Nominal rates of return & SD for asset classes

[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

 

[jazz4cash]

try these


http://www.callan.com/resource/periodic_table/pertbl.pdf

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

 

[walkinwood]

I found what I was looking for..
http://www.fpanet.org/journal/articles/2007_Issues/jfp0407-art3.cfm

See table 2.

This is a good article for Rebalancing for Taxable Accounts

 

[chinaco]

I found what I was looking for..
http://www.fpanet.org/journal/articles/2007_Issues/jfp0407-art3.cfm

See table 2.

This is a good article for Rebalancing for Taxable Accounts

Interesting study. Thanks

 

[more_or_less]

Walkinwood, thank you for sharing this. Very interesting and useful.

 

[jIMOh]

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%.