chpt01

A Brief History of Risk and Return

1

The McGraw-Hill Companies, Inc., 2000Irwin/McGraw-Hill

CHAPTER 1A Brief History of Risk and ReturnReturnsThe Historical RecordAverage Returns: The First LessonReturn Variability: The Second LessonRisk & ReturnCapital Market HistorySummary & Conclusions


Table1

Table 1.1 Annual Returns 1926-1961

YearS&P 500T-BondsT-BillsCPI

192613.70%6.50%4.41%-1.12%

192735.78%4.52%4.21%-2.26%

192845.15%0.05%4.87%-1.16%

1929-8.86%5.77%6.03%0.58%

1930-25.22%4.18%3.75%-6.40%

1931-43.76%0.32%2.62%-9.32%

1932-8.40%5.63%2.91%-10.27%

193353.12%6.02%1.69%0.76%

1934-2.42%5.94%1.06%1.52%

193546.98%3.29%0.26%2.99%

193632.33%1.67%0.14%1.45%

1937-35.68%4.69%0.45%2.86%

193832.26%4.79%0.05%-2.78%

1939-1.55%2.26%0.02%0.00%

1940-10.50%4.31%0.01%0.71%

1941-12.14%1.54%0.09%9.93%

194220.98%1.80%0.32%9.03%

194325.50%2.01%0.37%2.96%

194419.48%2.27%0.38%2.30%

194536.33%5.29%0.38%2.25%

1946-8.48%0.54%0.38%18.13%

19474.96%-1.02%0.57%8.84%

19484.93%2.66%1.04%2.99%

194917.76%4.58%1.12%-2.07%

195030.03%-0.98%1.21%5.93%

195123.88%-0.20%1.54%6.00%

195218.44%2.43%1.74%0.75%

1953-1.11%2.28%1.95%0.75%

195452.43%3.08%0.96%-0.74%

195531.64%-0.73%1.70%0.37%

19566.90%-1.72%2.68%2.99%

1957-10.53%6.82%3.30%2.90%

195843.73%-1.72%1.81%1.76%

195912.02%-2.02%3.34%1.73%

19600.45%11.21%3.13%1.36%

196126.89%2.20%2.35%0.67%



1962-8.79%6.04%2.80%1.33%

196322.72%1.39%3.16%1.64%

196416.43%3.87%3.59%0.97%

196512.38%1.00%3.98%1.92%

1966-10.10%4.79%4.93%3.46%

196724.04%-2.48%4.49%3.04%

196811.04%1.57%5.39%4.72%

1969-8.47%-4.98%6.81%6.20%

19704.00%18.31%6.70%5.57%

197114.35%11.49%4.50%3.27%

197218.99%2.44%4.06%3.41%

1973-14.85%3.43%6.98%8.71%

1974-26.58%3.75%8.09%12.34%

197537.42%5.60%6.03%6.94%

197623.76%15.32%5.15%4.86%

1977-7.38%0.45%5.28%6.70%

19786.54%-1.15%7.23%9.02%

197918.59%0.37%10.30%13.29%

198032.61%-0.80%12.04%12.52%

1981-4.97%2.46%15.23%8.92%

198221.67%44.44%11.27%3.83%

198322.57%1.90%8.90%3.79%

19846.19%16.00%10.04%3.95%

198531.85%30.67%7.70%3.80%

198618.68%23.13%6.18%1.10%

19875.22%-3.43%5.86%4.43%

198816.58%6.83%6.73%4.42%

198931.75%18.81%8.49%4.65%

1990-3.13%7.23%7.84%6.11%

199130.53%18.70%5.71%3.06%

19927.62%8.54%3.57%2.90%

199310.07%13.59%3.08%2.75%

19941.27%-7.55%4.15%2.67%

199537.80%25.21%5.64%2.54%

199622.74%1.54%5.12%3.32%

199733.43%10.97%5.22%1.70%

199827.77%13.76%5.06%1.97%

Fig1-1

1.13703682571.06498068241.04413441580.9888267517

1.5439102271.11311501261.08804664440.9664804043

2.24092214641.11364044211.14100935590.9553071773

2.04237751531.17789385111.20977769330.9608937908

1.52739098741.22718744561.2551888470.8994412555

0.85906223331.23106138751.28802026280.8156424261

0.78693636361.30037746441.32546205360.7318435435

1.20496851181.37867754031.3478890520.7374301569

1.17582416991.46058811691.36218930020.7486033306

1.72822740211.50865031541.36574623180.770949678

2.28697085771.53390555241.36762644040.782122905

1.47106804981.605797531.37384708030.8044692524

1.94569213461.68275561621.37451124950.782122905

1.9154516681.72076217571.37479304640.782122905

1.71425562241.79486872051.37498552620.7877094652

1.50617192191.82248952071.37621432810.8659217877

1.82220221851.85531334271.38067756750.9441340569

2.28680761241.89259528861.38583169020.9720670178

2.73230412341.9356232651.39103286510.9944133652

3.72483561312.03807364371.39625705021.0167597126

3.4089535072.04907290141.40150435781.2011173184

3.57813023942.02825136181.40945717121.3072625485

3.75450937252.08222882431.42407530151.3463686298

4.42126800022.1775737041.44008427981.3184356689

5.74909962082.15628844751.45749822041.3966480447

7.12184328742.15191781481.47997587091.4804469274

8.43538177442.204136131.50572946951.4916200478

8.34137695382.2544600951.53503895011.5027932748

12.71509897962.32383412231.54981421231.4916200478

16.73868069112.30695417151.57613153921.4972066613

17.89368613262.26725905741.61836641121.5418993561

16.00974756512.42193917221.6717814591.5865921575

23.01092680462.3802426181.70197660691.6145251184

25.77572920512.33219181381.75882153741.6424580792

25.89227468482.59373320191.81383518741.6648044267

32.85592674932.65088986271.85641271461.6759776536

29.96834920252.81109037761.90830279781.698324001

36.77771536892.85020768671.96868383961.7262569619

42.82070835172.96063242032.03938157111.7430166958

48.12035600022.99014744052.12060118861.7765362702

43.25872319933.13327234082.22524947321.8379886989

53.65649356173.05559754522.32525279641.8938546207

59.57828052233.10362638642.45057310811.9832402235

54.53419305042.94906400192.61748658212.1061450809

56.71575982913.48908449342.79298509112.2234636445

64.85618218723.89009511242.91857475472.2960893002

77.17558736893.98512424833.03702490692.374301676

65.71609856274.12172752553.2488757222.5810054161

48.24930993294.2762305383.51185863312.8994412129

66.30469589414.51561555213.72373106343.1005586592

82.05685717855.20719835313.91551026973.2513964776

75.99802582975.23068596434.12222021543.4692736578

80.96810818915.17041069064.42024094323.7821227345

96.0199044185.18978926344.8757353814.2849160306

127.3323628395.14812938225.46255253964.8212287945

121.00061596515.27475601786.29438319885.251396648

147.21759508757.61864645247.00352105255.4525138812

180.45038825867.76335937597.62704234455.6592176214

191.62695554269.0052467748.39266351635.8826813085

252.660130665111.76672546929.03918283276.1061449957

299.865342338514.48816422479.59811519266.1731843575

315.523204080513.991851149410.16073525646.4469266071

367.844800073714.947280770810.84469751176.7318435754

484.623762601717.759101417811.76493445477.0446926522

469.45712191719.043838039712.68772623587.4748596532

612.791318796422.605348147213.41263026727.7039094211

659.514470595624.535933993413.89209201957.9273731083

725.954481568227.869224844314.31951215088.1452507147

735.162610569525.76618649214.91365178848.3631283211

1013.070385044232.261020559115.75489672188.5754189944

1243.412970301332.757998518116.56163376878.8603355365

1659.03160110736.350798800317.42615752919.0111731844

S&P 500 $1,659.03

T-bonds $36.35

Inflation $9.01

T-bills $17.43

Year end

Portfolio value

Figure 1.1 Investment Returns

Data1-1

Cumulative wealth indexes

YearSmallCapS&P500TBondsT-BillsCPI

19261.001.141.061.040.99

19271.221.541.111.090.97

19281.712.241.111.140.96

19290.832.041.181.210.96

19300.511.531.231.260.90

19310.260.861.231.290.82

19320.240.791.301.330.73

19330.591.201.381.350.74

19340.741.181.461.360.75

19351.041.731.511.370.77

19361.712.291.531.370.78

19370.721.471.611.370.80

19380.951.951.681.370.78

19390.951.921.721.370.78

19400.911.711.791.370.79

19410.821.511.821.380.87

19421.191.821.861.380.94

19432.242.291.891.390.97

19443.452.731.941.390.99

19455.993.722.041.401.02

19465.293.412.051.401.20

19475.343.582.031.411.31

19485.223.752.081.421.35

19496.264.422.181.441.32

19508.685.752.161.461.40

19519.367.122.151.481.48

19529.648.442.201.511.49

19539.028.342.251.541.50

195413.1712.722.321.551.49

195515.8616.742.311.581.50

195616.5517.892.271.621.54

195714.1316.012.421.671.59

195823.3023.012.381.701.61

195927.1225.782.331.761.64

196026.2325.892.591.811.66

196134.6532.862.651.861.68

196230.5229.972.811.911.70

196337.7136.782.851.971.73

196446.5842.822.962.041.74

196566.0348.122.992.121.78

196661.4043.263.132.231.84

1967112.7153.663.062.331.89

1968153.2659.583.102.451.98

1969114.8654.532.952.622.11

197094.8456.723.492.792.22

1971110.5164.863.892.922.30

1972115.4077.183.993.042.37

197379.7465.724.123.252.58

197463.8448.254.283.512.90

197597.5566.304.523.723.10

1976153.5082.065.213.923.25

1977192.4776.005.234.123.47

1978237.6580.975.174.423.78

1979340.9296.025.194.884.28

1980476.76127.335.155.464.82

1981542.93121.005.276.295.25

1982694.98147.227.627.005.45

1983970.66180.457.767.635.66

1984905.93191.639.018.395.88

19851129.35252.6611.779.046.11

19861206.72299.8714.499.606.17

19871094.53315.5213.9910.166.45

19881344.89367.8414.9510.846.73

19891481.79484.6217.7611.767.04

19901162.30469.4619.0412.697.47

19911681.08612.7922.6113.417.70

19922073.60659.5124.5413.897.93

19932508.61725.9527.8714.328.15

19942586.52735.1625.7714.918.36

19952586.521013.0732.2615.758.58

19962586.521243.4132.7616.568.86

19972586.521659.0336.3517.439.01

19982119.72145029241.3518.319.19


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Page &P

Fig1-2

1111

1.08950658630.99696867630.89422362291.2942920682

1.17050680961.04968002690.88252504821.8050407709

1.09077919180.81694173120.78254386381.5900667161

0.87416834110.61662175820.62584787621.1371386212

0.46481357450.39861906370.53042005740.6019273536

0.47711542760.43524755810.47139094030.5107487027

0.94668452780.74486359040.7872853850.7487027428

0.99127037290.95023576960.69811374010.7042253521

1.06496985931.06424722130.72738134440.9955522609

1.2073677161.25623105420.76819699891.2735359526

0.9919848181.32822499160.81380121360.7820607858

0.79493190441.22347591780.68666917540.9792438844

0.67425764681.26717750080.78935980060.9258710156

0.60223264121.65299764230.65712404160.7842846553

0.73849073451.76776692490.74528435020.6441808747

0.87597678051.85870663520.74992238580.7242401779

0.94652824291.87984169750.73948445360.8650852483

1.0475106050.48481812060.73426313560.9844329133

1.04110292480.46960255980.06077426031.2868791698

0.91469077920.27399797910.03919751631.1341734618

0.74137084170.20116200740.01186791481.1341734618

0.86258093320.05170090940.01761606851.1267605634

0.58350078140.35458066690.01384825251.2424017791

0.65708863590.4099023240.0179782681.5129725723

0.65429783430.8192152240.02862317141.76204596

0.69216342930.74368474230.06551578161.9696071164

0.81761553920.93726844060.06514417421.8391401038

1.07579816921.54673290670.06296627312.6671608599

1.11446751511.88413607280.07959452473.371386212

1.00524670691.7376220950.10241779953.4595997035

0.98664880551.83807679350.08895056212.9644180875

1.31801741463.0750252610.12781410234.0926612305

1.89265461045.65670259350.16317324434.4395848777

1.8033043097.56635230720.26768897884.3076352854

1.76043759777.21320309870.28796744915.3039288362

1.72511721375.51035702260.26724681314.6775389177

1.90419736556.13674637930.24108377635.5611564122

1.71582942626.34329740650.24003480886.2824314307

1.8312569775.42194341530.27539865476.8517420311

1.62866711324.46488716740.28352227295.9547813195

1.85624023226.29125968340.24930147237.1512231282

2.53755302527.16764904010.34471047567.6990363232

2.23264121468.420343550.47038901176.8243143069

2.05887474886.12537891550.39206924136.8309859155

3.11547220367.1115695520.6500446877.5678280208

3.23373520888.08496126641.31030151948.7509266123

2.19613753077.40308184571.14914154017.2312824314

0.99158294268.35912765240.95400536245.0822831727

2.019111408810.57081508931.07140975596.685693106

1.632909131511.01717750081.28148078467.9673832468

2.580977896913.40586055911.52001975637.0496664196

2.828086626516.04968002692.30769556427.1245366938

3.225831658914.87344223642.05239192818.0014825797

4.395713328912.47398113842.546949527310.0637509266

3.771064969910.70368811052.6305235439.0845070423

3.895155168611.48248568542.484350157610.4255003706

4.308082161213.6689962953.163878827812.2260934025

4.328443849112.58134051873.490168869712.3973313566

6.226970305928.34161333784.848313655415.661971831

7.775954454137.69291007078.65261301117.9518161601

10.28006251429.374789491412.607540335918.3157894737

10.583299843733.166301785118.293122912620.5871015567

12.12795266844.966992253320.307441554226.1971830986

12.554320160840.756315257713.373893409824.4788732394

13.680509042241.240990232413.452321369830.9184581171

13.367113194938.55877399810.241902253232.2987398073

15.824246483650.815678679711.904087680534.5774647887

14.958763116850.971539238814.761098828734.0452186805

17.636012502858.819383630914.486490427645.7160859896

21.727394507766.708487706312.52453078754.890289103

25.030587184680.74520040428.766640011371.9369903632

Japan$8.77

U.K. $25.03

U.S.A. $71.94

Germany$80.75

Year

Stock market index

Figure 1.2 International Stock Indexes

Data1-2

YearS&P 500EnglandGermanyFranceJapanYearEnglandGermanyJapanS&P 500YearS&P 500United KingdomGermanyFranceJapan

192613.4944.7911.87636.137212.591926111118002.73523.861

192717.4648.79911.8448.948190.10319271.08950658630.99696867630.89422362291.294292068218012.93425.896

192824.3552.42712.46674.489187.61619281.17050680961.04968002690.88252504821.805040770918023.226.916

192921.4548.8569.70271.934166.36119291.09077919180.81694173120.78254386381.590066716118032.89221.694

193015.3439.1547.32354.084133.04919300.87416834110.61662175820.62584787621.137138621218042.76922.893

19318.1220.8194.73434.195112.76219310.46481357450.39861906370.53042005740.601927353618052.64624.018

19326.8921.375.16937.409100.21319320.47711542760.43524755810.47139094030.510748702718062.76924.5

193310.142.4028.84653.604167.36919330.94668452780.74486359040.7872853850.748702742818072.89225.937

19349.544.39911.28545.276148.41219340.99127037290.95023576960.69811374010.704225352118082.89229.402

193513.4347.712.63946.85154.63419351.06496985931.06424722130.72738134440.995552260918092.92329.671

193617.1854.07814.91940.691163.31119361.2073677161.25623105420.76819699891.273535952618102.86125.165

193710.5544.43115.77427.317173.00619370.9919848181.32822499160.81380121360.782060785818112.64619.158

193813.2135.60514.5325.33145.97919380.79493190441.22347591780.68666917540.979243884418122.73817.567

193912.4930.215.04923.365167.8119390.67425764681.26717750080.78935980060.925871015618132.76918.791

194010.5826.97419.63121.969139.69819400.60223264121.65299764230.65712404160.784284655318142.30719.151

19418.6933.07720.99468.196158.4419410.73849073451.76776692490.74528435020.644180874718152.3720.018

19429.7739.23522.07436.648159.42619420.87597678051.85870663520.74992238580.724240177918162.2818.58

194311.6742.39522.32562.848157.20719430.94652824291.87984169750.73948445360.865085248318172.5524.431

194413.2846.9185.757771.241156.09719441.0475106050.48481812060.73426313560.984432913318182.46824.829

194517.3646.6315.57765.75412.9219451.04110292480.46960255980.06077426031.286879169818192.28323.704

194615.340.9693.25426.7538.33319460.91469077920.27399797910.03919751631.134173461818202.39124.767

194715.333.2062.38932.5542.52319470.74137084170.20116200740.01186791481.134173461818212.53728.24

194815.238.6350.61421.1853.74519480.86258093320.05170090940.01761606851.126760563418222.41530.798

194916.7626.1354.21122.1522.94419490.58350078140.35458066690.01384825251.242401779118232.41532.252

195020.4129.4314.86819.473.82219500.65708863590.4099023240.0179782681.512972572318242.53762.782

195123.7729.3069.72927.7346.08519510.65429783430.8192152240.02862317141.7620459618252.39148.172

195226.5731.0028.83231.02513.92819520.69216342930.74368474230.06551578161.969607116418262.39139.373

195324.8136.62111.13140.98713.84919530.81761553920.93726844060.06514417421.839140103818272.31841.111

195435.9848.18518.36965.68813.38619541.07579816921.54673290670.06296627312.667160859918282.31834.676

195545.4849.91722.37668.57216.92119551.11446751511.88413607280.07959452473.37138621218292.29335.815

195646.6745.02520.63669.05921.77319561.00524670691.7376220950.10241779953.459599703518302.46429.613

195739.9944.19221.82975.32418.9119570.98664880551.83807679350.08895056212.964418087518312.53725.781

195855.2159.03436.51962.63427.17219581.31801741463.0750252610.12781410234.092661230518322.65925.979

195959.8984.77267.179102.55134.68919591.89265461045.65670259350.16317324434.439584877718332.63529.437

196058.1180.7789.858105.99356.90819601.8033043097.56635230720.26768897884.307635285418342.97926.813

196171.5578.8585.664125.80261.21919611.76043759777.21320309870.28796744915.303928836218353.07229.139

196263.177.26865.441133.02156.81419621.72511721375.51035702260.26724681314.677538917718362.71230.579

196375.0285.28972.88112.15951.25219631.90419736556.13674637930.24108377635.561156412218372.40129.14

196484.7576.85275.333104.08151.02919641.71582942626.34329740650.24003480886.282431430718382.43927.108

196592.4382.02264.39195.19258.54719651.8312569775.42194341530.27539865476.851742031118392.13923.442

196680.3372.94853.02586.80860.27419661.62866711324.46488716740.28352227295.954781319518402.25824.123

196796.4783.14174.71586.59252.99919671.85624023226.29125968340.24930147237.151223128218411.95821.887

1968103.86113.65785.12387.25773.28219682.53755302527.16764904010.34471047567.699036323218421.60422.853

196992.0610010010010019692.23264121468.420343550.47038901176.824314306918432.32626.136

197092.1592.21772.745100.98283.3519702.05887474886.12537891550.39206924136.830985915518442.68530.878

1971102.09139.54284.45799.841138.19319713.11547220367.1115695520.6500446877.567828020818452.90329.76

1972118.05144.83996.017123.276278.55719723.23373520888.08496126641.31030151948.750926612318462.48128.832

197397.5598.36587.919128.431244.29619732.19613753077.40308184571.14914154017.231282431418472.51125.653

197468.5644.41399.273103.006202.81219740.99158294268.35912765240.95400536245.082283172718482.4221.892

197590.1990.436125.539130.94227.77119752.019111408810.57081508931.07140975596.68569310618492.4220.337

1976107.4873.138130.8499.041272.4319761.632909131511.01717750081.28148078467.967383246818502.87423.417

197795.1115.602159.20899.788323.14119772.580977896913.40586055911.52001975637.049666419618512.78323.536

197896.11126.67190.606163.935490.59319782.828086626516.04968002692.30769556427.124536693818523.32825.679

1979107.94144.485176.637197.806436.31819793.225831658914.87344223642.05239192818.001482579718532.90423.812

1980135.76196.884148.141188.499541.45619804.395713328912.47398113842.546949527310.063750926618542.02722.96

1981122.55168.906127.117121.753559.22319813.771064969910.70368811052.6305235439.084507042318552.05722.011

1982140.64174.464136.366108.921528.14819823.895155168611.48248568542.484350157610.425500370618562.14823.35924.80358.023

1983164.93192.959162.333138.578672.60919834.308082161213.6689962953.163878827812.226093402518571.48222.13219.65255.172

1984167.24193.871149.416146.722741.97519844.328443849112.58134051873.490168869712.397331356618581.69423.47317.80549.193

1985211.28278.906336.585259.1991030.70319856.226970305928.34161333784.848313655415.66197183118591.51323.13815.50846.063

1986242.17348.285447.641487.011839.45919867.775954454137.69291007078.65261301117.951816160118601.72424.33615.1243.374

1987247.08460.444348.855414.7272680.237198710.28006251429.374789491412.607540335918.315789473718611.69426.29615.76546.919

1988277.72474.026393.883513.843888.935198810.583299843733.166301785118.293122912620.587101556718622.63231.22217.85352.05

1989353.4543.211534.028689.5434317.159198912.12795266844.966992253320.307441554226.197183098618633.63334.94118.56955.99

1990330.22562.308484.022631.1852843.156199012.554320160840.756315257713.373893409824.478873239418643.86635.63318.98950.917

1991417.09612.75489.778674.3022859.829199113.680509042241.240990232413.452321369830.918458117118653.53936.97719.48149.563

1992435.71598.713457.924676.9892177.326199213.367113194938.55877399810.241902253232.298739807318663.66528.65517.34545.448

1993466.45708.768603.487827.7512530.69199315.824246483650.815678679711.904087680534.577464788718673.72228.15817.83543.643

1994459.27670.003605.338739.9333138.062199414.958763116850.971539238814.761098828734.045218680518684.12329.98518.99942.951

1995616.71789.917698.539805.7963079.683199517.636012502858.819383630914.486490427645.716085989618694.19532.00820.07546.859

1996740.47973.17792.23964.032662.59199621.727394507766.708487706312.52453078754.89028910318704.42934.86520.60545.721

1997970.431121.12958.931035.211863.7199725.030587184680.74520040428.766640011371.936990363218714.7541.49827.95138.894

19981229.231257.651187.991433.291955.97199828.0788122349100.03283933989.200667952491.121571534518725.07343.03236.28741.039

EnglandGermanyJapanS&P 50018734.42744.65626.66543.288

18744.55142.42123.42544.072

18754.36439.3717.63748.974

18763.58137.97814.81747.316

18773.24534.46314.47249.043

18783.44430.81115.03350.997

18794.92434.28623.20952.503

18805.84435.82722.94157.828

18816.01835.80125.67964.141

18825.84433.58124.28858.607

18835.34731.88823.36452.503

18844.33931.21723.87549.369

18855.231.48123.49245.784

18865.6431.39924.08244.078

18875.2730.39824.58844.849

18885.1432.36429.69547.715

18895.3236.25937.5250.277

18904.634.08830.9753.698

18915.4134.21625.91953.439

18925.5134.46326.23851.042

18934.4134.90526.71749.855

18944.337.08630.69749.006

18954.3241.3432.59548.103

18964.2250.20834.22348.391

18974.7552.71836.82152.767

18985.6552.8436.74658.318

18996.0252.11536.79560.183

19006.8751.28732.7356.92

19017.9548.84929.70351.612

19028.0548.38730.85250.096

19036.5745.30634.22850.462

19048.2546.80336.84756.276

19059.5449.58137.68257.952

19069.8449.15337.29461.213

19076.5742.11233.26660.01

19089.0345.59433.98564.092

190910.347.82338.16270.198

19109.0546.48838.17972.825

19119.1146.71738.62275.414

19129.3846.24136.87278.495

19138.0443.10135.87473.455

19147.3540.25431.86464.267164.944

19159.4837.04831.86453.402252.003

19169.837.53631.86460.552337.659

19176.833.5837.33177.52342.76

19187.937.26916.41587.05356.095

19198.9230.5444.16149.941430.962

19206.8124.2685.78329.421220.197

19217.3127.325.85634.653220.592

19228.7835.6351.8239.636186.618

19238.5534.3819.84840.997171.041

192410.1640.5448.64143.016149.831

192512.4643.7215.70930.354192.503

192613.4944.7911.87636.137212.59

192717.4648.79911.8448.948190.103

192824.3552.42712.46674.489187.616

192921.4548.8569.70271.934166.361

193015.3439.1547.32354.084133.049

19318.1220.8194.73434.195112.762

19326.8921.375.16937.409100.213

193310.142.4028.84653.604167.369

19349.544.39911.28545.276148.412

193513.4347.712.63946.85154.634

193617.1854.07814.91940.691163.311

193710.5544.43115.77427.317173.006

193813.2135.60514.5325.33145.979

193912.4930.215.04923.365167.81

194010.5826.97419.63121.969139.698

19418.6933.07720.99468.196158.44

19429.7739.23522.07436.648159.426

194311.6742.39522.32562.848157.207

194413.2846.9185.757771.241156.097

194517.3646.6315.57765.75412.92

194615.340.9693.25426.7538.333

194715.333.2062.38932.5542.523

194815.238.6350.61421.1853.745

194916.7626.1354.21122.1522.944

195020.4129.4314.86819.473.822

195123.7729.3069.72927.7346.085

195226.5731.0028.83231.02513.928

195324.8136.62111.13140.98713.849

195435.9848.18518.36965.68813.386

195545.4849.91722.37668.57216.921

195646.6745.02520.63669.05921.773

195739.9944.19221.82975.32418.91

195855.2159.03436.51962.63427.172

195959.8984.77267.179102.55134.689

196058.1180.7789.858105.99356.908

196171.5578.8585.664125.80261.219

196263.177.26865.441133.02156.814

196375.0285.28972.88112.15951.252

196484.7576.85275.333104.08151.029

196592.4382.02264.39195.19258.547

196680.3372.94853.02586.80860.274

196796.4783.14174.71586.59252.999

1968103.86113.65785.12387.25773.282

196992.06100100100100

197092.1592.21772.745100.98283.35

1971102.09139.54284.45799.841138.193

1972118.05144.83996.017123.276278.557

197397.5598.36587.919128.431244.296

197468.5644.41399.273103.006202.812

197590.1990.436125.539130.94227.771

1976107.4873.138130.8499.041272.43

197795.1115.602159.20899.788323.141

197896.11126.67190.606163.935490.593

1979107.94144.485176.637197.806436.318

1980135.76196.884148.141188.499541.456

1981122.55168.906127.117121.753559.223

1982140.64174.464136.366108.921528.148

1983164.93192.959162.333138.578672.609

1984167.24193.871149.416146.722741.975

1985211.28278.906336.585259.1991030.703

1986242.17348.285447.641487.011839.459

1987247.08460.444348.855414.7272680.237

1988277.72474.026393.883513.843888.935

1989353.4543.211534.028689.5434317.159

1990330.22562.308484.022631.1852843.156

1991417.09612.75489.778674.3022859.829

1992435.71598.713457.924676.9892177.326

1993466.45708.768603.487827.7512530.69

1994459.27670.003605.338739.9333138.062

1995616.71789.917698.539805.7963079.683

1996740.47973.17792.23964.032662.59

1997970.431121.12958.931035.211863.7

Fig1-4

0.1370368257

0.3578366084

0.4514588395

-0.088599522

-0.2521505079

-0.4375623266

-0.0839588413

0.5312146796

-0.0241868079

0.4698008821

0.3233043609

-0.3567613488

0.3226391089

-0.015542267

-0.105038435

-0.1213842894

0.2098235215

0.2549691737

0.1948115392

0.363258058

-0.0848043079

0.049627175

0.0492936593

0.1775887504

0.3003282363

0.2387754183

0.1844379936

-0.0111441098

0.5243405315

0.3164412419

0.069002179

-0.1052851019

0.4373072849

0.1201517185

0.0045215202

0.2689470952

-0.0878860477

0.2272185939

0.1643112663

0.1237636614

-0.1010306906

0.2403623961

0.1103647773

-0.0846631932

0.0400036501

0.1435301649

0.1899495895

-0.1484859293

-0.2657916251

0.3742102423

0.2375723329

-0.0738369901

0.0653975193

0.1858978376

0.3261038283

-0.0497261398

0.216668146

0.2257392749

0.0619370642

0.3184999467

0.1868328475

0.0522163102

0.1658248754

0.3174680259

-0.0312957016

0.3053190381

0.0762464323

0.1007407933

0.0126841685

0.3780221824

0.2273707619

0.3342563096

Figure 1.4 S&P 500 Annual Returns

Fig1-5

0.0649806824

0.045197374

0.0004720352

0.0576967274

0.0418489276

0.0031567646

0.0563059467

0.0602133442

0.0594124255

0.0329060589

0.0167402855

0.0468685816

0.0479251492

0.0225859056

0.0430661167

0.0153887579

0.0180104311

0.0200946897

0.0227349062

0.0529288837

0.0053968892

-0.010161444

0.0266128073

0.0457898184

-0.0097747583

-0.0020269239

0.0242659431

0.0228316048

0.030771903

-0.0072638364

-0.0172067198

0.068223397

-0.0172161856

-0.0201873556

0.1121440297

0.0220364457

0.0604327313

0.013915351

0.0387426973

0.0099691607

0.0478654993

-0.0247903109

0.0157183138

-0.0498005769

0.1831158941

0.1149329057

0.0244284865

0.0342782982

0.0374850137

0.0559803808

0.1531536051

0.0045106043

-0.0115233975

0.0037479755

-0.008027278

0.0245966304

0.4443599717

0.0189945713

0.1599677843

0.3066521956

0.2312825911

-0.0342564501

0.0682847188

0.1881158647

0.072342434

0.1870164039

0.0854039422

0.1358534324

-0.0754609561

0.2520681153

0.0154049051

0.109677039

Figure 1.5 U.S. Treasury Bond Annual Returns

Fig1-6

0.0441344158

0.042056107

0.0486768759

0.0602697402

0.0375367755

0.0261565548

0.0290692561

0.0169201362

0.0106093659

0.0026111875

0.0013766895

0.0045484935

0.0004834375

0.0002050161

0.0001400064

0.0008936835

0.0032431281

0.0037330386

0.0037531072

0.0037556158

0.0037581244

0.0056744835

0.0103714611

0.0112416656

0.0120923066

0.0154220775

0.0174013638

0.0194653032

0.0096253337

0.016980956

0.0267965401

0.0330055342

0.0180616597

0.0333993606

0.0312786993

0.0234737574

0.0279518034

0.0316412269

0.0359111657

0.0398256112

0.0493484042

0.0449402749

0.0538953493

0.0681120157

0.0670484847

0.044966106

0.04058493

0.0697560348

0.0809458205

0.0603305692

0.051501895

0.0527925944

0.0722961686

0.1030474229

0.1203545953

0.1522787476

0.1126620085

0.0890296877

0.1003824467

0.077033866

0.0618343904

0.0586177653

0.0673142482

0.0848559346

0.0784357775

0.0571342743

0.0357470342

0.0307671538

0.0414916117

0.0564077092

0.0512054799

0.0522003911

Figure 1.6 U.S. Treasury Bill Annual Returns

Fig1-8

0.6063296840

1.86762690872

4.48020404955

8.37012310411

12.178457255716

13.89

12.178457255712

8.37012310412

4.48020404951

1.86762690872

0.6063296841

0.15330415221

0.03018737740

Normal approximationMean = 12.8%Std. Dev. = 20.4%

Annual returns

Return frequency

Figure 1.8 S&P 500 Return Frequencies

Fig1-9

0.0409843091

0.0541278911

0.1282818647

0.1720467233

T-Bonds

T-Bills

Large-Cap Stocks

Small-Cap Stocks

Annual Return Standard Deviation

Annual Return Average

Figure 1.9 Risk / Return Tradeoff

Data

YearS&P 500T-BondsT-BillsCPIStdAvg

19260.13700.06500.0441-0.0112Tbills0.03250.0410

19270.35780.04520.0421-0.0226T-Bonds0.08350.0541

19280.45150.00050.0487-0.0116S&P5000.20380.1283

1929-0.08860.05770.06030.0058SmallCaps0.34340.1720

1930-0.25220.04180.0375-0.0640

1931-0.43760.00320.0262-0.093213.8

1932-0.08400.05630.0291-0.10270.720.153304152200.77

19330.53120.06020.01690.00760.620.60632968400.67

1934-0.02420.05940.01060.01520.521.867626908720.57

19350.46980.03290.00260.02990.424.480204049550.47

19360.32330.01670.00140.01450.328.370123104110.37

1937-0.35680.04690.00450.02860.2212.1784572557160.27

19380.32260.04790.0005-0.02780.1213.890.17

1939-0.01550.02260.00020.00000.0212.1784572557120.07

1940-0.10500.04310.00010.0071-0.088.37012310412-0.03

1941-0.12140.01540.00090.0993-0.184.48020404951-0.13

19420.20980.01800.00320.0903-0.281.86762690872-0.23

19430.25500.02010.00370.0296-0.380.6063296841-0.33

19440.19480.02270.00380.0230-0.480.15330415221-0.43

19450.36330.05290.00380.0225-0.580.03018737740-0.53

1946-0.08480.00540.00380.181368.9889735335

19470.0496-0.01020.00570.0884

19480.04930.02660.01040.0299

19490.17760.04580.0112-0.0207

19500.3003-0.00980.01210.0593

19510.2388-0.00200.01540.0600

19520.18440.02430.01740.0075

1953-0.01110.02280.01950.0075

19540.52430.03080.0096-0.0074

19550.3164-0.00730.01700.0037

19560.0690-0.01720.02680.0299

1957-0.10530.06820.03300.0290

19580.4373-0.01720.01810.0176

19590.1202-0.02020.03340.0173

19600.00450.11210.03130.0136

19610.26890.02200.02350.0067

1962-0.08790.06040.02800.0133

19630.22720.01390.03160.0164

19640.16430.03870.03590.0097

19650.12380.01000.03980.0192

1966-0.10100.04790.04930.0346

19670.2404-0.02480.04490.0304

19680.11040.01570.05390.0472

1969-0.0847-0.04980.06810.0620

19700.04000.18310.06700.0557

19710.14350.11490.04500.0327

19720.18990.02440.04060.0341

1973-0.14850.03430.06980.0871

1974-0.26580.03750.08090.1234

19750.37420.05600.06030.0694

19760.23760.15320.05150.0486

1977-0.07380.00450.05280.0670

19780.0654-0.01150.07230.0902

19790.18590.00370.10300.1329

19800.3261-0.00800.12040.1252

1981-0.04970.02460.15230.0892

19820.21670.44440.11270.0383

19830.22570.01900.08900.0379

19840.06190.16000.10040.0395

19850.31850.30670.07700.0380

19860.18680.23130.06180.0110

19870.0522-0.03430.05860.0443

19880.16580.06830.06730.0442

19890.31750.18810.08490.0465

1990-0.03130.07230.07840.0611

19910.30530.18700.05710.0306

19920.07620.08540.03570.0290

19930.10070.13590.03080.0275

19940.0127-0.07550.04150.0267

19950.37800.25210.05640.0254

19960.22740.01540.05120.0332

19970.33430.10970.05220.0170

19980.27770.13760.05060.0197

Avg13.03%5.53%4.11%3.18%

Max53.12%44.44%15.23%18.13%

Min-43.76%-7.55%0.01%-10.27%

Stdev20.31%8.35%3.23%4.49%


Table1



192613.70%6.50%4.41%-1.12%

192735.78%4.52%4.21%-2.26%

192845.15%0.05%4.87%-1.16%

1929-8.86%5.77%6.03%0.58%

1930-25.22%4.18%3.75%-6.40%

1931-43.76%0.32%2.62%-9.32%

1932-8.40%5.63%2.91%-10.27%

193353.12%6.02%1.69%0.76%

1934-2.42%5.94%1.06%1.52%

193546.98%3.29%0.26%2.99%

193632.33%1.67%0.14%1.45%

1937-35.68%4.69%0.45%2.86%

193832.26%4.79%0.05%-2.78%

1939-1.55%2.26%0.02%0.00%

1940-10.50%4.31%0.01%0.71%

1941-12.14%1.54%0.09%9.93%

194220.98%1.80%0.32%9.03%

194325.50%2.01%0.37%2.96%

194419.48%2.27%0.38%2.30%

194536.33%5.29%0.38%2.25%

1946-8.48%0.54%0.38%18.13%

19474.96%-1.02%0.57%8.84%

19484.93%2.66%1.04%2.99%

194917.76%4.58%1.12%-2.07%

195030.03%-0.98%1.21%5.93%

195123.88%-0.20%1.54%6.00%

195218.44%2.43%1.74%0.75%

1953-1.11%2.28%1.95%0.75%

195452.43%3.08%0.96%-0.74%

195531.64%-0.73%1.70%0.37%

19566.90%-1.72%2.68%2.99%

1957-10.53%6.82%3.30%2.90%

195843.73%-1.72%1.81%1.76%

195912.02%-2.02%3.34%1.73%

19600.45%11.21%3.13%1.36%

196126.89%2.20%2.35%0.67%



1962-8.79%6.04%2.80%1.33%

196322.72%1.39%3.16%1.64%

196416.43%3.87%3.59%0.97%

196512.38%1.00%3.98%1.92%

1966-10.10%4.79%4.93%3.46%

196724.04%-2.48%4.49%3.04%

196811.04%1.57%5.39%4.72%

1969-8.47%-4.98%6.81%6.20%

19704.00%18.31%6.70%5.57%

197114.35%11.49%4.50%3.27%

197218.99%2.44%4.06%3.41%

1973-14.85%3.43%6.98%8.71%

1974-26.58%3.75%8.09%12.34%

197537.42%5.60%6.03%6.94%

197623.76%15.32%5.15%4.86%

1977-7.38%0.45%5.28%6.70%

19786.54%-1.15%7.23%9.02%

197918.59%0.37%10.30%13.29%

198032.61%-0.80%12.04%12.52%

1981-4.97%2.46%15.23%8.92%

198221.67%44.44%11.27%3.83%

198322.57%1.90%8.90%3.79%

19846.19%16.00%10.04%3.95%

198531.85%30.67%7.70%3.80%

198618.68%23.13%6.18%1.10%

19875.22%-3.43%5.86%4.43%

198816.58%6.83%6.73%4.42%

198931.75%18.81%8.49%4.65%

1990-3.13%7.23%7.84%6.11%

199130.53%18.70%5.71%3.06%

19927.62%8.54%3.57%2.90%

199310.07%13.59%3.08%2.75%

19941.27%-7.55%4.15%2.67%

199537.80%25.21%5.64%2.54%

199622.74%1.54%5.12%3.32%

199733.43%10.97%5.22%1.70%

199827.77%13.76%5.06%1.97%

Fig1-1

1.13703682571.06498068241.04413441580.9888267517

1.5439102271.11311501261.08804664440.9664804043

2.24092214641.11364044211.14100935590.9553071773

2.04237751531.17789385111.20977769330.9608937908

1.52739098741.22718744561.2551888470.8994412555

0.85906223331.23106138751.28802026280.8156424261

0.78693636361.30037746441.32546205360.7318435435

1.20496851181.37867754031.3478890520.7374301569

1.17582416991.46058811691.36218930020.7486033306

1.72822740211.50865031541.36574623180.770949678

2.28697085771.53390555241.36762644040.782122905

1.47106804981.605797531.37384708030.8044692524

1.94569213461.68275561621.37451124950.782122905

1.9154516681.72076217571.37479304640.782122905

1.71425562241.79486872051.37498552620.7877094652

1.50617192191.82248952071.37621432810.8659217877

1.82220221851.85531334271.38067756750.9441340569

2.28680761241.89259528861.38583169020.9720670178

2.73230412341.9356232651.39103286510.9944133652

3.72483561312.03807364371.39625705021.0167597126

3.4089535072.04907290141.40150435781.2011173184

3.57813023942.02825136181.40945717121.3072625485

3.75450937252.08222882431.42407530151.3463686298

4.42126800022.1775737041.44008427981.3184356689

5.74909962082.15628844751.45749822041.3966480447

7.12184328742.15191781481.47997587091.4804469274

8.43538177442.204136131.50572946951.4916200478

8.34137695382.2544600951.53503895011.5027932748

12.71509897962.32383412231.54981421231.4916200478

16.73868069112.30695417151.57613153921.4972066613

17.89368613262.26725905741.61836641121.5418993561

16.00974756512.42193917221.6717814591.5865921575

23.01092680462.3802426181.70197660691.6145251184

25.77572920512.33219181381.75882153741.6424580792

25.89227468482.59373320191.81383518741.6648044267

32.85592674932.65088986271.85641271461.6759776536

29.96834920252.81109037761.90830279781.698324001

36.77771536892.85020768671.96868383961.7262569619

42.82070835172.96063242032.03938157111.7430166958

48.12035600022.99014744052.12060118861.7765362702

43.25872319933.13327234082.22524947321.8379886989

53.65649356173.05559754522.32525279641.8938546207

59.57828052233.10362638642.45057310811.9832402235

54.53419305042.94906400192.61748658212.1061450809

56.71575982913.48908449342.79298509112.2234636445

64.85618218723.89009511242.91857475472.2960893002

77.17558736893.98512424833.03702490692.374301676

65.71609856274.12172752553.2488757222.5810054161

48.24930993294.2762305383.51185863312.8994412129

66.30469589414.51561555213.72373106343.1005586592

82.05685717855.20719835313.91551026973.2513964776

75.99802582975.23068596434.12222021543.4692736578

80.96810818915.17041069064.42024094323.7821227345

96.0199044185.18978926344.8757353814.2849160306

127.3323628395.14812938225.46255253964.8212287945

121.00061596515.27475601786.29438319885.251396648

147.21759508757.61864645247.00352105255.4525138812

180.45038825867.76335937597.62704234455.6592176214

191.62695554269.0052467748.39266351635.8826813085

252.660130665111.76672546929.03918283276.1061449957

299.865342338514.48816422479.59811519266.1731843575

315.523204080513.991851149410.16073525646.4469266071

367.844800073714.947280770810.84469751176.7318435754

484.623762601717.759101417811.76493445477.0446926522

469.45712191719.043838039712.68772623587.4748596532

612.791318796422.605348147213.41263026727.7039094211

659.514470595624.535933993413.89209201957.9273731083

725.954481568227.869224844314.31951215088.1452507147

735.162610569525.76618649214.91365178848.3631283211

1013.070385044232.261020559115.75489672188.5754189944

1243.412970301332.757998518116.56163376878.8603355365

1659.03160110736.350798800317.42615752919.0111731844

S&P 500 $1,659.03

T-bonds $36.35

Inflation $9.01

T-bills $17.43

Year end

Portfolio value


Data1-1



19261.001.141.061.040.99

19271.221.541.111.090.97

19281.712.241.111.140.96

19290.832.041.181.210.96

19300.511.531.231.260.90

19310.260.861.231.290.82

19320.240.791.301.330.73

19330.591.201.381.350.74

19340.741.181.461.360.75

19351.041.731.511.370.77

19361.712.291.531.370.78

19370.721.471.611.370.80

19380.951.951.681.370.78

19390.951.921.721.370.78

19400.911.711.791.370.79

19410.821.511.821.380.87

19421.191.821.861.380.94

19432.242.291.891.390.97

19443.452.731.941.390.99

19455.993.722.041.401.02

19465.293.412.051.401.20

19475.343.582.031.411.31

19485.223.752.081.421.35

19496.264.422.181.441.32

19508.685.752.161.461.40

19519.367.122.151.481.48

19529.648.442.201.511.49

19539.028.342.251.541.50

195413.1712.722.321.551.49

195515.8616.742.311.581.50

195616.5517.892.271.621.54

195714.1316.012.421.671.59

195823.3023.012.381.701.61

195927.1225.782.331.761.64

196026.2325.892.591.811.66

196134.6532.862.651.861.68

196230.5229.972.811.911.70

196337.7136.782.851.971.73

196446.5842.822.962.041.74

196566.0348.122.992.121.78

196661.4043.263.132.231.84

1967112.7153.663.062.331.89

1968153.2659.583.102.451.98

1969114.8654.532.952.622.11

197094.8456.723.492.792.22

1971110.5164.863.892.922.30

1972115.4077.183.993.042.37

197379.7465.724.123.252.58

197463.8448.254.283.512.90

197597.5566.304.523.723.10

1976153.5082.065.213.923.25

1977192.4776.005.234.123.47

1978237.6580.975.174.423.78

1979340.9296.025.194.884.28

1980476.76127.335.155.464.82

1981542.93121.005.276.295.25

1982694.98147.227.627.005.45

1983970.66180.457.767.635.66

1984905.93191.639.018.395.88

19851129.35252.6611.779.046.11

19861206.72299.8714.499.606.17

19871094.53315.5213.9910.166.45

19881344.89367.8414.9510.846.73

19891481.79484.6217.7611.767.04

19901162.30469.4619.0412.697.47

19911681.08612.7922.6113.417.70

19922073.60659.5124.5413.897.93

19932508.61725.9527.8714.328.15

19942586.52735.1625.7714.918.36

19952586.521013.0732.2615.758.58

19962586.521243.4132.7616.568.86

19972586.521659.0336.3517.439.01

19982119.72145029241.3518.319.19


&A

Page &P

Fig1-2

1111

1.08950658630.99696867630.89422362291.2942920682

1.17050680961.04968002690.88252504821.8050407709

1.09077919180.81694173120.78254386381.5900667161

0.87416834110.61662175820.62584787621.1371386212

0.46481357450.39861906370.53042005740.6019273536

0.47711542760.43524755810.47139094030.5107487027

0.94668452780.74486359040.7872853850.7487027428

0.99127037290.95023576960.69811374010.7042253521

1.06496985931.06424722130.72738134440.9955522609

1.2073677161.25623105420.76819699891.2735359526

0.9919848181.32822499160.81380121360.7820607858

0.79493190441.22347591780.68666917540.9792438844

0.67425764681.26717750080.78935980060.9258710156

0.60223264121.65299764230.65712404160.7842846553

0.73849073451.76776692490.74528435020.6441808747

0.87597678051.85870663520.74992238580.7242401779

0.94652824291.87984169750.73948445360.8650852483

1.0475106050.48481812060.73426313560.9844329133

1.04110292480.46960255980.06077426031.2868791698

0.91469077920.27399797910.03919751631.1341734618

0.74137084170.20116200740.01186791481.1341734618

0.86258093320.05170090940.01761606851.1267605634

0.58350078140.35458066690.01384825251.2424017791

0.65708863590.4099023240.0179782681.5129725723

0.65429783430.8192152240.02862317141.76204596

0.69216342930.74368474230.06551578161.9696071164

0.81761553920.93726844060.06514417421.8391401038

1.07579816921.54673290670.06296627312.6671608599

1.11446751511.88413607280.07959452473.371386212

1.00524670691.7376220950.10241779953.4595997035

0.98664880551.83807679350.08895056212.9644180875

1.31801741463.0750252610.12781410234.0926612305

1.89265461045.65670259350.16317324434.4395848777

1.8033043097.56635230720.26768897884.3076352854

1.76043759777.21320309870.28796744915.3039288362

1.72511721375.51035702260.26724681314.6775389177

1.90419736556.13674637930.24108377635.5611564122

1.71582942626.34329740650.24003480886.2824314307

1.8312569775.42194341530.27539865476.8517420311

1.62866711324.46488716740.28352227295.9547813195

1.85624023226.29125968340.24930147237.1512231282

2.53755302527.16764904010.34471047567.6990363232

2.23264121468.420343550.47038901176.8243143069

2.05887474886.12537891550.39206924136.8309859155

3.11547220367.1115695520.6500446877.5678280208

3.23373520888.08496126641.31030151948.7509266123

2.19613753077.40308184571.14914154017.2312824314

0.99158294268.35912765240.95400536245.0822831727

2.019111408810.57081508931.07140975596.685693106

1.632909131511.01717750081.28148078467.9673832468

2.580977896913.40586055911.52001975637.0496664196

2.828086626516.04968002692.30769556427.1245366938

3.225831658914.87344223642.05239192818.0014825797

4.395713328912.47398113842.546949527310.0637509266

3.771064969910.70368811052.6305235439.0845070423

3.895155168611.48248568542.484350157610.4255003706

4.308082161213.6689962953.163878827812.2260934025

4.328443849112.58134051873.490168869712.3973313566

6.226970305928.34161333784.848313655415.661971831

7.775954454137.69291007078.65261301117.9518161601

10.28006251429.374789491412.607540335918.3157894737

10.583299843733.166301785118.293122912620.5871015567

12.12795266844.966992253320.307441554226.1971830986

12.554320160840.756315257713.373893409824.4788732394

13.680509042241.240990232413.452321369830.9184581171

13.367113194938.55877399810.241902253232.2987398073

15.824246483650.815678679711.904087680534.5774647887

14.958763116850.971539238814.761098828734.0452186805

17.636012502858.819383630914.486490427645.7160859896

21.727394507766.708487706312.52453078754.890289103

25.030587184680.74520040428.766640011371.9369903632

Japan$8.77

U.K. $25.03

U.S.A. $71.94

Germany$80.75

Year

Stock market index


Data1-2


192613.4944.7911.87636.137212.591926111118002.73523.861

192717.4648.79911.8448.948190.10319271.08950658630.99696867630.89422362291.294292068218012.93425.896

192824.3552.42712.46674.489187.61619281.17050680961.04968002690.88252504821.805040770918023.226.916

192921.4548.8569.70271.934166.36119291.09077919180.81694173120.78254386381.590066716118032.89221.694

193015.3439.1547.32354.084133.04919300.87416834110.61662175820.62584787621.137138621218042.76922.893

19318.1220.8194.73434.195112.76219310.46481357450.39861906370.53042005740.601927353618052.64624.018

19326.8921.375.16937.409100.21319320.47711542760.43524755810.47139094030.510748702718062.76924.5

193310.142.4028.84653.604167.36919330.94668452780.74486359040.7872853850.748702742818072.89225.937

19349.544.39911.28545.276148.41219340.99127037290.95023576960.69811374010.704225352118082.89229.402

193513.4347.712.63946.85154.63419351.06496985931.06424722130.72738134440.995552260918092.92329.671

193617.1854.07814.91940.691163.31119361.2073677161.25623105420.76819699891.273535952618102.86125.165

193710.5544.43115.77427.317173.00619370.9919848181.32822499160.81380121360.782060785818112.64619.158

193813.2135.60514.5325.33145.97919380.79493190441.22347591780.68666917540.979243884418122.73817.567

193912.4930.215.04923.365167.8119390.67425764681.26717750080.78935980060.925871015618132.76918.791

194010.5826.97419.63121.969139.69819400.60223264121.65299764230.65712404160.784284655318142.30719.151

19418.6933.07720.99468.196158.4419410.73849073451.76776692490.74528435020.644180874718152.3720.018

19429.7739.23522.07436.648159.42619420.87597678051.85870663520.74992238580.724240177918162.2818.58

194311.6742.39522.32562.848157.20719430.94652824291.87984169750.73948445360.865085248318172.5524.431

194413.2846.9185.757771.241156.09719441.0475106050.48481812060.73426313560.984432913318182.46824.829

194517.3646.6315.57765.75412.9219451.04110292480.46960255980.06077426031.286879169818192.28323.704

194615.340.9693.25426.7538.33319460.91469077920.27399797910.03919751631.134173461818202.39124.767

194715.333.2062.38932.5542.52319470.74137084170.20116200740.01186791481.134173461818212.53728.24

194815.238.6350.61421.1853.74519480.86258093320.05170090940.01761606851.126760563418222.41530.798

194916.7626.1354.21122.1522.94419490.58350078140.35458066690.01384825251.242401779118232.41532.252

195020.4129.4314.86819.473.82219500.65708863590.4099023240.0179782681.512972572318242.53762.782

195123.7729.3069.72927.7346.08519510.65429783430.8192152240.02862317141.7620459618252.39148.172

195226.5731.0028.83231.02513.92819520.69216342930.74368474230.06551578161.969607116418262.39139.373

195324.8136.62111.13140.98713.84919530.81761553920.93726844060.06514417421.839140103818272.31841.111

195435.9848.18518.36965.68813.38619541.07579816921.54673290670.06296627312.667160859918282.31834.676

195545.4849.91722.37668.57216.92119551.11446751511.88413607280.07959452473.37138621218292.29335.815

195646.6745.02520.63669.05921.77319561.00524670691.7376220950.10241779953.459599703518302.46429.613

195739.9944.19221.82975.32418.9119570.98664880551.83807679350.08895056212.964418087518312.53725.781

195855.2159.03436.51962.63427.17219581.31801741463.0750252610.12781410234.092661230518322.65925.979

195959.8984.77267.179102.55134.68919591.89265461045.65670259350.16317324434.439584877718332.63529.437

196058.1180.7789.858105.99356.90819601.8033043097.56635230720.26768897884.307635285418342.97926.813

196171.5578.8585.664125.80261.21919611.76043759777.21320309870.28796744915.303928836218353.07229.139

196263.177.26865.441133.02156.81419621.72511721375.51035702260.26724681314.677538917718362.71230.579

196375.0285.28972.88112.15951.25219631.90419736556.13674637930.24108377635.561156412218372.40129.14

196484.7576.85275.333104.08151.02919641.71582942626.34329740650.24003480886.282431430718382.43927.108

196592.4382.02264.39195.19258.54719651.8312569775.42194341530.27539865476.851742031118392.13923.442

196680.3372.94853.02586.80860.27419661.62866711324.46488716740.28352227295.954781319518402.25824.123

196796.4783.14174.71586.59252.99919671.85624023226.29125968340.24930147237.151223128218411.95821.887

1968103.86113.65785.12387.25773.28219682.53755302527.16764904010.34471047567.699036323218421.60422.853

196992.0610010010010019692.23264121468.420343550.47038901176.824314306918432.32626.136

197092.1592.21772.745100.98283.3519702.05887474886.12537891550.39206924136.830985915518442.68530.878

1971102.09139.54284.45799.841138.19319713.11547220367.1115695520.6500446877.567828020818452.90329.76

1972118.05144.83996.017123.276278.55719723.23373520888.08496126641.31030151948.750926612318462.48128.832

197397.5598.36587.919128.431244.29619732.19613753077.40308184571.14914154017.231282431418472.51125.653

197468.5644.41399.273103.006202.81219740.99158294268.35912765240.95400536245.082283172718482.4221.892

197590.1990.436125.539130.94227.77119752.019111408810.57081508931.07140975596.68569310618492.4220.337

1976107.4873.138130.8499.041272.4319761.632909131511.01717750081.28148078467.967383246818502.87423.417

197795.1115.602159.20899.788323.14119772.580977896913.40586055911.52001975637.049666419618512.78323.536

197896.11126.67190.606163.935490.59319782.828086626516.04968002692.30769556427.124536693818523.32825.679

1979107.94144.485176.637197.806436.31819793.225831658914.87344223642.05239192818.001482579718532.90423.812

1980135.76196.884148.141188.499541.45619804.395713328912.47398113842.546949527310.063750926618542.02722.96

1981122.55168.906127.117121.753559.22319813.771064969910.70368811052.6305235439.084507042318552.05722.011

1982140.64174.464136.366108.921528.14819823.895155168611.48248568542.484350157610.425500370618562.14823.35924.80358.023

1983164.93192.959162.333138.578672.60919834.308082161213.6689962953.163878827812.226093402518571.48222.13219.65255.172

1984167.24193.871149.416146.722741.97519844.328443849112.58134051873.490168869712.397331356618581.69423.47317.80549.193

1985211.28278.906336.585259.1991030.70319856.226970305928.34161333784.848313655415.66197183118591.51323.13815.50846.063

1986242.17348.285447.641487.011839.45919867.775954454137.69291007078.65261301117.951816160118601.72424.33615.1243.374

1987247.08460.444348.855414.7272680.237198710.28006251429.374789491412.607540335918.315789473718611.69426.29615.76546.919

1988277.72474.026393.883513.843888.935198810.583299843733.166301785118.293122912620.587101556718622.63231.22217.85352.05

1989353.4543.211534.028689.5434317.159198912.12795266844.966992253320.307441554226.197183098618633.63334.94118.56955.99

1990330.22562.308484.022631.1852843.156199012.554320160840.756315257713.373893409824.478873239418643.86635.63318.98950.917

1991417.09612.75489.778674.3022859.829199113.680509042241.240990232413.452321369830.918458117118653.53936.97719.48149.563

1992435.71598.713457.924676.9892177.326199213.367113194938.55877399810.241902253232.298739807318663.66528.65517.34545.448

1993466.45708.768603.487827.7512530.69199315.824246483650.815678679711.904087680534.577464788718673.72228.15817.83543.643

1994459.27670.003605.338739.9333138.062199414.958763116850.971539238814.761098828734.045218680518684.12329.98518.99942.951

1995616.71789.917698.539805.7963079.683199517.636012502858.819383630914.486490427645.716085989618694.19532.00820.07546.859

1996740.47973.17792.23964.032662.59199621.727394507766.708487706312.52453078754.89028910318704.42934.86520.60545.721

1997970.431121.12958.931035.211863.7199725.030587184680.74520040428.766640011371.936990363218714.7541.49827.95138.894

19981229.231257.651187.991433.291955.97199828.0788122349100.03283933989.200667952491.121571534518725.07343.03236.28741.039

EnglandGermanyJapanS&P 50018734.42744.65626.66543.288

18744.55142.42123.42544.072

18754.36439.3717.63748.974

18763.58137.97814.81747.316

18773.24534.46314.47249.043

18783.44430.81115.03350.997

18794.92434.28623.20952.503

18805.84435.82722.94157.828

18816.01835.80125.67964.141

18825.84433.58124.28858.607

18835.34731.88823.36452.503

18844.33931.21723.87549.369

18855.231.48123.49245.784

18865.6431.39924.08244.078

18875.2730.39824.58844.849

18885.1432.36429.69547.715

18895.3236.25937.5250.277

18904.634.08830.9753.698

18915.4134.21625.91953.439

18925.5134.46326.23851.042

18934.4134.90526.71749.855

18944.337.08630.69749.006

18954.3241.3432.59548.103

18964.2250.20834.22348.391

18974.7552.71836.82152.767

18985.6552.8436.74658.318

18996.0252.11536.79560.183

19006.8751.28732.7356.92

19017.9548.84929.70351.612

19028.0548.38730.85250.096

19036.5745.30634.22850.462

19048.2546.80336.84756.276

19059.5449.58137.68257.952

19069.8449.15337.29461.213

19076.5742.11233.26660.01

19089.0345.59433.98564.092

190910.347.82338.16270.198

19109.0546.48838.17972.825

19119.1146.71738.62275.414

19129.3846.24136.87278.495

19138.0443.10135.87473.455

19147.3540.25431.86464.267164.944

19159.4837.04831.86453.402252.003

19169.837.53631.86460.552337.659

19176.833.5837.33177.52342.76

19187.937.26916.41587.05356.095

19198.9230.5444.16149.941430.962

19206.8124.2685.78329.421220.197

19217.3127.325.85634.653220.592

19228.7835.6351.8239.636186.618

19238.5534.3819.84840.997171.041

192410.1640.5448.64143.016149.831

192512.4643.7215.70930.354192.503

192613.4944.7911.87636.137212.59

192717.4648.79911.8448.948190.103

192824.3552.42712.46674.489187.616

192921.4548.8569.70271.934166.361

193015.3439.1547.32354.084133.049

19318.1220.8194.73434.195112.762

19326.8921.375.16937.409100.213

193310.142.4028.84653.604167.369

19349.544.39911.28545.276148.412

193513.4347.712.63946.85154.634

193617.1854.07814.91940.691163.311

193710.5544.43115.77427.317173.006

193813.2135.60514.5325.33145.979

193912.4930.215.04923.365167.81

194010.5826.97419.63121.969139.698

19418.6933.07720.99468.196158.44

19429.7739.23522.07436.648159.426

194311.6742.39522.32562.848157.207

194413.2846.9185.757771.241156.097

194517.3646.6315.57765.75412.92

194615.340.9693.25426.7538.333

194715.333.2062.38932.5542.523

194815.238.6350.61421.1853.745

194916.7626.1354.21122.1522.944

195020.4129.4314.86819.473.822

195123.7729.3069.72927.7346.085

195226.5731.0028.83231.02513.928

195324.8136.62111.13140.98713.849

195435.9848.18518.36965.68813.386

195545.4849.91722.37668.57216.921

195646.6745.02520.63669.05921.773

195739.9944.19221.82975.32418.91

195855.2159.03436.51962.63427.172

195959.8984.77267.179102.55134.689

196058.1180.7789.858105.99356.908

196171.5578.8585.664125.80261.219

196263.177.26865.441133.02156.814

196375.0285.28972.88112.15951.252

196484.7576.85275.333104.08151.029

196592.4382.02264.39195.19258.547

196680.3372.94853.02586.80860.274

196796.4783.14174.71586.59252.999

1968103.86113.65785.12387.25773.282

196992.06100100100100

197092.1592.21772.745100.98283.35

1971102.09139.54284.45799.841138.193

1972118.05144.83996.017123.276278.557

197397.5598.36587.919128.431244.296

197468.5644.41399.273103.006202.812

197590.1990.436125.539130.94227.771

1976107.4873.138130.8499.041272.43

197795.1115.602159.20899.788323.141

197896.11126.67190.606163.935490.593

1979107.94144.485176.637197.806436.318

1980135.76196.884148.141188.499541.456

1981122.55168.906127.117121.753559.223

1982140.64174.464136.366108.921528.148

1983164.93192.959162.333138.578672.609

1984167.24193.871149.416146.722741.975

1985211.28278.906336.585259.1991030.703

1986242.17348.285447.641487.011839.459

1987247.08460.444348.855414.7272680.237

1988277.72474.026393.883513.843888.935

1989353.4543.211534.028689.5434317.159

1990330.22562.308484.022631.1852843.156

1991417.09612.75489.778674.3022859.829

1992435.71598.713457.924676.9892177.326

1993466.45708.768603.487827.7512530.69

1994459.27670.003605.338739.9333138.062

1995616.71789.917698.539805.7963079.683

1996740.47973.17792.23964.032662.59

1997970.431121.12958.931035.211863.7

Fig1-4

0.1370368257

0.3578366084

0.4514588395

-0.088599522

-0.2521505079

-0.4375623266

-0.0839588413

0.5312146796

-0.0241868079

0.4698008821

0.3233043609

-0.3567613488

0.3226391089

-0.015542267

-0.105038435

-0.1213842894

0.2098235215

0.2549691737

0.1948115392

0.363258058

-0.0848043079

0.049627175

0.0492936593

0.1775887504

0.3003282363

0.2387754183

0.1844379936

-0.0111441098

0.5243405315

0.3164412419

0.069002179

-0.1052851019

0.4373072849

0.1201517185

0.0045215202

0.2689470952

-0.0878860477

0.2272185939

0.1643112663

0.1237636614

-0.1010306906

0.2403623961

0.1103647773

-0.0846631932

0.0400036501

0.1435301649

0.1899495895

-0.1484859293

-0.2657916251

0.3742102423

0.2375723329

-0.0738369901

0.0653975193

0.1858978376

0.3261038283

-0.0497261398

0.216668146

0.2257392749

0.0619370642

0.3184999467

0.1868328475

0.0522163102

0.1658248754

0.3174680259

-0.0312957016

0.3053190381

0.0762464323

0.1007407933

0.0126841685

0.3780221824

0.2273707619

0.3342563096

Figure 1.4 S&P 500 Annual Returns

Fig1-5

0.0649806824

0.045197374

0.0004720352

0.0576967274

0.0418489276

0.0031567646

0.0563059467

0.0602133442

0.0594124255

0.0329060589

0.0167402855

0.0468685816

0.0479251492

0.0225859056

0.0430661167

0.0153887579

0.0180104311

0.0200946897

0.0227349062

0.0529288837

0.0053968892

-0.010161444

0.0266128073

0.0457898184

-0.0097747583

-0.0020269239

0.0242659431

0.0228316048

0.030771903

-0.0072638364

-0.0172067198

0.068223397

-0.0172161856

-0.0201873556

0.1121440297

0.0220364457

0.0604327313

0.013915351

0.0387426973

0.0099691607

0.0478654993

-0.0247903109

0.0157183138

-0.0498005769

0.1831158941

0.1149329057

0.0244284865

0.0342782982

0.0374850137

0.0559803808

0.1531536051

0.0045106043

-0.0115233975

0.0037479755

-0.008027278

0.0245966304

0.4443599717

0.0189945713

0.1599677843

0.3066521956

0.2312825911

-0.0342564501

0.0682847188

0.1881158647

0.072342434

0.1870164039

0.0854039422

0.1358534324

-0.0754609561

0.2520681153

0.0154049051

0.109677039

Figure 1.5 U.S. Treasury Bond Annual Returns

Fig1-6

0.0441344158

0.042056107

0.0486768759

0.0602697402

0.0375367755

0.0261565548

0.0290692561

0.0169201362

0.0106093659

0.0026111875

0.0013766895

0.0045484935

0.0004834375

0.0002050161

0.0001400064

0.0008936835

0.0032431281

0.0037330386

0.0037531072

0.0037556158

0.0037581244

0.0056744835

0.0103714611

0.0112416656

0.0120923066

0.0154220775

0.0174013638

0.0194653032

0.0096253337

0.016980956

0.0267965401

0.0330055342

0.0180616597

0.0333993606

0.0312786993

0.0234737574

0.0279518034

0.0316412269

0.0359111657

0.0398256112

0.0493484042

0.0449402749

0.0538953493

0.0681120157

0.0670484847

0.044966106

0.04058493

0.0697560348

0.0809458205

0.0603305692

0.051501895

0.0527925944

0.0722961686

0.1030474229

0.1203545953

0.1522787476

0.1126620085

0.0890296877

0.1003824467

0.077033866

0.0618343904

0.0586177653

0.0673142482

0.0848559346

0.0784357775

0.0571342743

0.0357470342

0.0307671538

0.0414916117

0.0564077092

0.0512054799

0.0522003911

Figure 1.6 U.S. Treasury Bill Annual Returns

Fig1-8

0.6063296840

1.86762690872

4.48020404955

8.37012310411

12.178457255716

13.89

12.178457255712

8.37012310412

4.48020404951

1.86762690872

0.6063296841

0.15330415221

0.03018737740

Normal approximationMean = 12.8%Std. Dev. = 20.4%

Annual returns

Return frequency

Figure 1.8 S&P 500 Return Frequencies

Fig1-9

0.0409843091

0.0541278911

0.1282818647

0.1720467233

T-Bonds

T-Bills

Large-Cap Stocks

Small-Cap Stocks

Annual Return Standard Deviation

Annual Return Average

Figure 1.9 Risk / Return Tradeoff

Data

YearS&P 500T-BondsT-BillsCPIStdAvg

19260.13700.06500.0441-0.0112Tbills0.03250.0410

19270.35780.04520.0421-0.0226T-Bonds0.08350.0541

19280.45150.00050.0487-0.0116S&P5000.20380.1283

1929-0.08860.05770.06030.0058SmallCaps0.34340.1720

1930-0.25220.04180.0375-0.0640

1931-0.43760.00320.0262-0.093213.8

1932-0.08400.05630.0291-0.10270.720.153304152200.77

19330.53120.06020.01690.00760.620.60632968400.67

1934-0.02420.05940.01060.01520.521.867626908720.57

19350.46980.03290.00260.02990.424.480204049550.47

19360.32330.01670.00140.01450.328.370123104110.37

1937-0.35680.04690.00450.02860.2212.1784572557160.27

19380.32260.04790.0005-0.02780.1213.890.17

1939-0.01550.02260.00020.00000.0212.1784572557120.07

1940-0.10500.04310.00010.0071-0.088.37012310412-0.03

1941-0.12140.01540.00090.0993-0.184.48020404951-0.13

19420.20980.01800.00320.0903-0.281.86762690872-0.23

19430.25500.02010.00370.0296-0.380.6063296841-0.33

19440.19480.02270.00380.0230-0.480.15330415221-0.43

19450.36330.05290.00380.0225-0.580.03018737740-0.53

1946-0.08480.00540.00380.181368.9889735335

19470.0496-0.01020.00570.0884

19480.04930.02660.01040.0299

19490.17760.04580.0112-0.0207

19500.3003-0.00980.01210.0593

19510.2388-0.00200.01540.0600

19520.18440.02430.01740.0075

1953-0.01110.02280.01950.0075

19540.52430.03080.0096-0.0074

19550.3164-0.00730.01700.0037

19560.0690-0.01720.02680.0299

1957-0.10530.06820.03300.0290

19580.4373-0.01720.01810.0176

19590.1202-0.02020.03340.0173

19600.00450.11210.03130.0136

19610.26890.02200.02350.0067

1962-0.08790.06040.02800.0133

19630.22720.01390.03160.0164

19640.16430.03870.03590.0097

19650.12380.01000.03980.0192

1966-0.10100.04790.04930.0346

19670.2404-0.02480.04490.0304

19680.11040.01570.05390.0472

1969-0.0847-0.04980.06810.0620

19700.04000.18310.06700.0557

19710.14350.11490.04500.0327

19720.18990.02440.04060.0341

1973-0.14850.03430.06980.0871

1974-0.26580.03750.08090.1234

19750.37420.05600.06030.0694

19760.23760.15320.05150.0486

1977-0.07380.00450.05280.0670

19780.0654-0.01150.07230.0902

19790.18590.00370.10300.1329

19800.3261-0.00800.12040.1252

1981-0.04970.02460.15230.0892

19820.21670.44440.11270.0383

19830.22570.01900.08900.0379

19840.06190.16000.10040.0395

19850.31850.30670.07700.0380

19860.18680.23130.06180.0110

19870.0522-0.03430.05860.0443

19880.16580.06830.06730.0442

19890.31750.18810.08490.0465

1990-0.03130.07230.07840.0611

19910.30530.18700.05710.0306

19920.07620.08540.03570.0290

19930.10070.13590.03080.0275

19940.0127-0.07550.04150.0267

19950.37800.25210.05640.0254

19960.22740.01540.05120.0332

19970.33430.10970.05220.0170

19980.27770.13760.05060.0197

Avg13.03%5.53%4.11%3.18%

Max53.12%44.44%15.23%18.13%

Min-43.76%-7.55%0.01%-10.27%

Stdev20.31%8.35%3.23%4.49%


ReturnsThere is a reward for bearing risk and, on average, the reward has been substantial.Greater rewards are accompanied by greater risks.


Dollar & Percent ReturnReturns are made up of two components:Cash you receive while you own the asset (interest or dividends).Change in value of the asset, capital gain or loss.Dollar return is the sum of the cash received and the change in value of the asset, in dollars.Percentage return is sum of the cash received and the change in value of the asset divided by the original investment.


Percent ReturnsPercent returns tells you how much you receive for every dollar invested.Two components:Dividend yield: current dividend divided by the beginning price.Capital gains yield: the change in price divided by the beginning price.The two components equal the total percentage return.


Dollar Returns and Percentage Returns InflowsOutflows$42.18$1.85$40.33TotalDividendsEnding market valuet = 1t = 0 $37 Time


Dollar Returns and Percentage Returns Dividends paid atChange in market Dollar return =end of periodvalue over periodDividends paid atChange in market end of periodvalue over period Percentage return = Beginning market value Dividends paid atMarket value end of periodat end of period 1 + Percentage return = Beginning market value+++


Calculating ReturnsSuppose you buy 100 shares of Wal-Mart (WMT) today at $25. Over the year, you get $20 in dividends. At the end of the year, the stock sells for $30. How did you do?Not bad. You invested $25 x 100 = $2,500. At the end of the year, you have stock worth $3,000 and cash dividends of $20. Your dollar gain was $520.Your percent gain, or return, for the year is $520/$2,500 = 20.8%.


Table1



192613.70%6.50%4.41%-1.12%

192735.78%4.52%4.21%-2.26%

192845.15%0.05%4.87%-1.16%

1929-8.86%5.77%6.03%0.58%

1930-25.22%4.18%3.75%-6.40%

1931-43.76%0.32%2.62%-9.32%

1932-8.40%5.63%2.91%-10.27%

193353.12%6.02%1.69%0.76%

1934-2.42%5.94%1.06%1.52%

193546.98%3.29%0.26%2.99%

193632.33%1.67%0.14%1.45%

1937-35.68%4.69%0.45%2.86%

193832.26%4.79%0.05%-2.78%

1939-1.55%2.26%0.02%0.00%

1940-10.50%4.31%0.01%0.71%

1941-12.14%1.54%0.09%9.93%

194220.98%1.80%0.32%9.03%

194325.50%2.01%0.37%2.96%

194419.48%2.27%0.38%2.30%

194536.33%5.29%0.38%2.25%

1946-8.48%0.54%0.38%18.13%

19474.96%-1.02%0.57%8.84%

19484.93%2.66%1.04%2.99%

194917.76%4.58%1.12%-2.07%

195030.03%-0.98%1.21%5.93%

195123.88%-0.20%1.54%6.00%

195218.44%2.43%1.74%0.75%

1953-1.11%2.28%1.95%0.75%

195452.43%3.08%0.96%-0.74%

195531.64%-0.73%1.70%0.37%

19566.90%-1.72%2.68%2.99%

1957-10.53%6.82%3.30%2.90%

195843.73%-1.72%1.81%1.76%

195912.02%-2.02%3.34%1.73%

19600.45%11.21%3.13%1.36%

196126.89%2.20%2.35%0.67%



1962-8.79%6.04%2.80%1.33%

196322.72%1.39%3.16%1.64%

196416.43%3.87%3.59%0.97%

196512.38%1.00%3.98%1.92%

1966-10.10%4.79%4.93%3.46%

196724.04%-2.48%4.49%3.04%

196811.04%1.57%5.39%4.72%

1969-8.47%-4.98%6.81%6.20%

19704.00%18.31%6.70%5.57%

197114.35%11.49%4.50%3.27%

197218.99%2.44%4.06%3.41%

1973-14.85%3.43%6.98%8.71%

1974-26.58%3.75%8.09%12.34%

197537.42%5.60%6.03%6.94%

197623.76%15.32%5.15%4.86%

1977-7.38%0.45%5.28%6.70%

19786.54%-1.15%7.23%9.02%

197918.59%0.37%10.30%13.29%

198032.61%-0.80%12.04%12.52%

1981-4.97%2.46%15.23%8.92%

198221.67%44.44%11.27%3.83%

198322.57%1.90%8.90%3.79%

19846.19%16.00%10.04%3.95%

198531.85%30.67%7.70%3.80%

198618.68%23.13%6.18%1.10%

19875.22%-3.43%5.86%4.43%

198816.58%6.83%6.73%4.42%

198931.75%18.81%8.49%4.65%

1990-3.13%7.23%7.84%6.11%

199130.53%18.70%5.71%3.06%

19927.62%8.54%3.57%2.90%

199310.07%13.59%3.08%2.75%

19941.27%-7.55%4.15%2.67%

199537.80%25.21%5.64%2.54%

199622.74%1.54%5.12%3.32%

199733.43%10.97%5.22%1.70%

199827.77%13.76%5.06%1.97%

Fig1-1

1.13703682571.06498068241.04413441580.9888267517

1.5439102271.11311501261.08804664440.9664804043

2.24092214641.11364044211.14100935590.9553071773

2.04237751531.17789385111.20977769330.9608937908

1.52739098741.22718744561.2551888470.8994412555

0.85906223331.23106138751.28802026280.8156424261

0.78693636361.30037746441.32546205360.7318435435

1.20496851181.37867754031.3478890520.7374301569

1.17582416991.46058811691.36218930020.7486033306

1.72822740211.50865031541.36574623180.770949678

2.28697085771.53390555241.36762644040.782122905

1.47106804981.605797531.37384708030.8044692524

1.94569213461.68275561621.37451124950.782122905

1.9154516681.72076217571.37479304640.782122905

1.71425562241.79486872051.37498552620.7877094652

1.50617192191.82248952071.37621432810.8659217877

1.82220221851.85531334271.38067756750.9441340569

2.28680761241.89259528861.38583169020.9720670178

2.73230412341.9356232651.39103286510.9944133652

3.72483561312.03807364371.39625705021.0167597126

3.4089535072.04907290141.40150435781.2011173184

3.57813023942.02825136181.40945717121.3072625485

3.75450937252.08222882431.42407530151.3463686298

4.42126800022.1775737041.44008427981.3184356689

5.74909962082.15628844751.45749822041.3966480447

7.12184328742.15191781481.47997587091.4804469274

8.43538177442.204136131.50572946951.4916200478

8.34137695382.2544600951.53503895011.5027932748

12.71509897962.32383412231.54981421231.4916200478

16.73868069112.30695417151.57613153921.4972066613

17.89368613262.26725905741.61836641121.5418993561

16.00974756512.42193917221.6717814591.5865921575

23.01092680462.3802426181.70197660691.6145251184

25.77572920512.33219181381.75882153741.6424580792

25.89227468482.59373320191.81383518741.6648044267

32.85592674932.65088986271.85641271461.6759776536

29.96834920252.81109037761.90830279781.698324001

36.77771536892.85020768671.96868383961.7262569619

42.82070835172.96063242032.03938157111.7430166958

48.12035600022.99014744052.12060118861.7765362702

43.25872319933.13327234082.22524947321.8379886989

53.65649356173.05559754522.32525279641.8938546207

59.57828052233.10362638642.45057310811.9832402235

54.53419305042.94906400192.61748658212.1061450809

56.71575982913.48908449342.79298509112.2234636445

64.85618218723.89009511242.91857475472.2960893002

77.17558736893.98512424833.03702490692.374301676

65.71609856274.12172752553.2488757222.5810054161

48.24930993294.2762305383.51185863312.8994412129

66.30469589414.51561555213.72373106343.1005586592

82.05685717855.20719835313.91551026973.2513964776

75.99802582975.23068596434.12222021543.4692736578

80.96810818915.17041069064.42024094323.7821227345

96.0199044185.18978926344.8757353814.2849160306

127.3323628395.14812938225.46255253964.8212287945

121.00061596515.27475601786.29438319885.251396648

147.21759508757.61864645247.00352105255.4525138812

180.45038825867.76335937597.62704234455.6592176214

191.62695554269.0052467748.39266351635.8826813085

252.660130665111.76672546929.03918283276.1061449957

299.865342338514.48816422479.59811519266.1731843575

315.523204080513.991851149410.16073525646.4469266071

367.844800073714.947280770810.84469751176.7318435754

484.623762601717.759101417811.76493445477.0446926522

469.45712191719.043838039712.68772623587.4748596532

612.791318796422.605348147213.41263026727.7039094211

659.514470595624.535933993413.89209201957.9273731083

725.954481568227.869224844314.31951215088.1452507147

735.162610569525.76618649214.91365178848.3631283211

1013.070385044232.261020559115.75489672188.5754189944

1243.412970301332.757998518116.56163376878.8603355365

1659.03160110736.350798800317.42615752919.0111731844

S&P 500 $1,659.03

T-bonds $36.35

Inflation $9.01

T-bills $17.43

Year end

Portfolio value


Data1-1



19261.001.141.061.040.99

19271.221.541.111.090.97

19281.712.241.111.140.96

19290.832.041.181.210.96

19300.511.531.231.260.90

19310.260.861.231.290.82

19320.240.791.301.330.73

19330.591.201.381.350.74

19340.741.181.461.360.75

19351.041.731.511.370.77

19361.712.291.531.370.78

19370.721.471.611.370.80

19380.951.951.681.370.78

19390.951.921.721.370.78

19400.911.711.791.370.79

19410.821.511.821.380.87

19421.191.821.861.380.94

19432.242.291.891.390.97

19443.452.731.941.390.99

19455.993.722.041.401.02

19465.293.412.051.401.20

19475.343.582.031.411.31

19485.223.752.081.421.35

19496.264.422.181.441.32

19508.685.752.161.461.40

19519.367.122.151.481.48

19529.648.442.201.511.49

19539.028.342.251.541.50

195413.1712.722.321.551.49

195515.8616.742.311.581.50

195616.5517.892.271.621.54

195714.1316.012.421.671.59

195823.3023.012.381.701.61

195927.1225.782.331.761.64

196026.2325.892.591.811.66

196134.6532.862.651.861.68

196230.5229.972.811.911.70

196337.7136.782.851.971.73

196446.5842.822.962.041.74

196566.0348.122.992.121.78

196661.4043.263.132.231.84

1967112.7153.663.062.331.89

1968153.2659.583.102.451.98

1969114.8654.532.952.622.11

197094.8456.723.492.792.22

1971110.5164.863.892.922.30

1972115.4077.183.993.042.37

197379.7465.724.123.252.58

197463.8448.254.283.512.90

197597.5566.304.523.723.10

1976153.5082.065.213.923.25

1977192.4776.005.234.123.47

1978237.6580.975.174.423.78

1979340.9296.025.194.884.28

1980476.76127.335.155.464.82

1981542.93121.005.276.295.25

1982694.98147.227.627.005.45

1983970.66180.457.767.635.66

1984905.93191.639.018.395.88

19851129.35252.6611.779.046.11

19861206.72299.8714.499.606.17

19871094.53315.5213.9910.166.45

19881344.89367.8414.9510.846.73

19891481.79484.6217.7611.767.04

19901162.30469.4619.0412.697.47

19911681.08612.7922.6113.417.70

19922073.60659.5124.5413.897.93

19932508.61725.9527.8714.328.15

19942586.52735.1625.7714.918.36

19952586.521013.0732.2615.758.58

19962586.521243.4132.7616.568.86

19972586.521659.0336.3517.439.01

19982119.72145029241.3518.319.19


&A

Page &P

Fig1-2

1111

1.08950658630.99696867630.89422362291.2942920682

1.17050680961.04968002690.88252504821.8050407709

1.09077919180.81694173120.78254386381.5900667161

0.87416834110.61662175820.62584787621.1371386212

0.46481357450.39861906370.53042005740.6019273536

0.47711542760.43524755810.47139094030.5107487027

0.94668452780.74486359040.7872853850.7487027428

0.99127037290.95023576960.69811374010.7042253521

1.06496985931.06424722130.72738134440.9955522609

1.2073677161.25623105420.76819699891.2735359526

0.9919848181.32822499160.81380121360.7820607858

0.79493190441.22347591780.68666917540.9792438844

0.67425764681.26717750080.78935980060.9258710156

0.60223264121.65299764230.65712404160.7842846553

0.73849073451.76776692490.74528435020.6441808747

0.87597678051.85870663520.74992238580.7242401779

0.94652824291.87984169750.73948445360.8650852483

1.0475106050.48481812060.73426313560.9844329133

1.04110292480.46960255980.06077426031.2868791698

0.91469077920.27399797910.03919751631.1341734618

0.74137084170.20116200740.01186791481.1341734618

0.86258093320.05170090940.01761606851.1267605634

0.58350078140.35458066690.01384825251.2424017791

0.65708863590.4099023240.0179782681.5129725723

0.65429783430.8192152240.02862317141.76204596

0.69216342930.74368474230.06551578161.9696071164

0.81761553920.93726844060.06514417421.8391401038

1.07579816921.54673290670.06296627312.6671608599

1.11446751511.88413607280.07959452473.371386212

1.00524670691.7376220950.10241779953.4595997035

0.98664880551.83807679350.08895056212.9644180875

1.31801741463.0750252610.12781410234.0926612305

1.89265461045.65670259350.16317324434.4395848777

1.8033043097.56635230720.26768897884.3076352854

1.76043759777.21320309870.28796744915.3039288362

1.72511721375.51035702260.26724681314.6775389177

1.90419736556.13674637930.24108377635.5611564122

1.71582942626.34329740650.24003480886.2824314307

1.8312569775.42194341530.27539865476.8517420311

1.62866711324.46488716740.28352227295.9547813195

1.85624023226.29125968340.24930147237.1512231282

2.53755302527.16764904010.34471047567.6990363232

2.23264121468.420343550.47038901176.8243143069

2.05887474886.12537891550.39206924136.8309859155

3.11547220367.1115695520.6500446877.5678280208

3.23373520888.08496126641.31030151948.7509266123

2.19613753077.40308184571.14914154017.2312824314

0.99158294268.35912765240.95400536245.0822831727

2.019111408810.57081508931.07140975596.685693106

1.632909131511.01717750081.28148078467.9673832468

2.580977896913.40586055911.52001975637.0496664196

2.828086626516.04968002692.30769556427.1245366938

3.225831658914.87344223642.05239192818.0014825797

4.395713328912.47398113842.546949527310.0637509266

3.771064969910.70368811052.6305235439.0845070423

3.895155168611.48248568542.484350157610.4255003706

4.308082161213.6689962953.163878827812.2260934025

4.328443849112.58134051873.490168869712.3973313566

6.226970305928.34161333784.848313655415.661971831

7.775954454137.69291007078.65261301117.9518161601

10.28006251429.374789491412.607540335918.3157894737

10.583299843733.166301785118.293122912620.5871015567

12.12795266844.966992253320.307441554226.1971830986

12.554320160840.756315257713.373893409824.4788732394

13.680509042241.240990232413.452321369830.9184581171

13.367113194938.55877399810.241902253232.2987398073

15.824246483650.815678679711.904087680534.5774647887

14.958763116850.971539238814.761098828734.0452186805

17.636012502858.819383630914.486490427645.7160859896

21.727394507766.708487706312.52453078754.890289103

25.030587184680.74520040428.766640011371.9369903632

Japan$8.77

U.K. $25.03

U.S.A. $71.94

Germany$80.75

Year

Stock market index


Data1-2


192613.4944.7911.87636.137212.591926111118002.73523.861

192717.4648.79911.8448.948190.10319271.08950658630.99696867630.89422362291.294292068218012.93425.896

192824.3552.42712.46674.489187.61619281.17050680961.04968002690.88252504821.805040770918023.226.916

192921.4548.8569.70271.934166.36119291.09077919180.81694173120.78254386381.590066716118032.89221.694

193015.3439.1547.32354.084133.04919300.87416834110.61662175820.62584787621.137138621218042.76922.893

19318.1220.8194.73434.195112.76219310.46481357450.39861906370.53042005740.601927353618052.64624.018

19326.8921.375.16937.409100.21319320.47711542760.43524755810.47139094030.510748702718062.76924.5

193310.142.4028.84653.604167.36919330.94668452780.74486359040.7872853850.748702742818072.89225.937

19349.544.39911.28545.276148.41219340.99127037290.95023576960.69811374010.704225352118082.89229.402

193513.4347.712.63946.85154.63419351.06496985931.06424722130.72738134440.995552260918092.92329.671

193617.1854.07814.91940.691163.31119361.2073677161.25623105420.76819699891.273535952618102.86125.165

193710.5544.43115.77427.317173.00619370.9919848181.32822499160.81380121360.782060785818112.64619.158

193813.2135.60514.5325.33145.97919380.79493190441.22347591780.68666917540.979243884418122.73817.567

193912.4930.215.04923.365167.8119390.67425764681.26717750080.78935980060.925871015618132.76918.791

194010.5826.97419.63121.969139.69819400.60223264121.65299764230.65712404160.784284655318142.30719.151

19418.6933.07720.99468.196158.4419410.73849073451.76776692490.74528435020.644180874718152.3720.018

19429.7739.23522.07436.648159.42619420.87597678051.85870663520.74992238580.724240177918162.2818.58

194311.6742.39522.32562.848157.20719430.94652824291.87984169750.73948445360.865085248318172.5524.431

194413.2846.9185.757771.241156.09719441.0475106050.48481812060.73426313560.984432913318182.46824.829

194517.3646.6315.57765.75412.9219451.04110292480.46960255980.06077426031.286879169818192.28323.704

194615.340.9693.25426.7538.33319460.91469077920.27399797910.03919751631.134173461818202.39124.767

194715.333.2062.38932.5542.52319470.74137084170.20116200740.01186791481.134173461818212.53728.24

194815.238.6350.61421.1853.74519480.86258093320.05170090940.01761606851.126760563418222.41530.798

194916.7626.1354.21122.1522.94419490.58350078140.35458066690.01384825251.242401779118232.41532.252

195020.4129.4314.86819.473.82219500.65708863590.4099023240.0179782681.512972572318242.53762.782

195123.7729.3069.72927.7346.08519510.65429783430.8192152240.02862317141.7620459618252.39148.172

195226.5731.0028.83231.02513.92819520.69216342930.74368474230.06551578161.969607116418262.39139.373

195324.8136.62111.13140.98713.84919530.81761553920.93726844060.06514417421.839140103818272.31841.111

195435.9848.18518.36965.68813.38619541.07579816921.54673290670.06296627312.667160859918282.31834.676

195545.4849.91722.37668.57216.92119551.11446751511.88413607280.07959452473.37138621218292.29335.815

195646.6745.02520.63669.05921.77319561.00524670691.7376220950.10241779953.459599703518302.46429.613

195739.9944.19221.82975.32418.9119570.98664880551.83807679350.08895056212.964418087518312.53725.781

195855.2159.03436.51962.63427.17219581.31801741463.0750252610.12781410234.092661230518322.65925.979

195959.8984.77267.179102.55134.68919591.89265461045.65670259350.16317324434.439584877718332.63529.437

196058.1180.7789.858105.99356.90819601.8033043097.56635230720.26768897884.307635285418342.97926.813

196171.5578.8585.664125.80261.21919611.76043759777.21320309870.28796744915.303928836218353.07229.139

196263.177.26865.441133.02156.81419621.72511721375.51035702260.26724681314.677538917718362.71230.579

196375.0285.28972.88112.15951.25219631.90419736556.13674637930.24108377635.561156412218372.40129.14

196484.7576.85275.333104.08151.02919641.71582942626.34329740650.24003480886.282431430718382.43927.108

196592.4382.02264.39195.19258.54719651.8312569775.42194341530.27539865476.851742031118392.13923.442

196680.3372.94853.02586.80860.27419661.62866711324.46488716740.28352227295.954781319518402.

chpt01

Documents

annual returns

mcgrawhill companies

brief history of risk

lessonreturn variability