Post #1444 by zeelotes on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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Interesting study Jim. I confess, I was highly skeptical. But examining decile studies of SP500 forward total return CAGRs from various years to August 2022 confirms the overall conclusion.

2010                     
From  To   From   To     CAGR
0     0.1  1.31   1.526  -1.68%
0.1   0.2  1.526  1.83   12.24%
0.2   0.3  1.83   1.91   12.19%
0.3   0.4  1.91   1.97   13.76%
0.4   0.5  1.97   2.01   10.13%
0.5   0.6  2.01   2.05   10.84%
0.6   0.7  2.05   2.1    12.43%
0.7   0.8  2.1    2.16   16.84%
0.8   0.9  2.16   2.23   19.38%
0.9   1    2.23   2.67   24.07%
                         
2000                     
From  To   From   To     CAGR
0     0.1  1.07   1.37   -12.81%
0.1   0.2  1.37   1.664  1.33%
0.2   0.3  1.664  1.78   11.79%
0.3   0.4  1.78   1.85   5.27%
0.4   0.5  1.85   1.915  8.99%
0.5   0.6  1.915  1.99   9.34%
0.6   0.7  1.99   2.05   9.36%
0.7   0.8  2.05   2.12   11.65%
0.8   0.9  2.12   2.23   15.80%
0.9   1    2.23   3.58   20.77%
                         
1990                     
From  To   From   To     CAGR
0     0.1  1.07   1.369  -8.11%
0.1   0.2  1.369  1.64   7.25%
0.2   0.3  1.64   1.8    12.66%
0.3   0.4  1.8    1.89   7.72%
0.4   0.5  1.89   1.98   9.77%
0.5   0.6  1.98   2.06   11.14%
0.6   0.7  2.06   2.18   15.41%
0.7   0.8  2.18   2.41   20.82%
0.8   0.9  2.41   2.931  18.94%
0.9   1    2.931  4.09   14.88%
                         
1980                     
From  To   From   To     CAGR
0     0.1  1.07   1.42   -6.62%
0.1   0.2  1.42   1.75   12.99%
0.2   0.3  1.75   1.88   7.86%
0.3   0.4  1.88   2      10.19%
0.4   0.5  2      2.12   11.82%
0.5   0.6  2.12   2.34   19.59%
0.6   0.7  2.34   2.95   17.30%
0.7   0.8  2.95   3.508  10.73%
0.8   0.9  3.508  4.437  20.82%
0.9   1    4.437  6.63   18.04%
                         
1970                     
From  To   From   To     CAGR
0     0.1  1.07   1.52   -4.09%
0.1   0.2  1.52   1.82   11.34%
0.2   0.3  1.82   1.96   9.36%
0.3   0.4  1.96   2.11   11.68%
0.4   0.5  2.11   2.47   20.21%
0.5   0.6  2.47   2.98   9.16%
0.6   0.7  2.98   3.461  8.33%
0.7   0.8  3.461  4.05   13.54%
0.8   0.9  4.05   4.89   16.02%
0.9   1    4.89   6.63   20.02%
                         
1960                     
From  To   From   To     CAGR
0     0.1  1.07   1.624  -0.98%
0.1   0.2  1.624  1.87   10.33%
0.2   0.3  1.87   2.04   10.70%
0.3   0.4  2.04   2.3    16.23%
0.4   0.5  2.3    2.91   11.62%
0.5   0.6  2.91   3.09   3.85%
0.6   0.7  3.09   3.38   9.17%
0.7   0.8  3.38   3.76   14.06%
0.8   0.9  3.76   4.666  16.80%
0.9   1    4.666  6.63   18.60%
                         
1950                     
From  To   From   To     CAGR
0     0.1  1.07   1.69   1.41%
0.1   0.2  1.69   1.93   9.25%
0.2   0.3  1.93   2.14   11.96%
0.3   0.4  2.14   2.82   17.01%
0.4   0.5  2.82   3.05   4.04%
0.5   0.6  3.05   3.32   8.14%
0.6   0.7  3.32   3.72   13.31%
0.7   0.8  3.72   4.32   13.28%
0.8   0.9  4.32   5.3    17.77%
0.9   1    5.3    7.28   23.40%
                         
1940                     
From  To   From   To     CAGR
0     0.1  1.07   1.74   3.05%
0.1   0.2  1.74   1.99   8.97%
0.2   0.3  1.99   2.28   14.92%
0.3   0.4  2.28   2.97   10.07%
0.4   0.5  2.97   3.22   5.77%
0.5   0.6  3.22   3.62   11.07%
0.6   0.7  3.62   4.21   11.17%
0.7   0.8  4.21   4.83   17.10%
0.8   0.9  4.83   5.722  17.76%
0.9   1    5.722  8.71   21.81%
                         
1928                     
From  To   From   To     CAGR
0     0.1  1.07   1.79   3.89%
0.1   0.2  1.79   2.05   9.35%
0.2   0.3  2.05   2.79   16.60%
0.3   0.4  2.79   3.09   3.64%
0.4   0.5  3.09   3.4    6.96%
0.5   0.6  3.4    3.77   8.70%
0.6   0.7  3.77   4.29   10.41%
0.7   0.8  4.29   4.906  14.53%
0.8   0.9  4.906  5.81   13.72%
0.9   1    5.81   10.55  21.20%

Breaking up the data from 2000 to 2022 into twenty baskets also produces similar results:

2000                    
From  To    From  To    CAGR
0     0.05  1.07  1.24  -15.45%
0.05  0.1   1.24  1.37  -10.03%
0.1   0.15  1.37  1.48  -4.60%
0.15  0.2   1.48  1.66  6.97%
0.2   0.25  1.66  1.73  12.86%
0.25  0.3   1.73  1.78  10.62%
0.3   0.35  1.78  1.82  2.34%
0.35  0.4   1.82  1.85  8.97%
0.4   0.45  1.85  1.89  9.09%
0.45  0.5   1.89  1.92  8.88%
0.5   0.55  1.92  1.95  7.78%
0.55  0.6   1.95  1.99  10.68%
0.6   0.65  1.99  2.02  10.29%
0.65  0.7   2.02  2.05  8.28%
0.7   0.75  2.05  2.08  10.25%
0.75  0.8   2.08  2.12  12.79%
0.8   0.85  2.12  2.17  15.58%
0.85  0.9   2.17  2.23  15.97%
0.9   0.95  2.23  2.33  17.98%
0.95  1     2.33  3.58  23.71%

And I also did segments of history to see if the conclusions would be the same and they are:

1928  1950               
From  To    From  To     CAGR
0     0.1   2.85  3.44   -5.44%
0.1   0.2   3.44  3.70   -2.05%
0.2   0.3   3.70  4.12   1.82%
0.3   0.4   4.12  4.37   7.25%
0.4   0.5   4.37  4.72   6.35%
0.5   0.6   4.72  5.09   15.23%
0.6   0.7   5.09  5.78   -1.00%
0.7   0.8   5.78  6.41   10.32%
0.8   0.9   6.41  6.89   21.20%
0.9   1     6.89  10.55  28.02%
                         
1950  1990               
From  To    From  To     CAGR
0     0.1   2.63  2.99   -3.47%
0.1   0.2   2.99  3.13   3.45%
0.2   0.3   3.13  3.33   8.22%
0.3   0.4   3.33  3.56   12.32%
0.4   0.5   3.56  3.81   14.19%
0.5   0.6   3.81  4.19   11.94%
0.6   0.7   4.19  4.53   18.76%
0.7   0.8   4.53  5.12   15.89%
0.8   0.9   5.12  5.77   21.45%
0.9   1     5.77  7.28   24.25%
                         
1990  2024               
From  To    From  To     CAGR
0     0.1   1.07  1.37   -8.11%
0.1   0.2   1.37  1.64   7.25%
0.2   0.3   1.64  1.80   12.66%
0.3   0.4   1.80  1.89   7.72%
0.4   0.5   1.89  1.98   9.77%
0.5   0.6   1.98  2.06   11.14%
0.6   0.7   2.06  2.18   15.41%
0.7   0.8   2.18  2.41   20.82%
0.8   0.9   2.41  2.93   18.94%
0.9   1     2.93  4.09   14.81%

Well done. Thanks for sharing.

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