An article in this week’s Barron’s (subscription required) cites a study by Eaton Vance where they analyzed 10-year rolling returns on the S&P 500 back to 1926. The study found that just 4% of 12-month periods experienced negative returns. They also discovered that average annual returns to stocks in the 10 years that followed periods with negative 10-year returns were 9.8%, with a range of 7.2% to 15%.
Source: Butler|Philbrick & Associates
Source: Shiller (2010), Butler|Philbrick & Associates
What we do know is that long-term returns can be quite volatile indeed. The following charts show rolling 10, 20 and 30 year real returns to the S&P since 1870.
Source: Shiller (2010), Butler|Philbrick & Associates (2010)
Source: Shiller (2010), Butler|Philbrick & Associates (2010)
Source: Shiller (2010), Butler|Philbrick & Associates (2010)