Aug

30

Using Prof. Shiller's monthly data of SP500 returns (including dividends and adjusted for inflation), below is a table of mean monthly return ("MMR") by decade, counting back 120 months from the end of Jan 2010 to Jan 1880 (non-overlapping monthly return by decade). Also shown is monthly stdev and T (comparing mean to zero).

10/14 decades had positive MMR, though only 3 were significantly greater than zero (T>2.0), and one significantly less. Note that all down-decades were followed by up-decades, and the decade with highest MMR (ending Jan 2000) was followed by the recent down decade.


Date        av 120  stdev 120   T 120

2010.01    -0.003    0.042       -0.81
2000.01     0.010    0.031    3.62
1990.01     0.006    0.038    1.72
1980.01    -0.004    0.039       -1.01
1970.01     0.002    0.030    0.73
1960.01     0.009    0.029    3.37
1950.01    -0.001    0.040       -0.26
1940.01     0.001    0.087    0.07
1930.01     0.010    0.044    2.37
1920.01    -0.006    0.033       -2.06
1910.01     0.003    0.038    0.88
1900.01     0.001    0.033    0.42
1890.01     0.003    0.029    1.17
1880.01     0.004    0.031    1.37


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