User:LadyGeek/Callan periodic table of investment returns

First published in 1999, the  is patterned after Mendeleev's periodic table of the elements and shows returns for 10 asset classes, ranked from best to worst. Each asset class is color-coded for easy tracking.

Overview
The chart is intended to show the importance of diversification across asset classes (stocks versus bonds), investment styles (growth versus value), capitalizations (large versus small) and equity markets (U.S. versus international).

Refer to the table below. The rankings change every year, thereby demonstrating two key principles of investing:


 * Past performance does not predict future performance.
 * Diversification: By owning the entire market (all of the asset classes), susceptibility to changes in market variations is minimized.

How to read the table
For example: S&P 500 Growth (a measure of the growth style for US large cap stocks). Starting at the left side, this measure ranked:


 * 1998 - 1st
 * 1999 - 3rd
 * 2000 - 8th
 * 2001 - 2004 - 9th (3 consecutive years)
 * 2005 - 8th
 * 2006 - 9th
 * 2007 - 3rd
 * 2008 - 2009 - 5th (2 consecutive years)
 * 2010 - 8th
 * 2011 - 2nd
 * 2012 - 8th
 * 2013 - 4th
 * 2014 - 2015 - 1st (2 consecutive years)
 * 2016 - 8th
 * 2017 - 2nd

Putting the table into perspective
Periodic tables provide a great visual about diversification benefits, but tend to be more qualitative than quantitative. The simple ranking from worse to best notably does not allow one to easily appreciate the scaling of annual returns.

The following dispersion graph (distribution spread of returns over time) is therefore useful to put such a periodic table in perspective.

In addition, it is challenging to get a sense of returns averaged over a period of time with a periodic table. The following table of statistics is therefore useful to consider.

One statistic that's sometimes informative is the "Coefficient of Variation" (CV), which is simply the standard deviation divided by the mean. This is sometimes called the "coefficient of relative variation." It is the inverse of a signal-to-noise ratio, thus it's a noise to signal ratio. The lower the ratio of standard deviation to mean return, the better your risk-return tradeoff.

If you calculate the CV using the standard deviation and the simple average return for the 24 years, you get: highest CV=Emerging Markets (2.91). Lowest CV=Agg Bond (0.82).

In order from lowest CV (least volatile) to highest CV: Agg Bond (0.82), Russell 2000 V (1.58), SP500 (1.71), SP500 V (1.72), Russell 2000 (1.79), SP500 G (1.84), Russell 2000 G (2.35), EAFE (2.50), EM (2.91).

Bloomberg Barclays Aggregate US Bond Index ("Agg Bond"), a diverse bond fund, has the best risk vs. return tradeoff.

Forum discussions

 * . How to create your own "periodic table" with a spreadsheet. Choose any asset class or data source, such as Simba's backtesting spreadsheet.
 * . A comprehensive list of asset class returns compiled by forum member Tamales.
 * . A comprehensive list of asset class returns compiled by forum member Tamales.