Feb

9

An interesting post of mine from last year:

"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   sd 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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