Callan Periodic Table of Investment Returns

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Callan Periodic Table of Investment Returns

Postby minesweep » Sun Jan 15, 2012 3:42 pm

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Re: Callan Periodic Table of Investment Returns

Postby btenny » Sun Jan 15, 2012 5:37 pm

Is this is a new version of the table? The version I remember included Mid Caps value and growth. Do they still publish that version?

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Re: Callan Periodic Table of Investment Returns

Postby LadyGeek » Sun Jan 15, 2012 5:46 pm

A link to the table is in the wiki (it's easier if you search for it): Financial Websites and Blogs (Research and other Financial Articles).

Here's the direct link: Periodic Tables. Both free and restricted access (needs a login account) versions are available. I don't know what's in the restricted version.

Neither mid caps or small caps are shown in the free version.
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Re: Callan Periodic Table of Investment Returns

Postby riskonoff » Sun Jan 15, 2012 8:42 pm


thanks for the info.

a while back i was given one by a insurance salesman from Securian. It was good because at the end it gave annualized returns for the last 10 or so years. They also had a box for a 'Diversified 60/40' portfolio which was consistently in the middle of the pack.
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Re: Callan Periodic Table of Investment Returns

Postby GregLee » Mon Jan 16, 2012 1:36 am

It's a very pretty and colorful chart, but is it really periodic?

I saw an orange box for 2011 giving -2.91% as the value of the Russell 2000 Growth index, which is for small cap growth stocks. Two thirds of my portfolio happens to be in a small cap growth (active management) fund, T. Rowe Price New Horizons, so naturally I compared. My fund is up 5.8% for 2011, which is over 8% better than the index. It makes me wonder.
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Re: Callan Periodic Table of Investment Returns

Postby grayfox » Mon Jan 16, 2012 12:25 pm



Thanks! So the winner in 2011 was Barclay Aggregate Bond Index with 7.84% return. Last year it had almost as good return, 6.54%, but was dead last! It seems like the bond index just plods along with fairly consistent annual returns, but goes up or down in the ranking based on how good or bad the other classes, i.e. stocks, do.

The big loser in 2011 was MSCI Emerging Markets with -18.17% return. It was also the loser in 2008 with -53.18, but #1 in 2009 with 79.02. With Emerging Markets, it either shoots the lights out or crashes and burns.

This is like the tortoise versus the hare. The bond index is the tortoise, plodding along with mostly single digit returns. Emerging markets is the hare, with either huge gains or huge losses.

Fascinating stuff.
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Re: Callan Periodic Table of Investment Returns

Postby mickeyd » Mon Jan 16, 2012 1:54 pm

Thanks for posting the chart. I always enjoying checking the extremes. For instance BC Agg was last in 6 of the last 9 years and first in 2 of the last 4 years.

Who can predict this?

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Re: Callan Periodic Table of Investment Returns

Postby jjustice » Mon Jan 16, 2012 2:14 pm

I noticed that BC Agg goes to last for a year or more after it's been first. Just saying.
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Re: Callan Periodic Table of Investment Returns

Postby Taylor Larimore » Mon Jan 16, 2012 2:35 pm

Hi Mike:

Thank you for the link to the current Callan Periodic Table of Investment Returns.

In my opinion, the Callan Table is the best visual information showing the importance of diversification, reversion-to-the-mean, and the impossibility of forecasting asset-class returns.

It is a primary reason Bogleheads favor total market index funds.

Best wishes.
Taylor
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Re: Callan Periodic Table of Investment Returns

Postby heyyou » Mon Jan 16, 2012 4:44 pm

I second what Taylor said. The Callan Periodic Table (CPT) is not a book, but it is full of lessons about market history.

On printed CPTs, I put a wider black line between the positive and the negative returning assets for each year, just to emphasize where zero return is.

The CPT does refute the misconception of investors expecting to receive returns near the often advertised "average". The percentage numbers are more shocking than speaking of standard deviations.

If anyone knows of other, similar charts please post them. Janus funds used to make one and someone else, but my memory fails me. One included REITs and another showed the average of equal portions of each asset class. Having more or different categories would avoid any contention of copying Callan's work.
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Re: Callan Periodic Table of Investment Returns

Postby CABob » Mon Jan 16, 2012 5:38 pm

If anyone knows of other, similar charts please post them.


Janus link several years old https://ww4.janus.com/SiteObjects/publi ... -15-09.pdf

Allianz link http://www.allianzinvestors.com/Marketi ... _ACO33.pdf

I think there was also one from Russell, but, could not find current.
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Re: Callan Periodic Table of Investment Returns

Postby Leif » Mon Jan 16, 2012 6:15 pm

Taylor Larimore wrote:Hi Mike:

Thank you for the link to the current Callan Periodic Table of Investment Returns.

In my opinion, the Callan Table is the best visual information showing the importance of diversification, reversion-to-the-mean, and the impossibility of forecasting asset-class returns.

It is a primary reason Bogleheads favor total market index funds.

Best wishes.
Taylor


I look at it differently.

I see it as a reason to favor diversification of asset classes rather than diversification of individual stocks. A subtle but important difference.
Investors should diversify across many asset-classes so that whatever happens, we will not have all our investments in underperforming asset classes and thereby fail to meet our goals-Taylor Larimore
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Re: Callan Periodic Table of Investment Returns

Postby riskonoff » Tue Jan 17, 2012 12:15 am

i guess this is done with rebalancing, but i love to buy last years worst performers etc...buy low/sell high and always avoid buying the past years best performer.

right now buying int'l equities and reinvesting all bond income into equities.
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Re: Callan Periodic Table of Investment Returns

Postby TN_INVEST » Tue Jan 17, 2012 9:49 am

Leif Eriksen wrote:
Taylor Larimore wrote:Hi Mike:

Thank you for the link to the current Callan Periodic Table of Investment Returns.

In my opinion, the Callan Table is the best visual information showing the importance of diversification, reversion-to-the-mean, and the impossibility of forecasting asset-class returns.

It is a primary reason Bogleheads favor total market index funds.

Best wishes.
Taylor


I look at it differently.

I see it as a reason to favor diversification of asset classes rather than diversification of individual stocks. A subtle but important difference.


Maybe I'm missing something, but it sounds as if you and Taylor are saying the same thing (I didn't see anywhere that Taylor mentioned anything about individual stocks).
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Re: Callan Periodic Table of Investment Returns

Postby alanf56 » Tue Jan 17, 2012 10:03 am

What sticks out with BC AGG is that only twice did it fall into the negative returns. All the rest of the years varied and really returned quite well. Interesting indeed.
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Re: Callan Periodic Table of Investment Returns

Postby grayfox » Tue Jan 17, 2012 10:09 am

riskonoff wrote:i guess this is done with rebalancing, but i love to buy last years worst performers etc...buy low/sell high and always avoid buying the past years best performer.

right now buying int'l equities and reinvesting all bond income into equities.


That's one idea for using the Callan table. Kind of a reversal approach. But what happens when theres a streak?

For instance, Emerging Markets
1994 dead last
1995 dead last
1996 next to last
1997 dead last
1998 dead last

Bond index was dead last four straight years-- 2003, 2004, 2005 and 2006

And Emerging Markets was #1 five years straight-- 2003, 2004, 2005, 2006, 2007
Growth stocks were great for five years--1994, 1995, 1996, 1997, 1998

In those cases the "hot hands" approach worked best.
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Re: Callan Periodic Table of Investment Returns

Postby sadie wess » Tue Jan 17, 2012 10:28 am

I second, third, fourth, and fifth Taylor Larimore. I find the Callan Table very helpful and have ever since it was handed to me during an investment class in Princeton,N.J. in 2008.

Thanks Grayfox for the posting.
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Re: Callan Periodic Table of Investment Returns

Postby Leif » Tue Jan 17, 2012 4:16 pm

TN_INVEST wrote:
Leif Eriksen wrote:
Taylor Larimore wrote:Hi Mike:

Thank you for the link to the current Callan Periodic Table of Investment Returns.

In my opinion, the Callan Table is the best visual information showing the importance of diversification, reversion-to-the-mean, and the impossibility of forecasting asset-class returns.

It is a primary reason Bogleheads favor total market index funds.

Best wishes.
Taylor


I look at it differently.

I see it as a reason to favor diversification of asset classes rather than diversification of individual stocks. A subtle but important difference.



Maybe I'm missing something, but it sounds as if you and Taylor are saying the same thing (I didn't see anywhere that Taylor mentioned anything about individual stocks).


I did say it was subtle.

Taylor promotes the total market, which gives you market weight for the entire market. However, from an asset class point of view this tends to favor large cap growth companies. A diversified asset class gives you more small cap, value, REITs, or other assets classes then if held only in the total market.

On the other hand, Taylor also promotes diversified asset classes (see his excellent quote below this reply.) However, I think the total market alone does not give you very good asset class diversification. I guess that is where we differ.
Investors should diversify across many asset-classes so that whatever happens, we will not have all our investments in underperforming asset classes and thereby fail to meet our goals-Taylor Larimore
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Re: Callan Periodic Table of Investment Returns

Postby yobria » Mon Oct 08, 2012 10:17 pm

Seeing recent threads on more and more precise ways to model historical stock returns, and a few posts re: how dramatically to bet this or that corner of the stock market, I figured this thread was worth a bump.

Looking at Vanguard funds, it appears growth will beat value again this year, and large will beat small, but anything can happen over the remainder of the year. Next year? Who knows - the world is a very random place.
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Re: Callan Periodic Table of Investment Returns

Postby Beagler » Mon Oct 08, 2012 11:58 pm

Leif Eriksen wrote:...I think the total market alone does not give you very good asset class diversification.


Comparison of VG's Large-Cap Index fund and TSM from the date of the former's inception:
Image
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Re: Callan Periodic Table of Investment Returns

Postby Investor2 » Tue Oct 09, 2012 12:31 am

yobria wrote:Seeing recent threads on more and more precise ways to model historical stock returns, and a few posts re: how dramatically to bet this or that corner of the stock market, I figured this thread was worth a bump.


Yobria, thanks for the bump on this thread. The chart is great - I've never seen anything like this before. It definitely supports the idea that its better to simply buy broad indexes and hold them, rather than trying to guess which market segments are likely to outperform.
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Re: Callan Periodic Table of Investment Returns

Postby Hatch Batten » Tue Oct 09, 2012 1:55 am

Here's a similar chart for sectors - Dow Jones 1992-2009

http://allfinancialmatters.com/2010/08/ ... 1992-2009/
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Re: Callan Periodic Table of Investment Returns

Postby xram » Tue Oct 09, 2012 7:43 am

Beagler wrote:
Leif Eriksen wrote:...I think the total market alone does not give you very good asset class diversification.


Comparison of VG's Large-Cap Index fund and TSM from the date of the former's inception:
Image



Wow
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Re: Callan Periodic Table of Investment Returns

Postby yobria » Tue Oct 09, 2012 10:43 am

Hatch Batten wrote:Here's a similar chart for sectors - Dow Jones 1992-2009

http://allfinancialmatters.com/2010/08/ ... 1992-2009/


Interesting, I hadn't seen that one. Same message.
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Re: Callan Periodic Table of Investment Returns

Postby Aptenodytes » Tue Oct 09, 2012 11:55 am

GregLee wrote:It's a very pretty and colorful chart, but is it really periodic?


No, it isn't periodic. Whoever named it probably thought that the word "periodic" either meant something like "scientific" or "serious," or thought that it was a filler word with no meaning (which is what it is in this context). Needlessly undermines the integrity of the presentation.
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"Periodic"

Postby Taylor Larimore » Tue Oct 09, 2012 12:09 pm

From The Free Dictionary:
In technical use, periodic means "at regular or predictable intervals," as in the Periodic Table of the Elements. Often, however, periodic is used to mean "occasional, intermittent." This usage can be confusing for readers who are accustomed to the narrower sense of the word.

http://www.thefreedictionary.com/periodic

Best wishes.
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Re: "Periodic"

Postby Aptenodytes » Tue Oct 09, 2012 1:25 pm

Taylor Larimore wrote:From The Free Dictionary:
In technical use, periodic means "at regular or predictable intervals," as in the Periodic Table of the Elements. Often, however, periodic is used to mean "occasional, intermittent." This usage can be confusing for readers who are accustomed to the narrower sense of the word.

http://www.thefreedictionary.com/periodic

Best wishes.
Taylor

Both definitions are fine, but the table isn't periodic under either one. For it to be periodic under the second meaning it would have to come out once in a while.

The simplest explanation is that the authors meant the term to mean something like "serious." Possibly they meant "annual" because the columns increment by one as you move to the right. But that's definitely not a period, because nothing repeats, nor is it intermittent, because the interval is constant.

Anyway, no big deal. Still, "Yearly Investment Returns by Asset Class" would have been more clear and more serious. The title they have sounds frivolous to me.
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Re: Callan Periodic Table of Investment Returns

Postby pingo » Tue Oct 09, 2012 2:07 pm

I never worried about the definitional aspects of "periodic" for the Callan Table.

I figured it was called that merely from aesthetics.

It kinda looks like the periodic table, therefore they called it a periodic table.

The first time I saw I thought, "Cool! It kinda does look like the periodic table." Periodic felt appropriate.

To each his own.
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Re: Callan Periodic Table of Investment Returns

Postby JayMack » Wed Oct 10, 2012 3:13 am

A question which has surely been asked and answered numerous times, but, with apologies for not being successful with my research, here goes--do the returns shown on the "periodic" charts include dividends?...or they simply market prices?

Jim
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Re: Callan Periodic Table of Investment Returns

Postby Aptenodytes » Wed Oct 10, 2012 8:37 am

JayMack wrote:A question which has surely been asked and answered numerous times, but, with apologies for not being successful with my research, here goes--do the returns shown on the "periodic" charts include dividends?...or they simply market prices?

Jim

It is confusing, isn't it? A little reverse engineering makes it clear, though -- the returns include dividends.

This confusion is the result of more sloppy labeling. The table refers to "annual returns for key indices" but in fact that's not what is in the table at all. The table should have been titled "annual returns for key asset classes," which in fact is what the Callan Web site linking to the document does. Indices don't really have returns, though the asset classes whose prices the indices track do.

As one of my mentors told me over and over, "be precise or pay the price."

To be fair, someone worked hard at putting this graphic together in a way that would effectively communicate an important point clearly, and for the most part they succeeded. They deserve praise.
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Re: Callan Periodic Table of Investment Returns

Postby Aptenodytes » Wed Oct 10, 2012 8:51 am

pingo wrote:I never worried about the definitional aspects of "periodic" for the Callan Table.

I figured it was called that merely from aesthetics.

It kinda looks like the periodic table, therefore they called it a periodic table.

The first time I saw I thought, "Cool! It kinda does look like the periodic table." Periodic felt appropriate.

To each his own.

I get it. But to be clear, the main point of this table is precisely the opposite of the periodic table, which is why it grates. The whole point of the periodic table of the elements was to order the information about the elements in way that revealed an underlying structure -- knowing what row and column an element is in tells you a lot about the element. In the case of investment returns, exactly the opposite is true. What can you tell me about what the asset category that is going to be ranked third in 2015 -- nothing. In fact, that's the key message of the table.
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Re: Callan Periodic Table of Investment Returns

Postby Clive » Wed Oct 10, 2012 2:39 pm

.....
Last edited by Clive on Sun Oct 14, 2012 4:51 pm, edited 1 time in total.
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Re: Callan Periodic Table of Investment Returns

Postby Beagler » Wed Oct 10, 2012 11:46 pm

xram wrote:
Beagler wrote:
Leif Eriksen wrote:...I think the total market alone does not give you very good asset class diversification.


Comparison of VG's Large-Cap Index fund and TSM from the date of the former's inception:
Image



Wow


Here's a comparison of TSM and the S&P 500 from inception of TSM:
Image
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Re: Callan Periodic Table of Investment Returns

Postby JayMack » Thu Oct 11, 2012 1:17 am

Kudos to Aptenodytes for your response to my query as you explained that dividends are included in the returns shown in the tables. A true Boglehead you are, giving not only the answer but the logic as well.

Jim
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