■ TABELA 9.

1 Ross e outros

Retornos anuais de 1926 a 1997 (em %)

Obrigações de Obrigações de
Ações de Ações de
longo prazo longo prazo
maiores menores
emitido por emitido por
Empresas Empresas
empresas Governo
Ano
1926 11.62 0.28 7.37 7.77
1927 37.49 22.10 7.44 8.93
1928 43.61 39.69 2.84 0.10
1929 -8.42 -51.36 3.27 3.42
1930 -24.90 -38.15 7.98 4.66
1931 -43.34 -49.75 -1.85 -5.31
1932 -8.19 -5.39 10.82 16.84
1933 53.99 142.87 10.38 -0.07
1934 -1.44 24.22 13.84 10.03
1935 47.67 40.19 9.61 4.98
1936 33.92 64.80 6.74 7.52
1937 -35.03 -58.01 2.75 0.23
1938 31.12 32.80 6.13 5.53
1939 -0.41 0.35 3.97 5.94
1940 -9.78 -5.16 3.39 6.09
1941 -11.59 -9.00 2.73 0.93
1942 20.34 44.51 2.60 3.22
1943 25.90 88.37 2.83 2.08
1944 19.75 53.72 4.73 2.81
1945 36.44 73.61 4.08 10.73
1946 -8.07 -11.63 1.72 -0.10
1947 5.71 0.92 -2.34 -2.62
1948 5.50 -2.11 4.14 3.40
1949 18.79 19.75 3.31 6.45
1950 31.71 38.75 2.12 0.06
1951 24.02 7.80 -2.69 -3.93
1952 18.37 3.03 3.52 1.16
1953 -0.99 -6.49 3.41 3.64
1954 52.62 60.58 5.39 7.19
1955 31.56 20.44 0.48 -1.29
1956 6.56 4.28 -6.81 -5.59
1957 -10.78 -14.57 8.71 7.46
1958 43.36 64.89 -2.22 -6.09
 1959 11.96 16.40 -0.97 -2.26
1960 0.47 -3.29 9.07 13.78
1961 26.89 32.09 4.82 0.97
1962 -8.73 -11.90 7.95 6.89
1963 22.80 23.57 2.19 1.21
1964 16.48 23.52 4.77 3.51
1965 12.45 41.75 -0.46 0.71
1966 -10.06 -7.01 0.20 3.65
1967 23.98 83.57 -4.95 -9.18
1968 11.06 35.97 2.57 -0.26
1969 -8.50 -25.05 -8.09 -5.07
1970 4.01 -17.43 18.37 12.11
1971 14.31 16.50 11.01 13.23
1972 18.98 4.43 7.26 5.69
1973 -14.66 -30.90 1.14 -1.11
1974 -26.47 -19.95 -3.06 4.35
1975 37.20 52.82 14.64 9.20
1976 23.84 57.38 18.65 16.75
1977 -7.18 25.38 1.71 -0.69
1978 6.56 23.46 -0.07 -1.18
1979 18.44 43.46 -4.18 -1.23
1980 32.42 39.88 -2.76 -3.95
1981 -4.91 13.88 -1.24 1.86
1982 21.41 28.01 42.56 40.36
1983 22.51 39.67 6.26 0.65
1984 6.27 -6.67 16.86 15.48
1985 32.16 24.66 30.09 30.97
1986 18.47 6.85 19.85 24.53
1987 5.23 -9.30 -0.27 -2.71
1988 16.81 22.87 10.70 9.67
1989 31.49 10.18 16.23 18.11
1990 -3.17 -21.56 6.78 6.18
1991 30.55 44.63 19.89 19.30
1992 7.67 23.35 9.39 8.05
1993 9.99 20.98 13.19 18.24
1994 1.31 3.11 -5.76 -7.77
1995 37.43 34.46 27.20 31.67
1996 23.07 17.62 1.40 -0.83
1997 33.36 22.78 12.95 15.85

Média 13.0 17.7 6.1 5.6

Desvio Padrão 20.3 33.9 8.7 9.2

Dados extraidos de Stocks, bonds, bills and inflation: 1998 yearbook,'' corn atualizac5es anuais feitas por Roger G. Ibbotson e Rex A. Sinquefield (Chicago: Ibbotso
Associates). Todos os direitos reservados.
Obrigações de
Letras do
médio prazo Ações de maiores
Tesouro dos Inflação
emitido por Empresas
EUA
Governo

(Ri - Rmédia)^2
5.38 3.27 -1.49 1.8
4.52 3.12 -2.08 601.8
0.92 3.56 -0.97 939.5
6.01 4.75 0.20 457.0
6.72 2.41 -6.03 1,433.3
-2.32 1.07 -9.52 3,169.5
8.81 0.96 -10.30 447.3
1.83 0.30 0.51 1,683.6
9.00 0.16 2.03 207.3
7.01 0.17 2.99 1,204.9
3.06 0.18 1.21 439.4
1.56 0.31 3.10 2,302.9
6.23 -0.02 -2.78 329.8
4.52 0.02 -0.48 178.7
2.96 0.00 0.96 517.0
0.50 0.06 9.72 602.6
1.94 0.27 9.29 54.5
2.81 0.35 3.16 167.5
1.80 0.33 2.11 46.1
2.22 0.33 2.25 551.4
1.00 0.35 18.16 442.2
0.91 0.50 9.01 52.5
1.85 0.81 2.71 55.6
2.32 1.10 -1.80 34.0
0.70 1.20 5.79 351.6
0.36 1.49 5.87 122.4
1.63 1.66 0.88 29.3
3.23 1.82 0.62 194.6
2.68 0.86 -0.50 1,573.0
-0.65 1.57 0.37 346.0
-0.42 2.46 2.86 40.9
7.84 3.14 3.02 563.5
-1.29 1.54 1.76 924.3
-0.39 2.95 1.50 1.0
11.76 2.66 1.48 156.0
1.85 2.13 0.67 194.1
5.56 2.73 1.22 470.4
1.64 3.12 1.65 96.9
4.04 3.54 1.19 12.4
1.02 3.93 1.92 0.3
4.69 4.76 3.35 529.9
1.01 4.21 3.04 121.5
4.54 5.21 4.72 3.6
-0.74 6.58 6.11 460.5
16.86 6.52 5.49 80.1
8.72 4.39 3.36 1.8
5.16 3.84 3.41 36.3
4.61 6.93 8.80 762.8
5.69 8.00 12.20 1,554.6
7.83 5.80 7.01 587.7
12.87 5.08 4.81 118.4
1.41 5.12 6.77 405.6
3.49 7.18 9.03 40.9
4.09 10.38 13.31 30.0
3.91 11.24 12.40 378.8
9.45 14.71 8.94 319.3
29.10 10.54 3.87 71.4
7.41 8.80 3.80 91.2
14.02 9.85 3.95 44.7
20.33 7.72 3.77 368.7
15.14 6.16 1.13 30.4
2.90 5.47 4.41 59.7
6.10 6.35 4.42 14.8
13.29 8.37 4.65 343.4
9.73 7.81 6.11 260.1
15.46 5.60 3.06 309.5
7.19 3.51 2.90 28.0
11.24 2.90 2.75 8.8
-5.14 3.90 2.67 135.7
16.80 5.60 2.54 598.9
2.10 5.21 3.32 102.2
8.38 5.26 1.70 416.2

5.4 3.8 3.2 Variância 412.8

5.7 3.2 4.5 Desvio-padrão 20.3

G. Ibbotson e Rex A. Sinquefield (Chicago: Ibbotson
 Ações de Ações de
maiores menores
Ano Empresas Empresas
100 100
1 1926 11.62 112 0.28 100
2 1927 37.49 153 22.10 122
3 1928 43.61 220 39.69 171
4 1929 -8.42 202 -51.36 83
5 1930 -24.90 152 -38.15 51
6 1931 -43.34 86 -49.75 26
7 1932 -8.19 79 -5.39 24
8 1933 53.99 121 142.87 59
9 1934 -1.44 120 24.22 74
10 1935 47.67 177 40.19 103
11 1936 33.92 237 64.80 171
12 1937 -35.03 154 -58.01 72
13 1938 31.12 202 32.80 95
14 1939 -0.41 201 0.35 95
15 1940 -9.78 181 -5.16 90
16 1941 -11.59 160 -9.00 82
17 1942 20.34 193 44.51 119
18 1943 25.90 243 88.37 224
19 1944 19.75 291 53.72 345
20 1945 36.44 396 73.61 598
21 1946 -8.07 364 -11.63 529
22 1947 5.71 385 0.92 533
23 1948 5.50 406 -2.11 522
24 1949 18.79 483 19.75 625
25 1950 31.71 636 38.75 868
26 1951 24.02 789 7.80 935
27 1952 18.37 934 3.03 964
28 1953 -0.99 924 -6.49 901
29 1954 52.62 1,411 60.58 1,447
30 1955 31.56 1,856 20.44 1,743
31 1956 6.56 1,978 4.28 1,818
32 1957 -10.78 1,764 -14.57 1,553
33 1958 43.36 2,530 64.89 2,560
34 1959 11.96 2,832 16.40 2,980
35 1960 0.47 2,845 -3.29 2,882
36 1961 26.89 3,611 32.09 3,807
37 1962 -8.73 3,295 -11.90 3,354
38 1963 22.80 4,047 23.57 4,144
39 1964 16.48 4,714 23.52 5,119
40 1965 12.45 5,300 41.75 7,257
41 1966 -10.06 4,767 -7.01 6,748
42 1967 23.98 5,910 83.57 12,387
43 1968 11.06 6,564 35.97 16,843
44 1969 -8.50 6,006 -25.05 12,624
45 1970 4.01 6,247 -17.43 10,423
46 1971 14.31 7,141 16.50 12,143
47 1972 18.98 8,496 4.43 12,681
48 1973 -14.66 7,251 -30.90 8,763
49 1974 -26.47 5,331 -19.95 7,015
50 1975 37.20 7,315 52.82 10,720
51 1976 23.84 9,059 57.38 16,870
52 1977 -7.18 8,408 25.38 21,152
53 1978 6.56 8,960 23.46 26,114
54 1979 18.44 10,612 43.46 37,464
55 1980 32.42 14,052 39.88 52,404
56 1981 -4.91 13,362 13.88 59,678
57 1982 21.41 16,223 28.01 76,394
58 1983 22.51 19,875 39.67 106,699
59 1984 6.27 21,121 -6.67 99,583
60 1985 32.16 27,914 24.66 124,140
61 1986 18.47 33,070 6.85 132,643
62 1987 5.23 34,799 -9.30 120,307
63 1988 16.81 40,649 22.87 147,822
64 1989 31.49 53,449 10.18 162,870
65 1990 -3.17 51,755 -21.56 127,755
66 1991 30.55 67,566 44.63 184,772
67 1992 7.67 72,748 23.35 227,917
68 1993 9.99 80,016 20.98 275,734
69 1994 1.31 81,064 3.11 284,309
70 1995 37.43 111,406 34.46 382,282
71 1996 23.07 137,107 17.62 449,640
72 1997 33.36 182,846 22.78 552,068

Média 13.0 11.0 17.7 12.7

Desvio Padrão 20.3 33.9

 Letras do
Tesouro dos Inflação
EUA
100 100
3.27 103 -1.49 99
3.12 106 -2.08 96
3.56 110 -0.97 96
4.75 116 0.20 96
2.41 118 -6.03 90
1.07 120 -9.52 81
0.96 121 -10.30 73
0.30 121 0.51 73
0.16 121 2.03 75
0.17 121 2.99 77
0.18 122 1.21 78
0.31 122 3.10 80
-0.02 122 -2.78 78
0.02 122 -0.48 78
0.00 122 0.96 79
0.06 122 9.72 86
0.27 122 9.29 94
0.35 123 3.16 97
0.33 123 2.11 99
0.33 124 2.25 101
0.35 124 18.16 120
0.50 125 9.01 131
0.81 126 2.71 134
1.10 127 -1.80 132
1.20 129 5.79 139
1.49 131 5.87 148
1.66 133 0.88 149
1.82 135 0.62 150
0.86 136 -0.50 149
1.57 139 0.37 150
2.46 142 2.86 154
3.14 146 3.02 159
1.54 149 1.76 161
2.95 153 1.50 164
2.66 157 1.48 166
2.13 160 0.67 167
2.73 165 1.22 169
3.12 170 1.65 172
 3.54 176 1.19 174
3.93 183 1.92 178
4.76 192 3.35 184
4.21 200 3.04 189
5.21 210 4.72 198
6.58 224 6.11 210
6.52 238 5.49 222
4.39 249 3.36 229
3.84 258 3.41 237
6.93 276 8.80 258
8.00 299 12.20 289
5.80 316 7.01 310
5.08 332 4.81 324
5.12 349 6.77 346
7.18 374 9.03 378
10.38 413 13.31 428
11.24 459 12.40 481
14.71 527 8.94 524
10.54 582 3.87 544
8.80 633 3.80 565
9.85 696 3.95 587
7.72 749 3.77 610
6.16 796 1.13 616
5.47 839 4.41 644
6.35 892 4.42 672
8.37 967 4.65 703
7.81 1,043 6.11 746
5.60 1,101 3.06 769
3.51 1,140 2.90 791
2.90 1,173 2.75 813
3.90 1,219 2.67 835
5.60 1,287 2.54 856
5.21 1,354 3.32 885
5.26 1,425 1.70 900

3.8 3.8 3.2 3.1

3.2 4.5
 Ações de Ações de Letras do
maiores menores Tesouro dos Inflação
Ano Empresas Empresas EUA

100 100 100 100

1 1926 112 100 103 99
2 1927 153 122 106 96
3 1928 220 171 110 96
4 1929 202 83 116 96
5 1930 152 51 118 90
6 1931 86 26 120 81
7 1932 79 24 121 73
8 1933 121 59 121 73
9 1934 120 74 121 75
10 1935 177 103 121 77
11 1936 237 171 122 78
12 1937 154 72 122 80
13 1938 202 95 122 78
14 1939 201 95 122 78
15 1940 181 90 122 79
16 1941 160 82 122 86
17 1942 193 119 122 94
18 1943 243 224 123 97
19 1944 291 345 123 99
20 1945 396 598 124 101
21 1946 364 529 124 120
22 1947 385 533 125 131
23 1948 406 522 126 134
24 1949 483 625 127 132
25 1950 636 868 129 139
26 1951 789 935 131 148
27 1952 934 964 133 149
28 1953 924 901 135 150
29 1954 1,411 1,447 136 149
30 1955 1,856 1,743 139 150
31 1956 1,978 1,818 142 154
32 1957 1,764 1,553 146 159
33 1958 2,530 2,560 149 161
34 1959 2,832 2,980 153 164
35 1960 2,845 2,882 157 166
36 1961 3,611 3,807 160 167
37 1962 3,295 3,354 165 169
38 1963 4,047 4,144 170 172
39 1964 4,714 5,119 176 174
40 1965 5,300 7,257 183 178
41 1966 4,767 6,748 192 184
42 1967 5,910 12,387 200 189
43 1968 6,564 16,843 210 198
44 1969 6,006 12,624 224 210
45 1970 6,247 10,423 238 222
46 1971 7,141 12,143 249 229
47 1972 8,496 12,681 258 237
48 1973 7,251 8,763 276 258
49 1974 5,331 7,015 299 289
50 1975 7,315 10,720 316 310
51 1976 9,059 16,870 332 324
52 1977 8,408 21,152 349 346
53 1978 8,960 26,114 374 378
54 1979 10,612 37,464 413 428
55 1980 14,052 52,404 459 481
56 1981 13,362 59,678 527 524
57 1982 16,223 76,394 582 544
58 1983 19,875 106,699 633 565
59 1984 21,121 99,583 696 587
60 1985 27,914 124,140 749 610
61 1986 33,070 132,643 796 616
62 1987 34,799 120,307 839 644
63 1988 40,649 147,822 892 672
64 1989 53,449 162,870 967 703
65 1990 51,755 127,755 1,043 746
66 1991 67,566 184,772 1,101 769
67 1992 72,748 227,917 1,140 791
68 1993 80,016 275,734 1,173 813
69 1994 81,064 284,309 1,219 835
70 1995 111,406 382,282 1,287 856
71 1996 137,107 449,640 1,354 885
72 1997 182,846 552,068 1,425 900
 1913 1927 2017

Aplicação em ações de grande empresa (em US$) 100 182,846

Aplicação em ações de pequena empresa (em US$) 100 552,068

Ford T
Preço corrigido pela Inflação 850 290 2,610
Preço de mercado 850 290 30,000

Inflação 100 900

Investidor (ações grande empresa) 290 530,120

Investidor (ações pequena empresa) 290 1,600,800

Preço corrigido pela Inflação

Investidor (ações grande empresa) 1 203
Investidor (ações pequena empresa) 1 613

Preço de mercado
Investidor (ações grande empresa) 1 18
Investidor (ações pequena empresa) 1 53