Mar

3

Someone asked me, "If you were asked to give a single figure for the "average" drift of the entire market (measured, say, by the Wilshire) over time, what would it be if 0% were all down and 100% were all up?"

The answer is 51.

The Dimson data shows equities earning a roughly 5% annual premium over t-bills over the past 110 years. That's about 0.02% drift per trading day.

Let's take the annualized volatility at about 15%, and equivalently the daily volatility is about 1%.

So roughly, I'd say the drift is about 2% of the daily "sturm und drang". In Stefan's terms, the number is 51.


Comments

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search