Canadian asset class returns

Researchers at the London Business School have created indexes that track Canadian asset class returns for three basic assets: Canadian stocks,  Canadian bonds, and  Canadian treasury bills, from the year 1900 to the present.

Asset class returns since 1900
The long term returns produced by Canadian markets from 1900 to 2011 (as measured by ABN AMRO/LBS indexes) have rewarded investors with positive long term compounded returns. Over the past 111 years, Canadian equities provided a nominal compound return of 8.9%; long-term conventional bonds provided a nominal compound return of 5.3%; and treasury bills produced a nominal compound return of 4.6%. (See table to the right.) These returns were consistent with the volatility of each investment. As measured by standard deviation, higher returns were correlated to higher risk.


 * Canadian stock standard deviation : 17.2%
 * Canadian bond standard deviation : 10.4%
 * Canadian treasury bill standard deviation: 4.9%

Of more importance to investors is the after inflation real return of investment. The real returns of Canadian asset classes over the past century were 5.7% for Canadian equities; 2.2% for Canadian conventional bonds, and 1.6% for Canadian bills. (These returns do not reflect the costs of investing nor the tax due on investment income).

These very long term compound return rates are the result of considerable shorter term variance. Over twenty year periods, the annualized real return of the Canadian stock market has ranged from 1.8% real compound return to 11.5% real compound return. In the 1900 - 1950 period Canadian conventional bonds provided a real 1.2% return; from 1950 - 2000 conventional bonds provided a real 2.5% return. Inflation was lower before 1950 (2.1%) than for the 1950 - 2000 period (4.1%).

The table below shows the real returns provided by Canadian markets over each decade of the twentieth century.

The range of annual returns in the Canadian markets over the twentieth century are provided in the table below:

The volatility in historical market returns has produced the following variance drain for Canadian returns 1900-2000:

Asset class returns from 1970
The following table provides returns data for a broader selection of Canadian investments. Return histories date back to 1970 for equities, t-bills, conventional all bonds, conventional long bonds, and gold bullion. Short term conventional bond data begins in 1980; Real Return Bonds data begins in 1993.