The Callan Periodic Table of Investment Returns

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The Callan Periodic Table of Investment Returns

Postby airahcaz » Fri Mar 22, 2013 11:01 am

So what do folks make of this very nice chart?

The Callan Periodic Table of Investment Returns http://www.callan.com/research/download/?file=periodic%2ffree%2f655.pdf

I tried to correlate to the below chart for a 5 year period, and why wouldn't the correlation be a bit closer over the 5 years given that the S&P was on top some years, and international on top others in the Callan Chart above?

http://finance.yahoo.com/echarts?s=ACWI+Interactive#symbol=acwi;range=5y;compare=vxus+vti;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined;

Perhaps we need someone who can provide a chart from 1993 to date
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Re: The Callan Periodic Table of Investment Returns

Postby YDNAL » Fri Mar 22, 2013 3:07 pm

airahcaz wrote:The Callan Periodic Table of Investment Returns http://www.callan.com/research/download/?file=periodic%2ffree%2f655.pdf

I tried to correlate to the below chart for a 5 year period, and why wouldn't the correlation be a bit closer over the 5 years given that the S&P was on top some years, and international on top others in the Callan Chart above?

First, what do you consider "International?" For instance the Callan Table includes Emerging seperately from EAFE and no International Small.

Second, besides S&P 500, Callan keeps track of S&P 500G, 500V and Russell 2000, 2000G, 2000V. ALL Classes that impact results you see in the second chart you posted which included ACWI, VXUS and VTI.
http://finance.yahoo.com/echarts?s=ACWI ... undefined;

Third, my suggestion is to use the Callan Table for what it is... a historical report card of certain (and limited, specific) Asset Classes.
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Re: The Callan Periodic Table of Investment Returns

Postby LadyGeek » Fri Mar 22, 2013 3:40 pm

The Callan table is in the wiki: Callan periodic table of investment returns. Check Footnote 4.
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Re: The Callan Periodic Table of Investment Returns

Postby Trev H » Fri Mar 22, 2013 5:23 pm

I used to collect data.. and below is the Callan Table data from 1980-2012 (in CSV format).

You can easily cut and paste that into Excel and have at it...

Trev H

==

YEAR,LCV,LCB,LCG,SCV,SCB,SCG,REIT,EAFE,BND
1980,23.59,32.50,39.40,25.39,38.83,52.26,24.40,22.60,2.71
1981,0.02,-4.92,-9.81,14.58,2.68,-9.23,6.00,-2.27,6.26
1982,21.04,21.55,22.03,28.52,24.76,20.99,21.60,-1.86,32.65
1983,28.89,22.56,16.24,38.63,29.39,20.14,30.60,23.69,8.19
1984,10.52,6.27,2.33,2.27,-6.79,-15.84,20.90,7.41,15.15
1985,29.68,31.73,33.31,31.01,31.05,30.97,19.10,56.14,22.13
1986,21.67,18.67,14.50,7.41,5.68,3.58,19.20,69.46,15.30
1987,3.68,5.25,6.50,-7.11,-8.80,-10.48,-3.60,24.64,2.75
1988,21.67,16.61,11.95,29.47,25.02,20.37,13.50,28.26,7.89
1989,26.13,31.69,36.40,12.43,16.26,20.17,8.80,10.53,14.53
1990,-6.85,-3.11,0.20,-21.77,-19.48,-17.41,-15.40,-23.45,8.96
1991,22.56,30.47,38.37,41.70,46.04,51.19,35.70,12.14,16.00
1992,10.52,7.62,5.06,29.14,18.41,7.77,14.60,-12.18,7.40
1993,18.61,10.08,1.68,23.77,18.88,13.37,19.70,32.57,9.75
1994,-0.64,1.32,3.14,-1.54,-1.82,-2.43,3.20,7.78,-2.92
1995,36.99,37.58,38.13,25.75,28.45,31.04,15.30,11.21,18.46
1996,22.00,22.96,23.97,21.37,16.49,11.26,35.30,6.05,3.64
1997,29.98,33.36,36.52,31.78,22.36,12.95,20.30,1.78,9.64
1998,14.69,28.58,42.16,-6.45,-2.55,1.23,-17.50,20.00,8.70
1999,12.73,21.04,28.24,-1.49,21.26,43.09,-4.60,26.96,-0.82
2000,6.08,-9.11,-22.08,22.83,-3.02,-22.43,26.40,-14.17,11.63
2001,-11.71,-11.89,-12.73,14.02,2.49,-9.23,13.90,-21.44,8.43
2002,-20.85,-22.10,-23.59,-11.43,-20.48,-30.26,3.80,-15.94,10.26
2003,31.79,28.68,25.66,46.03,47.25,48.54,37.60,38.59,4.10
2004,15.71,10.88,6.13,22.25,18.33,14.31,31.60,20.25,4.34
2005,6.33,4.91,4.00,4.71,4.55,4.15,11.89,13.54,2.43
2006,20.81,15.79,11.01,23.48,18.37,13.35,35.07,26.34,4.33
2007,1.99,5.49,9.13,-9.78,-1.57,7.05,-16.46,11.17,6.97
2008,-39.22,-37.00,-34.92,-28.92,-33.79,-38.54,-37.05,-43.38,5.24
2009,21.17,26.47,31.57,20.58,27.17,34.47,29.58,31.78,5.93
2010,15.10,15.06,15.05,24.50,26.85,29.09,28.49,7.75,6.54
2011,-0.48,2.11,4.65,-5.50,-4.18,-2.91,8.62,-12.14,7.84
2012,17.68,16.00,14.61,18.05,16.35,14.59,17.69,17.32,4.21
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Re: The Callan Periodic Table of Investment Returns

Postby Peter Foley » Fri Mar 22, 2013 6:30 pm

If I am not mistaken the table was revised a bit a few years ago to include emerging market. I have found the table to be useful in explaining why indexing with broad diversification is the way to go.
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Re: The Callan Periodic Table of Investment Returns

Postby LadyGeek » Fri Mar 22, 2013 6:45 pm

Correct. Emerging market was added in 2010. See [footnotes 2] in the wiki article.
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Re: The Callan Periodic Table of Investment Returns

Postby LadyGeek » Fri Mar 22, 2013 6:53 pm

Trev H wrote:You can easily cut and paste that into Excel and have at it...
==

YEAR,LCV,LCB,LCG,SCV,SCB,SCG,REIT,EAFE,BND

I'm having at it. :) To be sure:

LCV - Large Cap Value
LCB - Large Cap Blend
LCG - Large Cap Growth
SCV - Small Cap Value
SCB - Small Cap Blend
SCG - Small Cap Growth
REIT - Real Estate Investment Trust (US Real Estate)
EAFE - Europe Asia Far East (International)
BND - US Total Bond
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Re: The Callan Periodic Table of Investment Returns

Postby LadyGeek » Fri Mar 22, 2013 8:27 pm

Using MS Excel's RANK.AVG(), here's a CSV of the relative rank for each year. For example, LCV was 7th in 1980.

Code: Select all
YEAR,LCV,LCB,LCG,SCV,SCB,SCG,REIT,EAFE,BND
1980,7,4,2,5,3,1,6,8,9
1981,5,7,9,1,4,8,3,6,2
1982,7,6,4,2,3,8,5,9,1
1983,4,6,8,1,3,7,2,5,9
1984,3,5,6,7,8,9,1,4,2
1985,7,3,2,5,4,6,9,1,8
1986,2,4,6,7,8,9,3,1,5
1987,4,3,2,7,8,9,6,1,5
1988,4,6,8,1,3,5,7,2,9
1989,3,2,1,7,5,4,9,8,6
1990,4,3,2,8,7,6,5,9,1
1991,7,6,4,3,2,1,5,9,8
1992,4,6,8,1,2,5,3,9,7
1993,5,7,9,2,4,6,3,1,8
1994,5,4,3,6,7,8,2,1,9
1995,3,2,1,6,5,4,8,9,7
1996,4,3,2,5,6,7,1,8,9
1997,4,2,1,3,5,7,6,9,8
1998,4,2,1,8,7,6,9,3,5
1999,6,5,2,8,4,1,9,3,7
2000,4,6,8,2,5,9,1,7,3
2001,6,7,8,1,4,5,2,9,3
2002,6,7,8,3,5,9,2,4,1
2003,6,7,8,3,2,1,5,4,9
2004,5,7,8,2,4,6,1,3,9
2005,3,4,8,5,6,7,2,1,9
2006,4,6,8,3,5,7,1,2,9
2007,6,5,2,8,7,3,9,1,4
2008,8,5,4,2,3,7,6,9,1
2009,7,6,3,8,5,1,4,2,9
2010,5,6,7,4,3,1,2,8,9
2011,5,4,3,8,7,6,1,9,2
2012,3,6,7,1,5,8,2,4,9
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Re: The Callan Periodic Table of Investment Returns

Postby Sam I Am » Sat Mar 23, 2013 1:07 pm

Message deleted.
Last edited by Sam I Am on Sun Oct 06, 2013 2:14 pm, edited 1 time in total.
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Re: The Callan Periodic Table of Investment Returns

Postby airahcaz » Sat Mar 23, 2013 2:30 pm

I think it would be great to marry this data to a chart that shows an international allocation returned better results than just domestic over the same long period, but I don't know how to arrive at that conclusion. ACWI and VT, as well as VTI and SPY only go back so far.

Then perform the same exercise with a bond allocation over the same period of decades.
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Re: The Callan Periodic Table of Investment Returns

Postby airahcaz » Sun Mar 24, 2013 8:32 am

airahcaz wrote:I think it would be great to marry this data to a chart that shows an international allocation returned better results than just domestic over the same long period, but I don't know how to arrive at that conclusion. ACWI and VT, as well as VTI and SPY only go back so far.

Then perform the same exercise with a bond allocation over the same period of decades.



Trying to find a chart like this for international and domestic stock allocation

https://personal.vanguard.com/us/insigh ... llocations
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Re: The Callan Periodic Table of Investment Returns

Postby Trev H » Sun Mar 24, 2013 9:04 am

Below is the data for US Total Stock Market and Total International (returns 1970-2012).

Again in CSV format so you can pull into excel and have at it.

Data Source..

TSM = US Cap Weighted Market:
=============================
1970-1992 CRSP Market Decile 1-10 (-.19)
1993-Forward Vanguards Total Stock Market Index Fund (VTSMX)

ILB - Total International – International Large Market:
=======================================================
1970-1987 MSCI EAFE Index (Developed Only)(-.29)
1988-1996 85% EAFE Index, 15% Emerg Mkt Index (-.34)
1997-Forward Vanguards Total International Index Fund (VGTSX)

Year,TSM,TotIntl
1970,-0.19,-11.99
1971,16.01,29.31
1972,16.71,36.01
1973,-18.29,-15.19
1974,-27.39,-23.49
1975,38.51,35.11
1976,26.51,2.21
1977,-4.39,17.81
1978,7.31,32.31
1979,22.81,4.51
1980,32.51,22.31
1981,-3.89,-1.29
1982,20.61,-1.19
1983,21.81,24.31
1984,4.31,7.61
1985,32.01,56.41
1986,15.91,69.61
1987,1.51,24.61
1988,17.81,30.03
1989,28.71,18.59
1990,-6.19,-20.97
1991,34.51,19.27
1992,9.61,-8.66
1993,10.62,38.85
1994,-0.17,5.45
1995,35.79,8.74
1996,20.96,5.19
1997,30.99,-0.77
1998,23.26,15.60
1999,23.81,29.92
2000,-10.57,-15.61
2001,-10.97,-20.15
2002,-20.96,-15.08
2003,31.35,40.34
2004,12.52,20.84
2005,5.98,15.57
2006,15.51,26.64
2007,5.49,15.52
2008,-37.04,-44.10
2009,28.70,36.73
2010,17.09,11.12
2011,0.96,-14.56
2012,16.25,18.14


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Re: The Callan Periodic Table of Investment Returns

Postby Trev H » Sun Mar 24, 2013 9:15 am

Here is a few crunches from that data set on TSM and Total Intl... 1970-2012 (annual rebalancing).

100% TSM
545,800.07 = 10K Growth
9.75 = CAGR
17.86 = StDev
0.34 = Sharpe

100% Total Intl
555,573.65 = 10K Growth
9.79 = CAGR
22.92 = StDev
0.30 = Sharpe

75% TSM, 25% Total Intl (annual rebal)
595,712.67 = 10K Growth
9.97 = CAGR
17.77 = StDev
0.35 = Sharpe

50% TSM, 50% Total Intl (annual rebal)
614,701.63 = 10K Growth
10.05 = CAGR
18.68 = StDev
0.35 = Sharpe

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Re: The Callan Periodic Table of Investment Returns

Postby airahcaz » Sun Mar 24, 2013 9:33 am

Trev H wrote:Here is a few crunches from that data set on TSM and Total Intl... 1970-2012 (annual rebalancing).

100% TSM
545,800.07 = 10K Growth
9.75 = CAGR
17.86 = StDev
0.34 = Sharpe

100% Total Intl
555,573.65 = 10K Growth
9.79 = CAGR
22.92 = StDev
0.30 = Sharpe

75% TSM, 25% Total Intl (annual rebal)
595,712.67 = 10K Growth
9.97 = CAGR
17.77 = StDev
0.35 = Sharpe

50% TSM, 50% Total Intl (annual rebal)
614,701.63 = 10K Growth
10.05 = CAGR
18.68 = StDev
0.35 = Sharpe

Trev H


Any chance you can include bonds in your above excellent mastery?

So bonds, domestic stocks, and international stocks, and the CAGR across that period would be amazingly brilliant...
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Re: The Callan Periodic Table of Investment Returns

Postby Trev H » Sun Mar 24, 2013 2:08 pm

Below are some mixes of Total Markets (50/50 US/Intl) working in Total Bond.

Again 1970-2012 (annual rebalancing)


Code: Select all
TSM...TotIntl...TotBond...10K.Growth....CAGR....StDev...Sharpe
==============================================================
.50......50........00.....614,701.63....10.05...18.68....0.35
.40......40........20.....583,193.59.....9.92...15.12....0.38
.30......30........40.....519,114.84.....9.62...11.68....0.43
.20......20........60.....435,637.39.....9.17....8.50....0.50
.10......10........80.....345,718.91.....8.59....6.01....0.58
.00......00.......100.....259,900.39.....7.87....5.30....0.52
==============================================================


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Re: The Callan Periodic Table of Investment Returns

Postby airahcaz » Sun Mar 24, 2013 4:47 pm

Trev H wrote:Below are some mixes of Total Markets (50/50 US/Intl) working in Total Bond.

Again 1970-2012 (annual rebalancing)


Code: Select all
TSM...TotIntl...TotBond...10K.Growth....CAGR....StDev...Sharpe
==============================================================
.50......50........00.....614,701.63....10.05...18.68....0.35
.40......40........20.....583,193.59.....9.92...15.12....0.38
.30......30........40.....519,114.84.....9.62...11.68....0.43
.20......20........60.....435,637.39.....9.17....8.50....0.50
.10......10........80.....345,718.91.....8.59....6.01....0.58
.00......00.......100.....259,900.39.....7.87....5.30....0.52
==============================================================


Trev H


So no combination that includes bonds outperforms any other allocation over that lengthy period...
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Re: The Callan Periodic Table of Investment Returns

Postby Trev H » Mon Mar 25, 2013 7:52 am

airahcaz...

That is correct... over longer periods of time (historically speaking and considering 1927-2012)... bonds reduce returns, and well of course reduce volatility.

Back during (1929) and for about a 17 year period following the great depression, a mix of stocks & bonds performed better than all equity... well because stocks suffered badly and continued to suffer for many years.

That was the longest period (considering that date span) where bonds in the mix outperformed all equity.

In fact if you started investing in 1929 (the start of the great depression) and retired in 1974 (the end of the next big stock market crash)... that is a 46 year span. All equity outperformed any mix including bonds.

If you started investing when you are 20 and retire at 66... that is 46 years...

That would be the absolute worst case situation considering someones investment (accumulation phase) time frame.... but all equity still outperformed any mix with bonds.

Problem is no one knows what the next 46 years is going to be like. It could be one for the record book and make 1929-1974 look like the good old days :-)

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Re: The Callan Periodic Table of Investment Returns

Postby airahcaz » Mon Mar 25, 2013 11:15 pm

Trev H wrote:Here is a few crunches from that data set on TSM and Total Intl... 1970-2012 (annual rebalancing).

100% TSM
545,800.07 = 10K Growth
9.75 = CAGR
17.86 = StDev
0.34 = Sharpe

100% Total Intl
555,573.65 = 10K Growth
9.79 = CAGR
22.92 = StDev
0.30 = Sharpe

75% TSM, 25% Total Intl (annual rebal)
595,712.67 = 10K Growth
9.97 = CAGR
17.77 = StDev
0.35 = Sharpe

50% TSM, 50% Total Intl (annual rebal)
614,701.63 = 10K Growth
10.05 = CAGR
18.68 = StDev
0.35 = Sharpe

Trev H


Certainly is interesting that 100% TSM and 100% Total International have nearly identical CAGR. Same for the 75/25 or 50/50 allocations, very close but about 25 basis pouts higher than an allocation that doesn't combine the two. It's a but trivial to determine the ultimate CAGR combination, what's the moral of the story? Have somewhere between 25-50% international?
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Re: The Callan Periodic Table of Investment Returns

Postby Trev H » Tue Mar 26, 2013 5:59 pm

My conclusion (after studying the data intently for years) is to go 50/50 on US/International.

Not so much because of CAGR, or any of the other stats... but mostly because of diversification.

It's also simple (rebalancing is easy), and it's near Global allocation which IMO is more diversified than for example the typical US investors biased allocation (80% US, 20% International).

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Re: The Callan Periodic Table of Investment Returns

Postby airahcaz » Tue Mar 26, 2013 6:06 pm

Trev H wrote:My conclusion (after studying the data intently for years) is to go 50/50 on US/International.

Not so much because of CAGR, or any of the other stats... but mostly because of diversification.

It's also simple (rebalancing is easy), and it's near Global allocation which IMO is more diversified than for example the typical US investors biased allocation (80% US, 20% International).

Trev H


ACWI is pretty close to 50/50 but of course doesn't rebalance.
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