Difference between revisions of "Callan periodic table of investment returns"

From Bogleheads
Jump to navigation Jump to search
(Formatted table, moved citations to table notes, fixed broken link.)
(Revised date.)
 
(7 intermediate revisions by 3 users not shown)
Line 1: Line 1:
 
{{Notice| The Callan Periodic Table is the best visual information showing the importance of [[:Category:Asset classes|asset class]] diversification and the [[Bogleheads® investment philosophy#Never try to time the market|futility of market timing]]. It is a primary reason for which many Bogleheads favor total market index funds.<ref>{{Forum post|p=4107872|title=Re: Playing with Callan's periodic tables of investment returns|author=LadyGeek|date=September 7, 2018}}</ref>}}
 
{{Notice| The Callan Periodic Table is the best visual information showing the importance of [[:Category:Asset classes|asset class]] diversification and the [[Bogleheads® investment philosophy#Never try to time the market|futility of market timing]]. It is a primary reason for which many Bogleheads favor total market index funds.<ref>{{Forum post|p=4107872|title=Re: Playing with Callan's periodic tables of investment returns|author=LadyGeek|date=September 7, 2018}}</ref>}}
  
First published in 1999,<ref group="note">Authored by Jay Kloepfer, Director of Callan’s Capital Markets and Alternatives Research.</ref> the '''{{PAGENAME}}''' is patterned after Mendeleev's periodic table of the elements<ref>[http://en.wikipedia.org/wiki/Periodic_table Mendeleev's periodic table of the elements]</ref> and shows returns for 10 asset classes, ranked from best to worst. Each asset class is color-coded for easy tracking.<ref name="Callan">[https://www.callan.com/periodic-table/ Periodic Tables], by [http://www.callan.com/about/ Callan LLC.]</ref>
+
The '''{{PAGENAME}}''' is patterned after Mendeleev's periodic table of the elements<ref>[https://en.wikipedia.org/wiki/Periodic_table Mendeleev's periodic table of the elements], Retrieved August 30, 2013</ref> and features well-known, industry-standard market indices as proxies for each asset class.<ref name="Callan" />
 +
 
 +
The table shows returns for ten asset classes, ranked from best to worst. Each asset class is color-coded for easy tracking.<ref name="Callan">{{cite web|url=https://www.callan.com/periodic-table/| title=Periodic Table - Callan| publisher=Callan Institute| accessdate=January 19, 2021}}</ref>. It was created in 1999 by Jay Kloepfer.<ref name="Callan" />
  
 
==Overview==
 
==Overview==
Line 13: Line 15:
 
{| border="1" style="border-collapse: collapse;"
 
{| border="1" style="border-collapse: collapse;"
 
|-
 
|-
||[[File:Callan Periodic Table of Investment Returns.png|800px]]
+
||[[File:Callan Periodic Table of Investment Returns.png|600px]]
 
[http://www.bogleheads.org/w/images/d/dc/Callan_Periodic_Table_of_Investment_Returns.png View full size]
 
[http://www.bogleheads.org/w/images/d/dc/Callan_Periodic_Table_of_Investment_Returns.png View full size]
©2020 by Callan LLC. Reprinted with permission.
+
©2021 by Callan LLC. Reprinted with permission.
 +
|}
 +
 
 +
==History and changes==
 +
The composition of the table has changed over the years.
 +
{| class="wikitable"
 
|-
 
|-
|style = "width:800px;"|'''Notes:''' There were 8 asset classes until 2009. Emerging markets was added in 2010, for a total of 9 asset classes. In 2013, the addition of Barclay's Corporate high yield brought the total to 10.<br>
+
! Year
In 2017, "MSCI World ex USA" replaced "MSCI EAFE". The entire table was rebuilt using "MSCI World ex USA".<br>
+
! Changes made
In 2019, the S&P 500 Growth, S&P 500 Value, Russel 2000 Growth, and Russel 2000 Value were replaced with Global Bonds ex-US, Cash equivalent (90 day T-Bills), and Real Estate. The entire table was rebuilt. The prior spreadsheets are at [https://docs.google.com/spreadsheets/d/1AjfXhdInFpt6QZf9HuNkgSZyN6IvVqAoFLTppPJsXlg/edit#gid=0 Callan Periodic Chart 2017: Dispersion of Asset Class Returns] and [https://docs.google.com/spreadsheets/d/118vPv6zokoI51X1hL2h5CoEIOQaYF1cqLOMYn7Hjxkk/edit#gid=0 Callan Periodic Table 2017: Statistics]
+
|-
 +
| 1999
 +
| Created with eight (8) asset classes.
 +
|-
 +
| 2010
 +
| Emerging markets asset class added, bring number to nine.
 +
|-
 +
| 2013
 +
| the addition of Barclay's Corporate high yield brought the total to ten.
 +
|-
 +
| 2017
 +
| "MSCI World ex USA" replaced "MSCI EAFE". The entire table was rebuilt using "MSCI World ex USA".
 +
|-
 +
| 2019
 +
| The S&P 500 Growth, S&P 500 Value, Russel 2000 Growth, and Russel 2000 Value were replaced with Global Bonds ex-US, Cash equivalent (90 day T-Bills), and Real Estate. The entire table was rebuilt.  
 
|}
 
|}
 +
The prior spreadsheets are at [https://docs.google.com/spreadsheets/d/1AjfXhdInFpt6QZf9HuNkgSZyN6IvVqAoFLTppPJsXlg/edit#gid=0 Callan Periodic Chart 2017: Dispersion of Asset Class Returns] and [https://docs.google.com/spreadsheets/d/118vPv6zokoI51X1hL2h5CoEIOQaYF1cqLOMYn7Hjxkk/edit#gid=0 Callan Periodic Table 2017: Statistics]
  
 
==How to read the table==
 
==How to read the table==
 
For example: Real estate (a measure of the stock performance of companies engaged in specific real estate activities in the North American, European, and Asian real estate markets). Starting at the left side, this measure ranked:
 
For example: Real estate (a measure of the stock performance of companies engaged in specific real estate activities in the North American, European, and Asian real estate markets). Starting at the left side, this measure ranked:
  
*2000 - 1st
 
 
*2001 - 7th
 
*2001 - 7th
 
*2002 - 2003 - 3rd (2 consecutive years)
 
*2002 - 2003 - 3rd (2 consecutive years)
Line 43: Line 64:
 
*2017 - 2018 - 6th (2 consecutive years)
 
*2017 - 2018 - 6th (2 consecutive years)
 
*2019 - 4th
 
*2019 - 4th
 +
*2020 - 9th
  
 
==Putting the table into perspective==
 
==Putting the table into perspective==
Line 87: Line 109:
 
*[[Risk and return: an introduction]]
 
*[[Risk and return: an introduction]]
 
*[[Mean reversion | Reversion to the mean]]
 
*[[Mean reversion | Reversion to the mean]]
 
==Notes==
 
<references group="note" />
 
  
 
==References==
 
==References==
Line 96: Line 115:
 
==External links==
 
==External links==
 
*[[finiki:Periodic table of annual returns|Periodic table of annual returns]], on [http://www.finiki.org/wiki/Main_Page finiki, the Canadian financial wiki]. Total returns for Canadian investors.
 
*[[finiki:Periodic table of annual returns|Periodic table of annual returns]], on [http://www.finiki.org/wiki/Main_Page finiki, the Canadian financial wiki]. Total returns for Canadian investors.
*[https://www.callan.com/periodic-table-investments/ Periodic Tables], by [http://www.callan.com/about/ Callan LLC]. Includes links to the "classic" table, a collection of tables ("classic"and 10 additional versions including the indices relative to inflation, real estate indices, and hedge fund sub-strategies), and a table of monthly rankings.
+
*[https://www.callan.com/periodic-table/ Periodic Tables], by [http://www.callan.com/about/ Callan LLC]. Includes links to the "classic" table, a collection of tables ("classic"and 10 additional versions including the indices relative to inflation, real estate indices, and hedge fund sub-strategies), and a table of monthly rankings.
 
*[https://us.allianzgi.com/documents/Investor-Education-Importance-of-Diversification The Importance of Diversification], asset classes for the past ten years, from [https://us.allianzgi.com/en-us/advisors/resources/literature-center Allianz Global Investors - Literature Center].
 
*[https://us.allianzgi.com/documents/Investor-Education-Importance-of-Diversification The Importance of Diversification], asset classes for the past ten years, from [https://us.allianzgi.com/en-us/advisors/resources/literature-center Allianz Global Investors - Literature Center].
 
*[https://2deaa804a6dc693855a0-eba658c6bc03668a61900f643427d64d.ssl.cf1.rackcdn.com/Documents/channel/advisor/article/JH%20Periodic%20Table_FINAL_2018-01.pdf Periodic Table of Investments], asset classes for the past ten years, from [https://en-us.janushenderson.com/advisor/ Janus Henderson Investors]
 
*[https://2deaa804a6dc693855a0-eba658c6bc03668a61900f643427d64d.ssl.cf1.rackcdn.com/Documents/channel/advisor/article/JH%20Periodic%20Table_FINAL_2018-01.pdf Periodic Table of Investments], asset classes for the past ten years, from [https://en-us.janushenderson.com/advisor/ Janus Henderson Investors]
Line 103: Line 122:
  
 
===Forum discussions===
 
===Forum discussions===
 +
* {{forum post|t = 336650|title = <nowiki>[wiki]</nowiki> Callan periodic table of investment returns| date = Jan 16, 2021 | author = LadyGeek}}
 
* {{forum post|t=237091|title=2017 Callan Periodic Table of Investment Returns|date = Jan 06, 2018|author = triceratop}}
 
* {{forum post|t=237091|title=2017 Callan Periodic Table of Investment Returns|date = Jan 06, 2018|author = triceratop}}
 
* {{forum post|t=180882|title=2015 Asset Class Returns|date = Jan 01, 2016|author = Tamales}}. A comprehensive list of asset class returns compiled by forum member Tamales.
 
* {{forum post|t=180882|title=2015 Asset Class Returns|date = Jan 01, 2016|author = Tamales}}. A comprehensive list of asset class returns compiled by forum member Tamales.

Latest revision as of 17:08, 19 January 2021

The Callan periodic table of investment returns is patterned after Mendeleev's periodic table of the elements[2] and features well-known, industry-standard market indices as proxies for each asset class.[3]

The table shows returns for ten asset classes, ranked from best to worst. Each asset class is color-coded for easy tracking.[3]. It was created in 1999 by Jay Kloepfer.[3]

Overview

The chart is intended to show the importance of diversification across asset classes (stocks versus bonds), investment styles (growth versus value), capitalizations (large versus small) and equity markets (U.S. versus international).[4]

Refer to the table below. The rankings change every year, thereby demonstrating two key principles of investing:

  • Diversification: by owning the entire market (all of the asset classes), susceptibility to changes in market returns is minimized.
  • Past performance does not predict future performance.


Callan Periodic Table of Investment Returns.png

View full size ©2021 by Callan LLC. Reprinted with permission.

History and changes

The composition of the table has changed over the years.

Year Changes made
1999 Created with eight (8) asset classes.
2010 Emerging markets asset class added, bring number to nine.
2013 the addition of Barclay's Corporate high yield brought the total to ten.
2017 "MSCI World ex USA" replaced "MSCI EAFE". The entire table was rebuilt using "MSCI World ex USA".
2019 The S&P 500 Growth, S&P 500 Value, Russel 2000 Growth, and Russel 2000 Value were replaced with Global Bonds ex-US, Cash equivalent (90 day T-Bills), and Real Estate. The entire table was rebuilt.

The prior spreadsheets are at Callan Periodic Chart 2017: Dispersion of Asset Class Returns and Callan Periodic Table 2017: Statistics

How to read the table

For example: Real estate (a measure of the stock performance of companies engaged in specific real estate activities in the North American, European, and Asian real estate markets). Starting at the left side, this measure ranked:

  • 2001 - 7th
  • 2002 - 2003 - 3rd (2 consecutive years)
  • 2004 - 1st
  • 2005 - 2nd
  • 2006 - 1st
  • 2007 - 9th
  • 2008 - 8th
  • 2009 - 3rd
  • 2010 - 2nd
  • 2011 - 7th
  • 2012 - 1st
  • 2013 - 5th
  • 2014 - 1st
  • 2015 - 4th
  • 2016 - 5th
  • 2017 - 2018 - 6th (2 consecutive years)
  • 2019 - 4th
  • 2020 - 9th

Putting the table into perspective

Periodic tables provide a great visual about diversification benefits, but tend to be more qualitative than quantitative. The simple ranking from best to worse notably does not allow one to easily appreciate the scaling of annual returns.[5]

The following dispersion graph (distribution spread of returns over time) is therefore useful to put such a periodic table in perspective. Notice how the difference between the highest return (blue) and lowest return (red) changes over time.


(View Google Spreadsheet in browser, then File --> Download as to download the file.)
Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

In addition, it is challenging to get a sense of returns averaged over a period of time with a periodic table. The following table of statistics is therefore useful to consider.


(View Google Spreadsheet in browser, then File --> Download as to download the file.)
Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

One statistic that is sometimes informative is the "Coefficient of Variation" (CV), which is simply the standard deviation divided by the mean. This is sometimes called the "coefficient of relative variation." It is the inverse of a signal-to-noise ratio, thus it's a noise to signal ratio.[6] The lower the ratio of standard deviation to mean return, the better your risk-return tradeoff.[7]

Over the past 20 years (1998 - 2017), the lowest coefficient of variation is "Aggregate Bonds" (0.69); the highest is World Ex USA (2.77).

Create your own periodic table

A spreadsheet for creating your own periodic table is available in this Bogleheads® forum topic: Playing with Callan's periodic tables of investment returns.

The latest version and download instructions are in this post, which is a direct download from Google Drive.

Detailed instructions and revision history are in the "README" tab.

See also

References

  1. Bogleheads® forum post: Re: Playing with Callan's periodic tables of investment returns, LadyGeek. September 7, 2018
  2. Mendeleev's periodic table of the elements, Retrieved August 30, 2013
  3. 3.0 3.1 3.2 "Periodic Table - Callan". Callan Institute. Retrieved January 19, 2021.
  4. The Callan Periodic Table of Investment Returns (Key Indices: 1998-2017), viewed Sep 07, 2018.
  5. Bogleheads® forum post: Re: Playing with Callan's periodic tables of investment returns, siamond. Sep 07,2018
  6. Coefficient of variation, Wikipedia
  7. Bogleheads® forum post: [Wiki] Callan periodic table of investment returns, Garco. Jan 27, 2013

External links

Forum discussions