Hey Ben. I might have asked you already, but I don't remember the answer. VPW's so-called WAG came straight from the historical average return (1900+) documented by Dimson and al, in the Credit Suisse Global Investment Returns Yearbooks. Here is a quick snapshot of the corresponding graph from the 2021 edition. Of course, those values vary a tad from one yearbook edition to another.For expected returns, enter 6.6% stocks and 2.2% bonds. (This keeps the median return consistent with Longinvest's view of the stock and bond return process. The WAG of 5.0% and 1.9% in VPW is Longinvest's estimate of the median returns for stocks and bonds based on historical data. The expected return will be higher than the median.
As far as I understand, it's not a median, it's a CAGR (i.e. geometric average). Their 'annualized return' terminology is a tad ambiguous though, but I would find hard to believe that those economics professors would do otherwise.
What made you think that this is actually a median quantity? Am I missing something?
Statistics: Posted by siamond — Wed Feb 28, 2024 4:50 pm — Replies 10 — Views 959