No. of Recommendations: 6
Dividing into 5 buckets based on CAEYb, from 1881.01 to 2025.12 the average subsequent stock returns were:
qCAEYb Count AvgCAEYb Avg10yrStockSR Avg5yrStockSR Avg3yrStockSR Avg1yrStockSR Avg 10yrExcessSR Avg 5yrExcessSR Avg 3yrExcessSR Avg 1yrExcessSR StdDev 1yrExcessSR
0 348 4.9% 2.2% 1.4% 0.6% 0.4% 1.0% -0.7% -1.8% -0.5% 19%
1 348 6.0% 6.4% 6.8% 6.0% 6.1% 4.2% 3.8% 3.5% 3.5% 16%
2 348 7.0% 5.6% 7.1% 8.3% 10.7% 3.7% 5.1% 5.6% 7.0% 20%
3 348 8.5% 8.2% 6.4% 8.1% 9.4% 7.5% 6.7% 8.3% 8.1% 18%
4 348 12.0% 10.9% 13.1% 12.8% 15.3% 6.8% 9.5% 9.4% 12.3% 22%
correl 1.00 0.93 0.91 0.91 0.90 0.81 0.93 0.87 0.95
Avg10yrStockSR is the average 10-year subsequent real stock total return (adjusted for inflation).
Avg 1yrExcessSR is the average 1-year subsequent real stock total return minus the real 1-year total return of 10-year bonds.
correl is the correlation with AvgCAEYb.
Low CAEYb had lower forward 1-year excess returns. The dates with low CAEYb (qCAEYb=0) can be summarized as:
From To numMonths Avg1yrExcessSR StDev1yrExcessSR
1881.01 1906.11 120 1% 16%
1927.11 1937.08 56 -10% 33%
1955.07 1973.02 134 2% 12%
1987.08 1987.08 1 -22%
1997.07 2000.1 36 -1% 20%
High CAEYb had higher forward 1-year excess returns. The dates with high CAEYb (qCAEYb=4)can be summarized as:
From To numMonths Avg1yrExcessSR StDev1yrExcessSR
1907.11 1907.11 1 45%
1914.08 1926.05 113 9% 17%
1931.12 1935.03 18 46% 49%
1941.12 1943.01 14 34% 13%
1948.01 1950.07 19 22% 11%
1974.07 1985.1 114 6% 15%
2002.09 2003.04 8 24% 7%
2008.03 2013.06 61 10% 22%
