What drawdown means
Historical returns
How deep were the drawdowns, and how wide the rolling returns?
The long run, by country: annual returns after inflation
Each country in its own currency, after that country's inflation, a calendar year at a time. These are whole stock markets, not funds, and before costs or tax.
| Series | Years | Annualized, after inflation | Worst year | Best year | Worst 10 years | 10-year runs that lost | Worst 20 years | 20-year runs that lost | Worst 30 years | 30-year runs that lost |
|---|---|---|---|---|---|---|---|---|---|---|
| 18 advanced economies, GDP-weighted (JST, real, annual, from 1871) | 1871–2020 | 5.93 % | -45.27 % (2008) | 46.12 % (1993) | -4.67 % (1911–1920) | 9.93 % | 0.44 % (1901–1920) | 0 % | 2.48 % (1891–1920) | 0 % |
| Germany (JST, real, annual, from 1871) | 1871–2020 | 4.17 % | -89.96 % (1948) | 149.65 % (1923) | -20.14 % (1924–1933) | 24.82 % | -9.82 % (1929–1948) | 19.08 % | -6.29 % (1924–1953) | 25.62 % |
| United States (JST, real, annual, from 1872) | 1872–2020 | 6.82 % | -41.02 % (2008) | 60.86 % (1933) | -4.12 % (1911–1920) | 10 % | 0.89 % (1901–1920) | 0 % | 3.44 % (1903–1932) | 0 % |
Source: Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2017. “Macrofinancial History and the New Business Cycle Facts.” in NBER Macroeconomics Annual 2016, volume 31, edited by Martin Eichenbaum and Jonathan A. Parker. Chicago: University of Chicago Press. Data: JST Macrohistory Database, Release 6, macrohistory.net. Licence: CC BY-NC-SA 4.0. The figures above are derived from it and shared under the same licence.
What rolling returns mean
Every possible period of the same length
A ten-year result is annualized so it can be compared with other ten-year starts. It is not the single best or worst month multiplied by ten.Important limit