Australian Investment Performance 1960 to 2007

FOR IMMEDIATE RELEASE
(Free-Press-Release.com) September 14, 2007 -- His first paper on this topic was written in 2005. His second paper will be presented to the Institute of Actuaries of Australia at their 2007 Biennial Convention in Christchurch New Zealand on 23 to 26 September 2007.

Hundreds of articles about investment performance are published regularly in Australia with ever-increasing frequency. Often they cover just ordinary shares or pooled funds and sometimes they cover a limited range of investment sectors. The performance usually relates to the last few months or last year, sometimes the last 3 or 5 years, very occasionally the last 10 or 20 years. However, Colin Grenfell's latest paper, "Australian Investment Performance 1960 to 2007" is an unique document, covering 47 years (or 188 quarters) of Australian Investment performance for 15 sectors.

Herewith, we are bringing some excerpts from Colin's paper:

"An objective of this paper was to help bridge the gap between the demand from actuaries (and consumers) for robust assumptions in respect of future investment returns across a broad range of investment sectors, and the limited supply of data readily available for a range of investment sectors."

"The advent of unit price data in Australia 42 years ago, through National Mutual's "EFG" system, supplemented with other published indices and rates, provided both the inspiration for this paper and a substantial database of investment performance statistics, across a broad range of investment sectors."

"The paper developed and summarized assumptions sets for medium to long-term use in stochastic investment models, across the range of investment sectors and economic indicators that were examined. In determining those assumptions, the paper has illustrated techniques for 'backdating' incomplete data series for use, particularly, with cross-correlation and autocorrelation analyses."

For the purposes of the paper, risk margins are calculated relative to ten year bond rates. The risk margin (sometimes referred to in other publications as `risk premium' or `equity risk premium') is the excess of the sector annual investment return over the annualised effective point-in-time bond rate. The coefficient of variation is equal to the standard deviation divided by the mean (or arithmetic average).

The paper also includes results for typical “Balanced” and “Capital Stable” portfolios. From analysis of the results and their trends over time, the paper develops assumptions for estimating future medium to long-term investment performance and includes cross-correlation assumptions that provide interesting food-for-thought for investors.
You can email admin@supereasy.com.au for a free copy of the paper “Australian Investment Performance 1960 to 2007”.

Colin Grenfell     investment sectors     supereasy