Click for ginormous table
Source: J.P. Morgan


I really like the above table — its a terribly instructive reminder as to how little we know about the future. Look how often the sector you least expected to be the winner ended up on top.

Its also instructive to see what ends up near the top of the list on a regular basis.

The breakdown of Fixed Income annual winners is after the jump.


Source: J.P. Morgan

Category: Asset Allocation

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.

16 Responses to “Annual Returns by Asset Class”

  1. Molesworth says:

    Can someone please explain why REITs are considered an asset class? I know they are treated differently, the 90% payout, etc, but why do they get their own class rather than being considered a sector?

    • Its much more than a mere sector

      REITs are based on Real Property (Commercial office space, residential multi-family, shopping centers, strip malls) which has very different characteristics — risk, volatility and returns — than either stocks (operating companies) or bonds (debt)

      These 3 — Real property, operating companies and debt — have far greater differences than sectors.

      • awealthofcommonsense says:

        I love the fact that REITs outperform for 3 years when everyone hated real estate at the time and now commodities underperform when everyone was calling for runaway inflation.

        These charts are great as they are a perfect showcase of reversion to the mean and the unpredictable nature of financial markets.

      • icantdance says:

        BR, would you provide complete list of top level asset classes as you see it?

        real property
        operating companies
        tbtf(?) ;)

      • Emerging Markets
        Large cap (S&P500)
        Small caps (Russell 2000)
        Developed Markets (Ex US)
        Alt Investments (PE, VC)

  2. Anonymous37 says:

    I really like the above table — its a terribly instructive reminder as to how little we know about the future.

    The future, hell — I was surprised that the S&P500 returns were so low in 2011. I had gotten used to seeing the period after early 2009 as one more-or-less uninterrupted bull market for equities.

  3. Molesworth says:

    Thank you. No one ever explained it to me like that before.

  4. scm0330 says:

    Barry, it seems like you’ve morphed a bit…I seem to remember a small clutch of stocks, along with ETFs and such, a few years back. (At the time i recall thinkin, GCI? GCI???) A more electic mix, based on what your fusion analytics were telling you. Recently it’s been a much more pedestrian asset allocation and rebalancing scheme. This isn’t the first time we’ve seen The Quilt from you. Josh has shifted a bit as well. Am I imagining things or has your approach evolved?

    • No doubt — the thought process has evolved — its in part due to the behavioral work, recognizing that what migh be ideal for a small trader wont work for most of the public (theory and practice sometimes never meet).

      Its also in response to what clients need.

      PS: No idea what GCI is

  5. scm0330 says:

    Gannett. I think you were long it for a large gain. Maybe three years ago.

  6. brucewillis1234 says:

    So Barry, how do we use this Fixed Asset Allocation model under Equities and Fixed Income. Does the Asset Allocation not change based on the performance that it has achieved which is pretty decent considering that it needs an Annual Rebalance, and that it has a Worldwide coverage built into it. Plus it is painless, and does not need active management, brokerage fees, and is tax efficient.

    Of course, I am asking since you are a Money Manager, and an independent one.

    Also, is there a source for the Asset Allocation model somewhere, since I have for years seen only the asset class performance in these tables, and NEVER the Asset Allocation box in here. If you could share it, it would allow simple investors like me to use it for building a portfolio at a low cost.

    Thanks much.


  7. scm0330 says:

    GCI. And EK(!).

    Things are different now, and I understand needing to broaden your product for a bigger client base.

    • EK was a good trade — a short squeeze that made money — then it collapsed.

      Ahh, Gannett — didnt recognize the symbol — both GCI & NYT were Institutional trading calls I discussed on TV — I never owned them, but our desk traded them + rec’d them to their active hedge fund clients.

      I began my career as a trader, moved into research, ultimately ending up in asset management. I continue to move further away from trading and shorter term holdings. Asset Allocation and wealth management seems to be the direction the marketplace is urging me towards . . .

  8. intlacct says:

    This is a great couple of charts.

    I’ve been wondering how to reduce manager risk (and cost) for heavy investments in PAUIX. Combining the two charts 50/50 mostly explains the annual results of PAUIX. I will need to look at the cost of using ETFs that track these as a replacement…

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