TABLE V
Nominal Rates of Return on Selected Common Stock-Commodity Futures Portfolios, 1950-76
Proportion of Portfolio Invested in Stocks
|
Year |
100% |
80% |
60% |
40% |
20% |
0% |
|
1950 |
31.71% |
35.89% |
40.07% |
44.25% |
48.43% |
52.61% |
|
1951 |
24.2 |
24.56 |
25.10 |
25.64 |
26.17 |
26.71 |
|
1952 |
18.37 |
14.45 |
10.53 |
6.62 |
2.70 |
-1.22 |
|
1953 |
-0.99 |
-2.06 |
-3.12 |
-4.19 |
-5.26 |
-6.32 |
|
1954 |
52.62 |
45.07 |
37.52 |
29.98 |
22.43 |
14.88 |
|
1955 |
31.56 |
24.29 |
17.02 |
9.75 |
2.48 |
-4.79 |
|
1956 |
6.56 |
8.20 |
9.84 |
11.47 |
13.11 |
14.75 |
|
1957 |
-10.78 |
-9.09 |
-7.40 |
-5.72 |
-4.03 |
-2.34 |
|
1958 |
43.36 |
34.42 |
Z5.48 |
16.55 |
7.61 |
-1.33 |
|
1959 |
11.95 |
9.67 |
7.39 |
5.11 |
2.82 |
0.54 |
|
1960 |
0.47 |
0.36 |
0.24 |
0.13 |
0.02 |
-0.09 |
|
1961 |
26.89 |
21.82 |
16.75 |
11.68 |
6.62 |
1.55 |
|
1962 |
-8.73 |
-6.81 |
-4.89 |
-2.97 |
-1.05 |
0.87 |
|
1963 |
22.80 |
22.81 |
22.81 |
22.82 |
22.83 |
22.84 |
|
1964 |
16.48 |
15.61 |
14.75 |
13.87 |
13.00 |
12.13 |
|
1965 |
12.45 |
12.08 |
11.72 |
11.35 |
10.99 |
10.62 |
|
1966 |
-10.06 |
-5.12 |
-0.18 |
4.76 |
9.71 |
14.65 |
|
1967 |
23.98 |
20.01 |
16.04 |
12.07 |
8.10 |
4.13 |
|
1968 |
11.06 |
9.10 |
7.13 |
5.17 |
3.20 |
1.24 |
|
1969 |
-8.50 |
-2.63 |
3.24 |
9.11 |
14.98 |
20.84 |
|
1970 |
4.01 |
5.61 |
7.20 |
8.80 |
10.39 |
11.99 |
|
1971 |
14.31 |
17.11 |
9.91 |
7.71 |
5.31 |
3.31 |
|
1972 |
18.98 |
21.93 |
24.87 |
27.82 |
30.76 |
33.71 |
|
1973 |
-14.66 |
8.53 |
31.82 |
53.06 |
78.30 |
101.54 |
|
1974 |
-26.48 |
-14.79 |
-3.10 |
8.58 |
20.27 |
31.98 |
|
1975 |
37.20 |
28.96 |
20.72 |
12.47 |
4.Z3 |
-4.01 |
|
1976 |
23.84 |
21.62 |
19.40 |
17.18 |
14.96 |
12.75 |
|
Mean |
13.05 |
13.21 |
13.36 |
13.52 |
13.67 |
13.83 |
|
Std Dev |
18.95 |
14.74 |
12.68 |
13.77 |
17.43 |
22.43 |