j****y
发帖数: 1714 | 1 发信人: joyjoy (joy), 信区: Investment
标 题: 自己动手算了S&P 500的 compound annual return
发信站: BBS 未名空间站 (Sun Mar 27 18:26:38 2011, 美东)
原始数据来源:
http://www.moneychimp.com/features/market_cagr.htm
http://www2.standardandpoors.com/spf/xls/index/MONTHLY.xls
ftp://ftp.bls.gov/pub/special.requests/cpi/cpiai.txt
选了1976年为起始年份 （35年数据），
Column 1: count
Column 2: year
Column 3: Total return including dividend
Column 4: inflation rate of that year
Column 5: Total inflation adjusted return
Column 6: Investment balance at end of that year (initial deposit 10k)
Column 7: Compound years (used for Column 6)
Column 8: Compound Annual Growth Rate (Annualized Return)
1 1976 24.2 5.76% 18.44% $11,843.79 35 6.97%
2 1977 -7.78 6.50% -14.28% $10,152.19 34 6.65%
3 1978 6.41 7.59% -1.18% $10,032.31 33 7.36%
4 1979 18.69 11.35% 7.34% $10,768.72 32 7.64%
5 1980 32.76 13.50% 19.26% $12,842.92 31 7.65%
6 1981 -5.33 10.32% -15.65% $10,833.58 30 7.28%
7 1982 21.22 6.16% 15.06% $12,465.05 29 8.18%
8 1983 23.13 3.21% 19.92% $14,947.78 28 7.94%
9 1984 5.96 4.32% 1.64% $15,193.33 27 7.52%
10 1985 32.24 3.56% 28.68% $19,550.61 26 7.75%
11 1986 19.06 1.86% 17.20% $22,913.56 25 6.99%
12 1987 5.69 3.65% 2.04% $23,381.08 24 6.58%
13 1988 16.64 4.14% 12.50% $26,304.34 23 6.78%
14 1989 31.69 4.82% 26.87% $33,372.78 22 6.53%
15 1990 -3.42 5.40% -8.82% $30,428.22 21 5.65%
16 1991 30.95 4.21% 26.74% $38,565.30 20 6.43%
17 1992 7.6 3.01% 4.59% $40,335.34 19 5.46%
18 1993 10.17 2.99% 7.18% $43,229.97 18 5.50%
19 1994 1.19 2.56% -1.37% $42,637.48 17 5.41%
20 1995 38.02 2.83% 35.19% $57,639.90 16 5.85%
21 1996 23.06 2.95% 20.11% $69,229.70 15 4.13%
22 1997 33.67 2.29% 31.38% $90,950.89 14 3.08%
23 1998 28.73 1.56% 27.17% $115,664.41 13 1.17%
24 1999 21.11 2.21% 18.90% $137,526.61 12 -0.74%
25 2000 -9.11 3.36% -12.47% $120,375.19 11 -2.35%
26 2001 -11.98 2.85% -14.83% $102,528.93 10 -1.28%
27 2002 -22.27 1.58% -23.85% $78,074.73 9 0.35%
28 2003 28.72 2.28% 26.44% $98,718.44 8 3.87%
29 2004 10.82 2.66% 8.16% $106,770.86 7 1.00%
30 2005 4.79 3.39% 1.40% $108,267.74 6 -0.15%
31 2006 15.74 3.23% 12.51% $121,816.58 5 -0.46%
32 2007 5.46 2.85% 2.61% $124,998.17 4 -3.46%
33 2008 -37.22 3.84% -41.06% $73,674.48 3 -5.40%
34 2009 27.11 -0.36% 27.47% $93,909.75 2 19.84%
35 2010 14.32 1.64% 12.68% $105,817.25 1 12.68%
如果以上计算正确的话，主要结果是最后两列，
35年总的看股市还是很牛的，除去通货膨胀， 到2010年底 10k 的初始投资每年都增长
了 6.97%.
但是过去12年投资S&P 500 index 股票的基本都还在亏。 最近12年compound annual
return还是负数 (-0.74%). | a*****e
发帖数: 911 | 2 关键是要避开风险。当人人都认为股票能赚钱，就是牛市之尾，这种时候能果断出场持
现的，收益率自然是buy&hold无法比拟的。 | F**e
发帖数: 593 | 3 这个有survivor bias吧？
【在 j****y 的大作中提到】
: 发信人: joyjoy (joy), 信区: Investment
: 标 题: 自己动手算了S&P 500的 compound annual return
: 发信站: BBS 未名空间站 (Sun Mar 27 18:26:38 2011, 美东)
: 原始数据来源:
: http://www.moneychimp.com/features/market_cagr.htm
: http://www2.standardandpoors.com/spf/xls/index/MONTHLY.xls
: ftp://ftp.bls.gov/pub/special.requests/cpi/cpiai.txt
: 选了1976年为起始年份 （35年数据），
: Column 1: count
: Column 2: year
| j****y
发帖数: 1714 | 4 啥子是survivor bias.
我是在看长期持有index stock fund的 可信性。
【在 F**e 的大作中提到】
: 这个有survivor bias吧？
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