This years edition is out with articles and data by Elroy Dimson, Paul Marsh, and Mike Staunton, London Business School, authors of Triumph of the Optimists.
From the Forward:
across 25 countries. The Credit Suisse Global Investment Returns
Sourcebook 2013 further extends the scale of this resource with
detailed tables, graphs, listings, sources and references for every country.
With their analysis of this rich dataset, Elroy Dimson, Paul Marsh
and Mike Staunton from the London Business School provide important
research that helps guide investors as to what they might expect from
market behavior in coming years.
To start with, the report examines the post-crisis investment landscape,
highlighting historically low yields on sovereign bonds, with real
yields in many countries now negative. At the same time and notwithstanding
the recent rally in equities, developed market returns since
2000 remain low enough for many commentators to continue asking
whether the cult of equity is dead. Against this backdrop, the authors
ask what rates of return investors should now expect from equities,
bonds and cash. In brief, they hold that investors’ expectations of asset
returns 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 second
chapter of the 2013 Yearbook examines the evidence for mean reversion
in detail, and whether investors can exploit it. In fact, it shows that
the evidence on mean reversion is weak and that market timing strategies
based on mean reversion may even give lower, not higher, returns.
Finally, with the improving business cycle in mind, Andrew Garthwaite
and his team analyze whether inflation is good for equities. Drawing on
the Yearbook dataset, they assess what type of inflation we may see in
the future, and what equity sectors, industries and regions offer the best