Callan periodic table of investment returns

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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 ©2020 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:

  • 2000 - 1st
  • 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

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