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 S&P 500 U.S. Small Stk U.S. LT Corp U.S. LT Gvt U.S. IT Gvt U.S. 30 DTBill U.S. Infl S&P 500 1.0000 0.8266 0.2083 0.1420 0.1011 -0.0194 -0.0118 U.S. Small Stk 0.8266 1.0000 0.1646 0.0727 0.0442 -0.0442 0.0083 U.S. LT Corp 0.2083 0.1646 1.0000 0.8559 0.7789 0.0924 -0.0455 U.S. LT Gvt 0.1420 0.0727 0.8559 1.0000 0.8509 0.1077 -0.0585 U.S. IT Gvt 0.1011 0.0442 0.7789 0.8509 1.0000 0.2116 -0.0255 U.S. 30d TBill -0.0194 -0.0442 0.0924 0.1077 0.2116 1.0000 0.2650 U.S. Inflation -0.0118 0.0083 -0.0455 -0.0585 -0.0255 0.2650 1.0000

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective

Harvey: Historical Perspective