Stats › Long run returns › Survivorship bias
Survivorship bias costs 10 to 70 basis points a year
| Study | Bias, percentage points a year |
|---|---|
| DMS world | 0.1 |
| J&G all mkts | 0.29 |
| J&G non-US | 0.7 |
| US vs median | 3.52 |
The three figures measure different indices over different periods with different weightings. The 3.5 point US against median gap is not a bias estimate, and it is the largest number here. Sources: Jorion and Goetzmann, and Dimson, Marsh and Staunton.
Long run stock returns come only from markets that still exist. Correcting for the ones that closed moves the figure by ten to seventy basis points a year. The larger distortion is that the market everyone quotes, the US, was the best of thirty nine.
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