February 2013
Research
Institute
Thought leadership from Credit Suisse Researchand the world’s foremost experts
Credit Suisse GlobalInvestment ReturnsYearbook 2013
Contents
5 The low-return world17 Mean reversion29 Is inflation good for equities?35 Country profiles
36 Australia37 Austria38 Belgium39 Canada40 China41 Denmark42 Finland43 France44 Germany45 Ireland46 Italy47 Japan48 Netherlands49 New Zealand50 Norway51 Russia52 South Africa53 Spain54 Sweden55 Switzerland56 United Kingdom57 United States58 World59 World ex-US60 Europe
62 References64 Authors66 Imprint / Disclaimer
For more information on the findingsof the Credit Suisse Global InvestmentReturns Yearbook 2013, please contacteither the authors or:
Michael O’Sullivan, Head of Portfolio Strategy& Thematic Research, Credit Suisse PrivateBanking michael.o’sullivan@credit-suisse.comRichard Kersley, Head of Global ResearchProduct, Investment Banking Researchrichard.kersley@credit-suisse.comTo contact the authors or to order printedcopies of the Yearbook or of the accompanyingSourcebook, see page 66.
C O V E R P H O T O : P H O T O C A S E . C O M / R I S K I E R S , P H O T O : P H O T O C A S E . C O M / H I N D E M I T T
CREDIT SUISSE GLOBAL INVESTMENT RETURNS YEARBOOK 2013
_2
Introduction
It is now over five years since the beginning of the global financial crisisand there is a sense that, following interruptions from the Eurozonecrisis and, more recently, the fiscal cliff debate in the USA, the worldeconomy is finally moving towards a meaningful recovery. In thiscontext, theCredit Suisse Global Investment Returns Yearbook 2013 examines how stocks and bonds might perform in a world that is witnessing a resurgence in investor risk appetite and might soon see arise in inflation expectations.The2013 Yearbooknow contains data spanning 113 years of historyacross 25 countries. TheCredit Suisse Global Investment Returns Sourcebook 2013further extends the scale of this resource withdetailed tables, graphs, listings, sources and references for every coun-try. With their analysis of this rich dataset, Elroy Dimson, Paul Marshand Mike Staunton from the London Business School provide importantresearch that helps guide investors as to what they might expect frommarket behavior in coming years.To start with, the report examines the post-crisis investment land-scape, highlighting historically low yields on sovereign bonds, with realyields in many countries now negative. At the same time and notwith-standing the recent rally in equities, developed market returns since2000 remain low enough for many commentators to continue asking whether the cult of equity is dead. Against this backdrop, the authorsask what rates of return investors should now expect from equities,bonds and cash. In brief, they hold that investors’ expectations of assetreturns may be too optimistic.Then, continuing the theme of investing in a post-crisis environment,they examine mean reversion in equity and bond prices. This secondchapter of the2013 Yearbookexamines the evidence for mean rever-sion in detail, and whether investors can exploit it. In fact, it shows thatthe evidence on mean reversion is weak and that market timing strate-gies based on mean reversion may even give lower, not higher, returns.Finally, with the improving business cycle in mind, Andrew Garthwaiteand his team analyze whether inflation is good for equities. Drawing ontheYearbookdataset, they assess what type of inflation we may see inthe future, and what equity sectors, industries and regions offer the bestinflation exposure.We are proud to be associated with the work of Elroy Dimson,Paul Marsh, and Mike Staunton, whose book Triumph of the Optimists(Princeton University Press, 2002) has had a major influence on invest-ment analysis. TheYearbookis one of a series of publications from theCredit Suisse Research Institute, which links the internal resources ofour extensive research teams with world-class external research.
Giles Keating
Stefano Natella
Head of Research for Private Head of Global Equity Research,Banking and Wealth Management Investment Banking
CREDIT SUISSE GLOBAL INVESTMENT RETURNS YEARBOOK 2013
_3
|