标题: Avg. Return and Std. Deviation for Equity Indices [打印本页] 作者: gjcxc 时间: 2011-10-14 15:37 标题: Avg. Return and Std. Deviation for Equity Indices
I'm playing with a spreadsheet to simulate returns/expected ending values on my personal portfolio. Does anyone have a link to (reliable) return statistics on major indices that they could share? Specifically, I'm looking for the average return and std. deviation of returns on the S&P 500 and TSX Composite indices, ideally for multiple time periods (5-yrs, 10-yrs, 20-yrs, etc.)作者: yodacaia 时间: 2011-10-14 15:48
even if we assume the expected return is constant, your estimate based on the realized return from historical time series would be extremely unrealiable unless you have a very long history (5-20 years of daily returns certainly not enough). use historical returns to estimate standard deviation if you like, but for expected returns, i suggest using a model of some sort instead of plain historical data.作者: eucbrwqt 时间: 2012-1-8 04:11 标题: 非常的支持楼主！顶起来！
