Credit Suisse examines 118 years of global asset returns, factor investing, and private wealth performance to frame today’s low return environment. The paper argues future equity premiums may settle near 3.5% while challenging assumptions around volatility, inflation hedging, housing returns, and value investing’s eventual rebound
Credit Suisse Global Investment Returns Yearbook 2018
Credit Suisse
Elroy Dimson
Research
43 Pages
Key Takeaways
Lower Future Returns: Across 23 countries, the authors estimate a long run equity premium near 3.5%, well below historical averages despite global equities returning 24% in 2017.
Volatility Mean Reversion: Using 118 years of data, the paper finds volatility spikes often revert quickly and have shown limited predictive power for future market returns.
Private Assets Perspective: Housing and other illiquid assets represent roughly 90% of household wealth for most individuals, while collectibles historically outperformed cash and government bonds over long periods.
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