The 2017 SBBI Yearbook: Stocks, Bonds, Bills, and Inflation: U.S. Capital Markets Performance by Asset Class 1926-2016 by Roger G. Ibbotson and contributors from Duff & Phelps (Wiley, 2017) is the kind of book one rarely sees these days. Printed in two colors on high quality, heavy stock and measuring 8 1/2” x 11,” it offers 368 pages of beautifully presented returns data along with careful analysis. It is divided into 12 chapters and three appendixes: results of U.S. capital markets in 2016 and in the past decade, the long-run perspective, description of the basic series, description of the derived series, annual returns and indexes, statistical analysis of returns, company size and return, growth and value investing, liquidity investing, using historical data in wealth forecasting and portfolio optimization, stock market returns from 1815-2016, international equity investing, monthly and annual returns of basic series, cumulative wealth indexes of basic series, and rates of return for all yearly holding periods 1926-2016.
In addition to providing the reader with a trove of tables and graphs based on Morningstar data, the yearbook mines performance data for investing insights. Among them (and this is a very small sample):
Roger G. Ibbotson 2017 SBBI Yearbook Duff & Phelps
“The serial correlation of returns on large-cap stocks is near zero. For the smallest deciles of stocks, the serial correlation tends to be higher.”
“Unlike the returns on large-cap stocks, the returns on small-cap stocks tend to be seasonal.”
“Liquidity appears to be a much better predictor of returns than size.” Between 1972 and 2016 the geometric mean of annualized returns of the least liquid quartile of NYSE/MKT/NASDAQ stocks was about twice that of the most liquid quartile, with a significantly lower standard deviation.
Market bubbles, over time and across geographical boundaries, appear to exhibit similar log-periodic power laws before the bubbles pop and markets crash.
The 2017 SBBI Yearbook is expensive, certainly not the kind of book you read in the bathtub or take to the beach. But for those who like to see their data on the page, not on the screen, and who appreciate meticulous analysis, it’s well worth the price.