The SBBI® Summary Edition will help investment professionals gain an understanding of major asset class returns, return calculations, and the long term impact of size, value/growth, and liquidity on returns

Several studies have found that considerable persistence exists in mutual fund performance. We study this phenomenon in fund managers who achieve superior performance, after adjusting for the investment style of the fund. Our data of domestic equity mutual funds indicates that winning funds do...

We estimate the forward-looking long-term equity risk by extrapolating the way it participated in the real economy. We decompose the 1926-2000 historical equity returns into supply factors including inflation, earnings, dividends, price to earnings ratio, dividend payout ratio, book value,...

In this paper, we collect individual stock prices for NYSE stocks over the period 1815 to 1925 and individual dividend data over the period 1825 to 1870. We use monthly price and dividend information on more than 600 individual securities over the period to estimate a stock price index and total...

This article reviews the empirical risk and return statistics from physical real estate and financial real estate investments made in the U.S. over the period 1972-1999. It includes income, capital appreciation, and total returns from business, residential, and farm real estate, as well as REIT...

We examine the performance of the offshore hedge fund industry over the period 1989 through 1995 using a database that includes defunct as well as currently operating funds. The industry is characterized by high attrition rates of funds and little evidence of differential manager skill. We...

We summarize some of our own past findings and place them in the context of the historical development of the idea of the equity risk premium and its empirical measurement by financial economists. In particular, we focus on how the theory of compensation for investment risk developed in the 20th...

In the study reported here, we estimated the forward-looking long-term equity risk premium by extrapolating the way it has participated in the real economy. We decomposed the 1926-2000 historical equity returns into supply factors-inflation, earnings, dividends, the P/E, the dividend-payout...