Credit Suisse explores how 117 years of market history can frame expectations for equities, bonds, inflation, and factor investing. The paper argues future equity risk premiums may fall toward 3% to 3.5%, while mild inflation may not be as damaging for stocks as investors assume.
Global Investment Returns Yearbook 2017: Slide Deck
Credit Suisse
Elroy Dimson
Research
40 Pages
Key Takeaways
Lower Future Premiums: Authors estimate long run equity risk premiums could decline from 4.2% historically to roughly 3%–3.5% amid persistently low real interest rates.
Bond Bull Market: From 2000–2016, global bonds returned 4.8% annually versus 1.9% for equities after three major equity drawdowns and collapsing yields.
Factor Returns Persist: The study analyzes 117 years of data across 23 countries, arguing momentum, value, and size factors remained surprisingly durable despite growing investor adoption.
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