As long as we are pulling out the key graphs from that Rydex pdf, here’s another interesting chart:


Historical Betas of Various Asset Classes vs S&P500 (as of December 2004)
click for larger graph


Investing —More of a Challenge
Rydex Funds

Category: Investing, Markets

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7 Responses to “Sector Analysis”

  1. Sector Analysis

    The Big Picture Blog has a nice little graph of Asset Class Sector Analysis showing the historical growth rates of the various asset classes as compared to the SP 500. My question is, what is the source of this data and how far back does it go?…

  2. Lord says:

    It would be interesting to see approximate geometric returns for these asset classes, ar – 0.5*sigma^2. Those high beta classes wouldn’t look so good.

  3. Eddy says:

    These kinds of graphs can be misleading. You have to go back a long time to see a real investing advantage. Also, the return premium can be very volatile. For example, going back to 1927, the smallest stocks have the top-performing size category. But they’ve underperformed for the last 20 years.

  4. SoCal Chris says:

    ar – 0.5*sigma^2

    Does that mean ln r minus half the variance?

    If so, what does that tell us? Or, if I’m wrong, what does the correct expression tell us?

  5. Tonythetiger says:

    What ever the case may be, what sector is outperforming an other, when will you sell?….is the question.

    Of course, in an up-trending market you would buy at support i.e. dips, corrections, retracement, what have you. But, once you have bought, getting out is a larger factor to consider. No matter how well the stock or index is performing, the proverbial question would be; “when will the investor sell to profit?”

    90% never will!. It’s the 90% rule that has been inforced for aeons!!!

  6. Lord says:

    The arithmetic return is generally the one quoted. Subtracting half the variance is a volatility penalty to approximate a geometric return which is what you can expect if you actually held the asset over time.

  7. Keith says:

    What is the best software to use to create sector analysis graphs