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Nominal rates of return & SD for asset classes
Old 04-17-2007, 08:58 PM   #1
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Nominal rates of return & SD for asset classes

Hello,

I want to model my portfolio & am looking for information on average nominal rates of return & standard deviation for different asset classes like
domestic large cap
domestic small cap
international etc. etc.

Does anyone have a link or information handy?

If you were to make a guess on the average nominal (before inflation) rate of return for a portfolio that was 75 % equity (mix of large, small & international) & 25% short term bonds & cash, what would that be? I have guessed at 6%, but I'm beginning to think that's too conservative.

Thank you.
ww
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Re: Nominal rates of return & SD for asset classes
Old 04-17-2007, 09:23 PM   #2
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Re: Nominal rates of return & SD for asset classes

try these


http://www.callan.com/resource/perio...ble/pertbl.pdf

http://preview.tinyurl.com/2sd724






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Re: Nominal rates of return & SD for asset classes
Old 04-25-2007, 07:46 PM   #3
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Re: Nominal rates of return & SD for asset classes

I found what I was looking for..
http://www.fpanet.org/journal/articl...p0407-art3.cfm

See table 2.

This is a good article for Rebalancing for Taxable Accounts
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Re: Nominal rates of return & SD for asset classes
Old 04-26-2007, 03:56 AM   #4
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Re: Nominal rates of return & SD for asset classes

Quote:
Originally Posted by Walkinwood
I found what I was looking for..
http://www.fpanet.org/journal/articl...p0407-art3.cfm

See table 2.

This is a good article for Rebalancing for Taxable Accounts
Interesting study. Thanks
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Re: Nominal rates of return & SD for asset classes
Old 04-26-2007, 06:08 AM   #5
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Re: Nominal rates of return & SD for asset classes

Walkinwood, thank you for sharing this. Very interesting and useful.
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Re: Nominal rates of return & SD for asset classes
Old 04-26-2007, 11:54 AM   #6
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Re: Nominal rates of return & SD for asset classes

Quote:
Originally Posted by Walkinwood
Hello,

I want to model my portfolio & am looking for information on average nominal rates of return & standard deviation for different asset classes like
domestic large cap
domestic small cap
international etc. etc.

Does anyone have a link or information handy?

If you were to make a guess on the average nominal (before inflation) rate of return for a portfolio that was 75 % equity (mix of large, small & international) & 25% short term bonds & cash, what would that be? I have guessed at 6%, but I'm beginning to think that's too conservative.

Thank you.
ww
my anecdotal guesses going forward

100% equity 10-12% annual return, with returns as low as -30% and gains as much as +40% (assuming minimums of 45% large cap domestic, and small cap is around 15%.)
80-20 8-10% annual returns, with returns as low as -20% and gains as much as 30%. (Assuming minimum of 40% domestic large caps and 10% small caps)
60-40 6-8% returns, with low of -5% and highs around 12%.
40-60 4-6% returns, with most years being positive. Low of -1%, high of around 8-10%. Assume in this situation the equity position is primarily US large cap domestic.

small caps have long term returns of 12%, but the volatility of that is much higher than the large cap returns- large caps generally return around 9-10%.
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