Asset Class Returns

Source: J.P. Morgan



In light of this morning’s portfolio rebalancing discussion, I thought the table above would help you to visualize the discussion.

It shows the annual return over the past decade by asset class. Note that the highest returning asset classes are at top, down to the lowest returning. You can see how they all mean revert over time.


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Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

12 Responses to “Asset Class Returns, 2003-2012”

  1. moobycow says:

    I may be missing something, but I am not seeing a reversion to the mean

  2. a2ricedgti says:

    20 year version please.


  3. Lukey says:

    Look at the colors – track them across left to right. You will see their trends tend to cluster pretty close to their position on the right hand side.

  4. yoigloo says:

    In case anyone else was wondering what JP considers Asset Alloc: 25% S&P, 10% Russell 2k, 15% MSCI EAEF, 5% MSCI EMI, 25% Barclays Capital Aggregate, 5% 1-3m Treasurys, 5% CS/Tremont Equity Market Neutral, 5% DJ UBS Commodity Index, 5% NAREIT Equity REIT Index.

    Whew, that’s a fun rebalance ;) I guess to simplify: 35% Equities, 20% international, 5% Commodities, 5% REITS, and 5% Equity Market Neutral (what ETF would this be?)

  5. yoigloo says:

    Oops, also 30% bonds!

  6. cdub says:

    I think the mean-reversion he is referring to is how periods of out-performance by any asset class are followed by under-performance. For example, when the MSCI EME outperformed a sustainable average in the first five years, it was due to mean revert — by getting cut in half.

    He does not mean, I believe, that certain classes cannot produce a long-term average above the collective average. For example, “cash” will inevitable under-perform all other asset classes over the very long-term.

  7. Livermore Shimervore says:

    Interesting that over nearly a decade:

    the S&P was never the anchorman — consistent. Steady.

    Emergings were stand outs during globalization with just a couple of exceptions.

    And when times are bullish the Russell always trails emergings.

  8. moobycow says:

    Well sure, an asset class is unlikely to perform better every single year, but when it has 8 of 10 years above average with a significant overall out-performance I wouldn’t call that a reversion to the mean. Over a longer term maybe it is more apparent.

  9. naveed says:

    I’m new to this. What is a recommended ETF for MSCI EME and Russell 2000?

  10. wally says:

    “mean-reversion” means that after a few years of data you draw an average line and, lo and behold, the average line is at the center – some years above and some years below.

  11. Angryman1 says:

    It is reversing to the mean, this is all nominal.

  12. GoodFriedman says:

    What I get from that chart is don’t invest in bonds, commodities or cash for the long term.


    BR: I think you are at the wrong site. Try this one