WSJ article (may be behind a paywall): https://www.wsj.com/articles/sometimes- ... 1541176880
McQuarrie's paper is titled "The First Eighty Years of the US Bond Market: Investor Total Return from 1793, Combining Federal, Municipal, and Corporate Bonds". The gist is that during the 19th century bonds performed much better than the data cited by Jeremy Siegel in his writing, to the point that bond returns were regularly higher than stock returns.
https://papers.ssrn.com/sol3/papers.cfm ... cle_inline
From Zweig:
Maybe investors should question the dogma of “stocks for the long run.” History shows that a portfolio of bonds has outperformed stocks surprisingly often and for shockingly long periods.
That’s the intriguing argument in a new research paper by Edward McQuarrie, a retired business professor at Santa Clara University. Investors have long taken it as an article of faith that stocks have always beaten bonds—and always will—if you can just hang on long enough. Prof. McQuarrie’s research is a healthy reminder that this belief is wrong. His findings also show the limits and dangers of extrapolating from the past.
Stocks offer a stake in a business’s variable profits in the indefinite future. Bonds are contracts conferring rights to a fixed stream of income over a certain period. If stocks didn’t offer the prospect of higher return, investors wouldn’t want to brave the uncertainty of owning them. But whether stocks deliver that higher return depends largely on how they are priced relative to bonds.
The popular belief that there’s never been a 30-year period in which stocks had lower returns than bonds is false. As recently as 2011, bonds had earned higher returns than stocks over the prior 30 years (long-term Treasury bonds, 10.7% annually; U.S. stocks, 10.4%).
That’s no aberration, says Prof. McQuarrie. Using digitized antique newspapers to supplement an online database of U.S. stock and bond prices, he assembled an index of bonds back to 1793.
That has enabled him to calculate 30-year returns beginning in 1823. Between then and 2013, he shows, bonds earned higher returns than stocks in one-quarter of all 191 three-decade-long periods.