Nominal Return Risk Asset Analysis

Question 1

Using data from 1973-2013, what is the best 3 asset class nominal returns?

Answer 1

Foreign EM 12%+, US Small 11.7%, US Large 10.2%

Question 2

Using data from 1973-2013, what is the worst 2 asset class nominal returns?

Answer 2

Tbills 5.5% and Gold 7.36%

Question 3

Using data from 1973-2013, what is the highest annualized volatility?

Answer 3

Foreign EM 22%, Gold 20.8% and Commodities 20.3%

Question 4

Using data from 1973-2013, what is the lowest annualized volatility?

Answer 4

Tbills 1%, Tips 6.3% and Corp Bonds 6.6%

Question 5

Using data from 1973-2013, what is the best 3 sharpe ratios for asset classes?

Answer 5

Corp bonds 0.61, Foreign 10 yr bonds 0.43, Tips 0.38 (equities 0.24-0.34)

Question 6

Using data from 1973-2013, what is the best 3 Max drawdowns?

Answer 6

0% Tbills, 11% TIPS, and 15% Foreign and US 10 yr bonds

Question 7

Using data from 1973-2013, what is the worst 3 Max drawdowns?

Answer 7

REITs 67%, Commodities 67%, gold 64%, EEM 61% (Equities 50-56%)

Question 8

Using data from 1973-2013 what are the major attributes of Equity nominal returns?

Answer 8

9.5-11.5% nominal returns, annualized vol 15-20%, Share ratio 0.24-0.34, Max DD 50-60%

Question 9

Using data from 1973-2013 what are the major attributes of Govt 10 yr nominal returns?

Answer 9

7-8% nominal, 8% ann vol, 0.3 sharpe, 15% max DD

Question 10

Using data from 1973-2013 what are the major attributes of Corp Bonds nominal returns?

Answer 10

9% nominal, 0.6 sharpe, 6% ann vol, 20% Max DD

Question 11

Using data from 1973-2013 what are the major attributes of TIPS nominal returns?

Answer 11

7% nominal, 0.38 sharpe, 6% ann vol, 12% Max DD

Question 12

Using data from 1973-2013 what are the major attributes of Commodities (GSCI) nominal returns?

Answer 12

8% nominal, 0.14 sharpe, 20% ann vol, 67% Max DD

Question 13

Using data from 1973-2013 what are the major attributes of REITS nominal returns?

Answer 13

9% nominal, 0.23 sharpe, 18% ann vol, 67% Max DD

Question 14

Using data from 1973-2013 what are the major attributes of Gold nominal returns?

Answer 14

7% nominal, 0.1 sharpe, 20% ann vol, 65% Max DD

Question 15

How would longer term historical data 1900-2017 (TOTO) compare to the 1973-2013 data?

Answer 15

The nominal returns are lower. Equities have delivered 9% nominal over the longer time period.