The Prevalence of Large Negative Returns on Major Asset Classes
It is natural and tempting to assume that the capital market losses that occurred during the recent financial crisis represent a statistical outlier, a perfect storm, a rare, once in a century event—a black swan. This is not at all the case. An unsettling and eye-opening table in the current issue of the Financial Analysts Journal is reproduced below. The data, provided as part of a guest editorial authored by Laurence B. Siegel, clearly show that large negative returns such as those...
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