2022年全球投资回报年鉴（英）

CREDITSUUSSEInstitute3WAUTO”关注！回复关键词【进群】，加入3WAUTO汽车干货分享群2Coverageof2022SummaryEditionCoverageofthefullYearbook04MessagefromtheChairman05Introductionandhistoricalperspective11Inflationan18Diversification35Selectedindividualmarkets40References42Authors44Generaldisclaimer/importantinformationCreditSuisseGlobalInvestmentReturnsYearbook2022:ISBNforfullYearbook978-3-033-09081-14ThefollowingisanextractfromchapterlofthecreditsuisseGlobalInvestmentReturnsyearbook2022.Thisextractexplainsthepurposeoftheyearbook-learningfromfinancialhistory-andusingittoshedlightonissuesfacinginvestorstoday,suchasrisinginflationandrisinginterestrates.Itdescribesthecoverageoftheyearbook-nowexpandedto35countries-anditsunderlyingdatabase.Itprovideshistoricalperspectiveontheevolutionofequitymarketssincel90oIntroductionThepurposeoftheYearbookTheYearbookdatabaseFigure1:MarketsintheDMSlong-termdataset,1900−2021190019506070AustraliaAustraliaAustriaBelgiumCanadaDenmarkFinlandFranceGermanyIrelandItalyJapanNetherlandsNewZealandNorwayPortugalSpainSwedenSwitzerlandUKUSAustralia AustriaBelgium CanadaDenmark Finland FranceGermany Ireland ItalyJapanNetherlandsNewZealand NorwayPortugalSpain SwedenSwitzerlandUKUS HongKongSARSingaporeLuxembourg IsraelEcuador 190050607080902000102021Newcountriesaddedin2021/22TheevolutionofequitymarketsSurvivorshipbiasFigure2:Relativesizesofworldstockmarkets,end-1899(left)versusstart-2022(right)59.9%59.9%UK3.9%8.2%8.2%JPNJPNSuccessbiasFigure3:Theevolutionofequitymarketsovertimefromend-1899tostart-2022433264JPNhikes Thefollowingisanextractfromchapter2ofthecreditsuisseGlobalInvestmentReturnsyearbook2022focusingoninflationanditscure·Thewindsofchangeareblowingininancialmarkets.Inrecentyears,investorshavegrownaccustomedtoanenvironmentoflowinflationandinterestratesandabundantliquidity.NOW,atthetopofinvestors'concernsarerapidlyrisinginflation,andtheanticipatedcureforthis,namelyashifttotightermonetarypolicyandaninterestratehikingcycle.ThisextractsummarizestheIong-runevidenceoninflationandshowshowstocksandbondshaveperformedhistoricallyduringdifferentinflationregimesandduringperiodsofinterestratehikes.InflationandrealinterestratesTable2:Inflationratesaroundtheworld,1900-2021CountryStartGeometricStandardStandardyearmean(%)mean(%)error(%)deviation(%)return(%)yearreturn(%)yearCountriesandindexeswithcontinuoushistoriessince1900Japan19006.4SwedenCountries/marketswithlaterstartdatesordiscontinuoushistoriesandhencelaterre-startdates(ChinaandRussia)0.50-3.5 7.40.50-3.5 RealbondandequityreturnsversusinflationFigure16:Realbondandequityreturnsversusinflationrates,1900-2021InterestratesandthecontrolofinflationFigure17:USFedofficialinterestrates(%),1914-202186420AssetreturnsinhikingandeasingcyclesPremiumsinhikingandeasingcyclesVolatilityandSharperatiosProspectivereturnsinhikingcyclesFigure18:AssetreturnsafterraterisesandfallsFigure19:Premiumsafterraterisesandfalls9.78.583.643.73.02.93.02.3220Figure20:VolatilitiesandSharperatios;raterisesandfalls8400.500.400.300.100.00ThefollowingextractistomthecreditsuisseGlobalInvestmentReturnsyearbook2022andreproducesteentirechapter8onDiversification,whichisthisyear'snewfocustopic.Diversificationacrossstocks,countriesandassetsreducesrisksoinvestorscanearnthesamereturnwithlowerrisk,orahigherreturnforthesamerisk.Globalizationhasloweredthepotentialriskreductionfrominternationaldiversification;butalthoughthebenefitsremainlarge,theyarenotguaranteed.oveгthelast50yeaгs,usinvestoгswouldhavebeenbetteroffstayingathome,ratherthaninvestingglobally.stock-bonddiversificationhasbeeneffectiveinrecentyearsduetoanegativestockbondcorrelation,butwecautionagainstrelyingonitcontinuing.Finally,weexaminediversificationduringcrises.short-termcorrelationsarehigheratsuchtimes,butthisshouldnotbeamajorconcerntoIong-runinvestors.TheonlyfreelunchinfinanceDiversifyingacrossstocksThecostsofunderdiversificationFigure66:Howoverallportfoliorisk(left)andresidualportfoliorisk(right)varywiththenumberofstocks10Overdiversification/diworsificationDiversifyingacrosscountriesFigure67:Diversifyingacrosscountries,1900-2021AbriefhistoryofglobalinvestmentShouldUSinvestorshavegoneglobal?Figure68:GlobaldiversificationforaUSinvestor.CurrencyhedgingGlobaldiversificationgainsacrosscountriesFigure69:Domesticversusglobalinvestmentforthe32countriesintheworldindex,1974-2021Havecorrelationschangedovertime?Figure70:Correlationscoefficientsbetweenfourcountriesovereightsuccessivesubperiods,1872-2021Fallingbenefitsfromglobaldiversification?DiversificationintoemergingmarketsFigure71:Correlationsbetweendevelopedandemergingmarketreturnsovertensubperiods,1970-2021AveragecorrelationsbetweenmarketsAveragecorrelationsbetweenDMsandEMs Figure72:Realdrawdown:stock-bondblend,1900-2021DiversifyingacrossassetclassesBondsasadiversifierFigure73:Rolling60-monthstock-bondcorrelations,1900-2021Figure74:Globalaverageofrolling60-monthstock-bondcorrelationsFigure75:Stock-bondcorrelations-subperiods,1900-2021BondsasahedgeDriversofstock-bondcorrelationsFigure76:Stock-bondportfolioperformanceassumingdifferentstock-bondcorrelationsImpactonvolatility(standarddeviation)ImpactonSharperatios8%Whatexplainsrecentlowcorrelations?Willstock-bondcorrelationsstaynegative?DiversificationduringcrisesFigure77:Averagecorrelationsbetweenequitymarketsovertime,1974-2021——AllDohighercrisiscorrelationsmatter?ConcludingremarksThefollowingfourpagesareextractedfromchaptergofthecreditThecreditsuisseGlobalInvestmentReturnsyearbookcovers35marketsandivecompositeindexes,namelytheworld,theworldex-USA,Europe,developedmarketsandemergingmarkets.Twenty-threeofthecountriesandallivecompositeindexesstartinl900.Theother12markets,whicharenewtotheyearbookin202l/22,startlaterthan1900,buthavelonghistoriesrangingfrom46to71years.Inchaptergofthefullyearbook,eachcountryandindexhasthreepagesofdescriptivedata,charts,tablesandstatistics.weshowhereonlytheinitialpageforasmallselectionofthreecountriesandonecompositeindex.80.76480.76420Figure1:Annualizedrealreturnsandriskpremiums(%)forSwitzerland,1900-202164202.4864206420864206420Figure2:Annualizedrealreturnsandriskpremiums(%)fortheUK,1900-202180.780.76420Figure3:Annualizedrealreturnsandriskpremiums(%)fortheUSA,1900-2021864206420664206420Figure4:AnnualizedrealUSDreturnsandriskpremiums(%)fortheWorldex-USA,1900-20214.4ElroyDimsonPaulMarshMikeStauntonPublisherISBN978-3-033-09081-1DescriptionoftheYearbookTheCreditSuisseGlobalInvestmentReturnsYearbook2022isa268hardcopypublication.Itincludes144charts,89tablesand244references.TopurchaseacopyoftheYearbookTogainaccesstotheunderlyingdataResponsibleauthorsToquotefromthispublicationCopyright©2022ElroyDimson,PaulMarshandMikeStauntonimportantinformationRiskfactorsImporta