In addition to providing the reader with a trove of tables and graphs based on Morningstar data, the yearbook mines performance data for investing insights. Among them (and this is a very small sample):
- “The serial correlation of returns on large-cap stocks is near zero. For the smallest deciles of stocks, the serial correlation tends to be higher.”
- “Unlike the returns on large-cap stocks, the returns on small-cap stocks tend to be seasonal.”
- “Liquidity appears to be a much better predictor of returns than size.” Between 1972 and 2016 the geometric mean of annualized returns of the least liquid quartile of NYSE/MKT/NASDAQ stocks was about twice that of the most liquid quartile, with a significantly lower standard deviation.
- Market bubbles, over time and across geographical boundaries, appear to exhibit similar log-periodic power laws before the bubbles pop and markets crash.
The 2017 SBBI Yearbook is expensive, certainly not the kind of book you read in the bathtub or take to the beach. But for those who like to see their data on the page, not on the screen, and who appreciate meticulous analysis, it’s well worth the price.