
14.272320460988 184.933895286
11.174567431356 144.807532937
10.976403577261 162.148791306
12.622519502949 187.225079696
12.81720023635 140.023909056
9.2064026462107 104.247977188
9.3119562138037 145.475772966
13.204460330189 173.247095456
11.267069033673 137.759942297
10.311580779124 141.920752558
11.634905354874 177.907531112
13.15978403378 130.652311999
8.2976214669018 122.869900755
12.32275154417 165.959261499
11.531890349033 170.016943035
12.64654000886 174.123225114
11.832793147563 106.771967787
7.3981691708091 90.0344330627
9.83979510429 148.72989643
12.812982163359 159.404874922
10.612617248418 124.745341911
9.8283377657756 118.929296543
10.075503843466 133.839693689
11.174587774478 143.756770995
10.890075760808 132.520574153
10.229581445822 152.776528119
12.693878873447 153.887365663
10.310700722148 144.716437502
11.883060128815 138.217729424
9.806262489793 117.896452844
10.002550877942 112.740100515
9.337611866274 110.525841688
9.7883564531724 164.349941607
14.326703592447 206.332316848
12.527521792096 124.052048438
8.2442688587148 111.999062841
11.223688489416 155.273955068
11.784517145001 183.181956762
13.406641617588 150.990672036
9.5500418536378 125.860537551
11.024647798675 157.117459305
12.149446200159 153.804911107
10.772732383579 145.121169488
11.411831402176 153.202238129
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