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Credit Suisse Global Investment Returns Yearbook 2023

15th edition of Yearbook looks at inflation and the role of commodities

The Credit Suisse Global Investment Returns Yearbook is the authoritative guide to historical long-run returns. Published by the Credit Suisse Research Institute in collaboration with London Business School, it covers all the main asset categories in 35 countries. Most of these markets, as well as the world index have 123 years of data since 1900.

Long-term perspectives

  • Equities have performed best over the long run. Over the last 123 years, global equities have provided an annualized real USD return of 5.0% versus 1.7% for bonds and 0.4% for bills.
  • Equities have outperformed bonds, bills and inflation in all 35 markets. Since 1900, world equities outperformed bills by 4.6% per year and bonds by 3.3% per year.
  • Prospectively, the authors estimate that the equity risk premium will be around 3.5%, a little below the historical figure of 4.6%.
  • With a 3.5% premium, equity investors would expect to double their money relative to short-term government bills in 20 years.
  • Since 1900, Australia has been the best performing stock market in real USD terms with an annualized real return of 6.43%, very closely followed by the USA, at 6.38%.
  • The US stock market accounts for 58% of total world value (on a free-float, investible basis), which is over nine times as large as Japan, its closest rival. The USA also has the world’s largest bond market.
  • Historically, diversification across stocks, countries and assets has greatly improved the return-risk tradeoff. Prospectively, the benefits remain large.


  • By end 2022, average inflation across the Yearbook countries was 8.0%, 19 times higher than at end 2020.
  • There were signs that inflation had peaked by end 2022. However, the Yearbook reports that historically, once inflation goes above 8%, it can take multiple years to revert to target.
  • Over the last 123 years, inflation has negatively impacted both bonds and equities. Equities do not provide a hedge against inflation, despite claims to the contrary.
  • The stock-bond correlation was mostly negative for over two decades to end 2021, making stocks and bonds a hedge for each other.
  • However, investors were cautioned in the 2022 Yearbook that this was not typical of the longer term.
  • The hedge failed in 2022 as equities and bonds both fell due to inflation, sharp increases in real interest rates and rate hiking cycles. 60:40 and similar asset-mix strategies saw significant drawdowns.
  • After four decades of bonds providing equity-like returns, the law of risk and return reasserted itself in 2022. Bonds had their worst year ever in the USA, UK, Switzerland, and across developed markets.
  • The Yearbook documents that historically, the returns on stocks and bonds have been much lower during hiking cycles than during easing cycles.
  • In the USA, the vast majority of (and in the UK, all) the equity risk premium relative to bills has been earned during easing cycles.
  • Investors are worried about the prospect of stagflation – lower economic growth combined with elevated inflation. New historical research in the Yearbook shows these concerns are justified.
  • During stagflation, real equity and bond returns averaged −4.7% and −9.0%. In the opposite case of stable growth, the average real returns were +15.1% for equities and +8.8% for bonds.

This year the authors, renowned financial historians Professor Elroy Dimson, Professor Paul Marsh and Dr Mike Staunton, examine the merits of investing in commodities using data from 1871 to the present.

Commodities and inflation

  • Rising commodity prices, particularly energy related, have been a driver of increasing inflation so the authors ask whether investing in commodities offers an effective inflation hedge.
  • Individual physical/spot commodities have provided low long-run returns since 1900 with an average annualized return of −0.5%. 72% of the commodities examined failed to beat inflation.
  • An equally-weighted portfolio of the same spot commodities, however, gave a much higher annualized return of 2.0%, showing the power of diversification.
  • Gold is not just a commodity, but also a financial investment. An investment in gold of USD 1 in 1900 grew to USD 2.5 by 2022, underperforming US bonds (USD 7.8) and stocks (USD 2,024). Gold does, however, have a role as an inflation hedge and a cautionary investment.
  • Except for precious metals, investors mostly avoid spot commodities because of storage and insurance costs. Commodity futures are more convenient and cheaper. Contracts are rolled over to avoid delivery.
  • Individual commodity futures have generated higher returns than spot commodities, on average beating Treasury bills by 1% per annum over the long-run.
  • An equally-weighted portfolio of those same futures contracts gave an annualized excess return over Treasury bills of more than 3%, again showing the power of diversification.
  • Since 1900, a fully collateralized balanced portfolio of futures provided a higher risk premium than stocks in all major markets, with a volatility very similar to that of stocks.
  • However, futures, like stocks, are susceptible to deep, lengthy drawdowns. The most notable futures drawdowns were in the late 19th century, the 1930s and following the Global Financial Crisis.
  • Historically, commodities have had a low correlation with equities and a negative correlation with bonds, making them effective diversifiers. They have also provided a hedge against inflation.
  • Commodities are unique in this respect. The major asset classes – stocks, bonds and real estate – have negative correlations with inflation.
  • While commodity futures tend to perform well when inflation is high, their inflation hedging properties mean that they tend to underperform in periods of disinflation.
  • Based on historical returns, it seems reasonable to assume that a balanced portfolio of collateralized commodity futures is likely to provide an annualized long-run future risk premium of around 3%.
  • There is a problem, however, with this otherwise attractive asset class. The investable market size is quite small. Thus, while individual investors or institutions can increase their exposure to commodity futures, large increases would be challenging if everyone sought to raise their allocations together.
  • Cryptocurrencies were not included in this analysis due to their short history. However, the recent past indicates that claims of cryptocurrencies providing a hedge against inflation are manifestly false.

Axel Lehmann, Chairman of the Board of Directors of Credit Suisse Group AG and Chair of the Credit Suisse Research Institute, said: “We are incredibly proud to present the 15th edition of the Credit Suisse Yearbook, a long-standing collaboration with the professors. With last year’s geopolitical and economic developments leading many market participants into uncharted territory, particularly with the re-emergence of inflation, the historical perspective has been crucial. With expectations seemingly conditioned by the more recent past, many investors have been reminded the hard way in 2022 of a few of the Yearbook’s basic long-term learnings, not least the laws of risk and reward.”

Professor Paul Marsh of London Business School added: “In periods of economic uncertainty, it can be easy to lose perspective of the long term investment horizon. The Yearbook, with its database stretching back 123 years, provides a rich source of information and experience to help readers navigate their investment strategy for the future by learning from the past.”

The stock markets included in the Yearbook represented more than 95% of the global equity market in 1900. Including the 12 new markets introduced in the 2021 and 2022 editions, the 35 Yearbook countries now cover 98% of today’s investable universe. The Yearbook also includes composite indexes for each of the world, world ex-USA, Europe, developed markets, and emerging markets. These have a full 123-year history. In more recent years, the equity indices incorporate a further 55 countries, so the 90 Yearbook countries together effectively provide 100% coverage of global equities.

The Global Investment Returns Yearbook consists of nine main sections, the first eight focusing on long-run asset returns, currencies, risk and risk premiums, projected returns, factor investing and commodities and inflation. The ninth contains detailed statistics on the 35 individual markets and five composite indexes which remain core to the Yearbook.

The Global Investment Returns Yearbook 2023 Summary is available: https://www.credit-suisse.com/ch/en/about-us/research/research-institute.html

Charts, graphics and analysis: Contact pmarsh@london.edu, mstaunton@london.edu or edimson@london.edu

Publication details: A4 colour, perfect-bound. 272 pages, 158 charts, 94 tables, 258 references and ISBN 978-3-033-09700-1.