A Look at the Callan Periodic Table of Investment Returns

January 12, 2007

The Callan Periodic Table of Investment Returns

The newly-updated Callan Periodic Table of Investment Returns(PDF) is out. I LOVE this thing! I spent most of last night “analyzing” the table. I took the data and rearranged it different ways to see if there’s a different way to look at the information and to see if there is any sort of pattern that can be gleened from this table.

As you can see from the table, the various indexes are ranked annually according to their performance. The best-performing index is at the top and the worst-performing index is at the bottom. Callan has also color-coded each index to make it easier to find on the chart. This is what makes the chart interesting. Take a second and look at the chart. What do you see? The first thing that popped into my mind was how random the chart looks. There’s no pattern to detect. In other words, the chart offers no predictive power because there’s no pattern to the past. Just to prove it, I arranged the data in a different format. I took each index and counted the number of times it ranked in each place and came up with the following table:

The Callan Periodic Table of Investment Returns
Click on table for larger image

This tells us that the MSCI EAFE index performed the best in 5 out of the 20 years (it also performed the worst in 7 out of 20 years). Notice, with a couple of exceptions, how evenly spread out the numbers are.

Finally, I arranged the data by index and their returns for each year along with their Geometric Average (or CAGR also known as the Compound Annual Growth Rate). The “worst” performer of the group was the Lehman Aggregate Bond index. That really should be no surprise. What is a surprise to me is how poorly the Russell 200o Growth Index and the MSCI EAFE Index performed over the 20-year period. They barely beat the bond index and had a lot more volatility.

The Callan Periodic Table of Investment Returns
Click on table for larger image

All of this information is about the performance of each individual index. I’m going to follow this post up with some analysis of how these indexes would have worked together as a portfolio. So don’t fret, there’s more excitement to come!

9 responses to A Look at the Callan Periodic Table of Investment Returns

  1. I also like the one Janus puts out because it throws in a diversified portfolio made up of equal parts of all indexes and shows the return. When you have a diversified portfolio a pattern does emerge… the boxes gravitate towards the middle.

    So while never the best performing it was also never the worst, and only had 4 negative annual returns since 1991 and all but one of the years with positive returns were higher than the 10 or 11% average everyone compares returns to.

    A great illustration that diversifying across the various indexes can yield consistent and attractive returns with little effort or investment knowledge.

    https://ww4.janus.com/SiteObjects/published/FFFFFFFFA8347B540106A689CB6E5086/02945FCE582819260109BBCBE0E0820F/file/Periodic%20Table%20with%20Tax%20Chart%20exp%204-15-07.pdf

  2. Wow — that is so cool! Thanks for sharing JLP. I had never heard of this “Periodic Table” before.

  3. Janus also includes MidCaps – which do very well (similar to the diversified portfolio) across most years.

  4. Hi,
    I need some help with expected return.
    My portfolio average return is 41.6% and by adjusting it we got an expected return of 50.89%. Is it a crrect figure or the expected retrn shud be near 10% ?

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    […] It has been months since I last put together a calculator. My latest calculator, the Asset Allocation and Portfolio Performance Calculator, came to fruition after I put together my post about the Callan Periodic Table of Investment Returns. The returns I talked about in that post were all individual index returns. Those are fine and good but most people are more interested in how what they mean to a portfolio. So, I created a somewhat-simple portfolio calculator that will allow you to enter: […]

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