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Good point. I would like to analyze returns assuming re-invested dividends (TSR), which I will try to do in my next analysis. However, as I search around the we

Good point. I would like to analyze returns assuming re-invested dividends (TSR), which I will try to do in my next analysis. However, as I search around the web I'm having trouble finding enough data (SPDRs only go back to '93, and even the economagic data only starts in 1970, which isn't really enough data to meaningfully look at 'average' 30 year investments) Does anyone have access to data going further back? I will continue looking myself, maybe also looking at DJI data. In the spirit of hypothesis lead analysis, perhaps we (or I) should lay out hypotheses for how the TSR analysis will differ (Total Shareholder Return). Clearly the curves will be shifted to the right, probably by the ~1.37% that Matt mentions. But what about the variance? (which is more interesting IMO). I need to think about that..

bokonist 18y ago
Here is a dataset that includes the value of the S&P and dividends, going back to the 1800's. http://www.econ.yale.edu/~shiller/data.htm http://www.econ.yale.edu/~shiller/data.htm The dividend yield used to be much higher, the long term average is 4-5%. The current yield of 2% is pitiful. Dividends are really how you make money investing in stocks, the price appreciation is really just a proxy for money supply growth, see http://www.cashflowanalytics.com/news.php?articleID=172 http://www.cashflowanalytics.com/news.php?articleID=172. You can get that same kind of appreciation investing in gold, art, 1950's baseball cards - anything that people value and find hard to dilute. I've wondered if the appreciation of the S&P index takes into account the constant reweighting that needs to be done. For instance, there's a lag as the company falls out of the index and when a mutual fund can actually sell it. I've also wondered if it takes into account the dilution rate of stocks, which traditionally has been around 2% a year.
- tomsaffell 18y ago
  Excellent - thanks for the link. I'll redo the analysis with the new data.

bokonist 18y ago

Here is a dataset that includes the value of the S&P and dividends, going back to the 1800's. http://www.econ.yale.edu/~shiller/data.htm http://www.econ.yale.edu/~shiller/data.htm The dividend yield used to be much higher, the long term average is 4-5%. The current yield of 2% is pitiful. Dividends are really how you make money investing in stocks, the price appreciation is really just a proxy for money supply growth, see http://www.cashflowanalytics.com/news.php?articleID=172 http://www.cashflowanalytics.com/news.php?articleID=172. You can get that same kind of appreciation investing in gold, art, 1950's baseball cards - anything that people value and find hard to dilute. I've wondered if the appreciation of the S&P index takes into account the constant reweighting that needs to be done. For instance, there's a lag as the company falls out of the index and when a mutual fund can actually sell it. I've also wondered if it takes into account the dilution rate of stocks, which traditionally has been around 2% a year.

tomsaffell 18y ago
Excellent - thanks for the link. I'll redo the analysis with the new data.