TABLE III
Annual Rates of Return on Alternative Investments, 1930-76 (Nominal Returns)
Series |
Mean |
Standard |
Standard |
# Years |
Mean Annual |
Highest Annual Return (year) |
Lowest Annual Return (year) |
Common Stocks |
13.05 |
18.95 |
3.65 |
7 |
11.46 |
52.62 (1954) |
-26.48 (1974) |
Commodity Futures with T-Bills |
13.83 |
22.43 |
4.32 |
7 |
2.87 |
101.54 (1973) |
-6.32 (1953) |
Long Term Government Bonds |
2.94 |
6.53 |
1.26 |
9 |
3.86 |
16.75 (1976) |
-9.19 (1967) |
US T-Bills |
2.63 |
1.95 |
0.38 |
0 |
- |
8.00 (1974) |
0.86 (1954) |
Rate of Inflation |
3.43 |
2.90 |
0.56 |
1 |
- |
12.20 (1974) |
-0.50 (1954) |
Annual Rates of Return on Alternative Investments, 1930-76 (Nominal Returns)
Series |
Mean |
Standard |
Standard |
# Years |
Mean Annual |
Highest Annual Return (year) |
Lowest Annual Return (year) |
Common Stocks |
9.58 |
19.65 |
3.78 |
9 |
13.11 |
53.37 (1954) |
-34.79 (1974) |
Commodity Futures with T-Bills |
9.81 |
19.44 |
3.74 |
11 |
3.64 |
85.24 (1973) |
-10.30 (1975) |
Long Term Government Bonds |
-0.31 |
6.81 |
1.31 |
12 |
6.55 |
12.11 (1960) |
-11.90 (1967) |
US T-Bills |
0.22 |
1.80 |
0.35 |
7 |
2.41 |
2.32 (1964) |
-4.39 (1950) |
Annual Rates of Return on Alternative Investments, 1930-76 (Excess Returns^{c})
Series |
Mean |
Standard |
Standard |
# Years |
Mean Annual |
Highest Annual Return (year) |
Lowest Annual Return (year) |
Common Stocks |
9.42 |
20.12 |
3.87 |
9 |
3.21 |
51.76 (1954) |
-34.48 (1974) |
Commodity Futures with T-Bills |
9.77 |
21.39 |
4.12 |
13 |
3.91 |
91.59 (1973) |
-10.05 (1975) |
Long Term Government Bonds |
-0.79 |
6.43 |
1.24 |
17 |
4.73 |
11.67 (1976) |
-13.40 (1967) |
a The mean annual loss is defined as the sum of the annual
losses (negative rates of return) divided by the
number of years in which losses occurred.
b The real rate of return, R_{r} is defined by: (1+R_{n})/(1+i) -1 where R_{n} is the nominal rate of return and i is the rate of inflation as measured by the proportional change in the Consumer Price Index.
c The excess return is the difference between the nominal rate of return and the Treasury bill rate