Historical Perspective on U.S. Asset Returns

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Presentation transcript:

Historical Perspective on U.S. Asset Returns Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge MA USA Cam.harvey@duke.edu +1 919.660.7768 office || +1 919.271.8156 mobile http://www.duke.edu/~charvey

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective Correlation Matrix Periods S&P 500 Small Stk Corp Bond Long Gvt IT Gvt 30 Day TBill US Inflation S&P 500 TR 936 1.00 0.83 0.21 0.14 0.10 -0.02 -0.01 U.S. Small Stk TR 936 0.83 1.00 0.17 0.07 0.05 -0.04 0.01 U.S. LT Corp TR 936 0.21 0.17 1.00 0.85 0.78 0.09 -0.05 U.S. LT Gvt TR 936 0.14 0.07 0.85 1.00 0.85 0.11 -0.06 U.S. IT Gvt TR 936 0.10 0.05 0.78 0.85 1.00 0.21 -0.02 U.S. 30 Day TBill TR 936 -0.02 -0.04 0.09 0.11 0.21 1.00 0.27 U.S. Inflation 936 -0.01 0.01 -0.05 -0.06 -0.02 0.27 1.00

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

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