PORTUGAL

Abstract

Credit Suisse Global Investment Returns Sourcebook 2014 147 CHAPTER 20 Portugal The data for Portuguese equities come from a three-year study by Maria Eugénia Mata and José da Costa; see da Costa, Mata, and Justino (2012) for an interim report. They have created an all-share weekly index for the Lisbon stock exchange starting from 3 January 1900 (here used as the end 1899 value) and ending on 5 January 1988. Since then the standard BVL general total return index is used. Following the Carnation revolution, there are no prices after 24 April 1974 until the stock exchange re-opened on 4 January 1978 with many fewer quoted equities (da Costa and Mata, 2011). Upon re-opening, the pre-closure equity market is represented by the values of new quoted equities, the market value of government bonds issued for formerly-quoted equities and additional compensation for expropriations. Bond returns are based on the prices and yields of Portuguese government long-term foreign bonds, quoted in London from 1900–41. For the years 1942–75, we use the Lisbon Stock exchange index of government debt, and the GFD index for 1976–2012. In 2013, we switch to the JP Morgan index of Portuguese government bonds with ten or more years to maturity. For 1900–75, the short-term rate of interest is taken as the Bank of Portugal discount rate and, since 1976, by the yield on 3-month treasury bills.

Full text

February 2014
Credit Suisse Global Investment Returns Sourcebook 2014
147
CHAPTER 20
Portugal
The data for Portuguese equities come from a three-year study by Maria Eugénia Mata and
José da Costa; see da Costa, Mata, and Justino (2012) for an interim report. They have
created an all-share weekly index for the Lisbon stock exchange starting from 3 January 1900
(here used as the end 1899 value) and ending on 5 January 1988. Since then the standard
BVL general total return index is used. Following the Carnation revolution, there are no prices
after 24 April 1974 until the stock exchange re-opened on 4 January 1978 with many fewer
quoted equities (da Costa and Mata, 2011). Upon re-opening, the pre-closure equity market is
represented by the values of new quoted equities, the market value of government bonds
issued for formerly-quoted equities and additional compensation for expropriations.
Bond returns are based on the prices and yields of Portuguese government long-term foreign
bonds, quoted in London from 1900–41. For the years 1942–75, we use the Lisbon Stock
exchange index of government debt, and the GFD index for 1976–2012. In 2013, we switch
to the JP Morgan index of Portuguese government bonds with ten or more years to maturity.
For 1900–75, the short-term rate of interest is taken as the Bank of Portugal discount rate
and, since 1976, by the yield on 3-month treasury bills.
Inflation is taken from Mata and Valerio (2011) until 2008 and the national consumer-price
index since 2009.
Table 55: Returns on Portuguese asset classes 1900–2013
Mean returns % p.a.
Annual returns %
Ten-year returns % p.a.
Current
Return
Asset
GM
AM
SE
SD
SC
Lowest
Highest
Lowest
Highest
year rank
Nominal
Equities
11.5
16.7
3.7
39.3
0.32
-70.3
1978
186.7
1980
-2.5
1983
52.5
1988
46
Bonds
8.2
10.1
2.1
22.1
0.42
-47.1
1994
120.6
1922
-3.5
1975
40.2
1928
33
Bills
6.3
6.5
0.5
5.5
0.97
0.0
2013
25.6
1982
1.6
2013
20.5
1987
114
Inflation
7.5
8.4
1.4
14.8
0.54
-17.6
1948
80.9
1918
-2.1
1939
37.4
1924
89
Real
Equities
3.7
8.7
3.2
34.6
0.25
-76.6
1978
151.8
1986
-21.5
1983
28.8
1988
38
Bonds
0.6
2.4
1.8
18.8
0.13
-49.7
1994
82.4
1922
-15.5
1979
20.5
1934
21
Bills
-1.1
-0.6
0.9
9.8
0.53
-41.6
1918
23.8
1948
-22.2
1924
9.9
1934
67
Exchange rate
0.2
1.6
1.6
17.1
-0.09
-52.1
1919
91.1
1924
-11.7
1920
8.1
1930
37
Premiums
Equities vs. bills
4.8
9.5
3.2
33.9
0.26
-75.1
1978
141.2
1986
-16.1
1983
27.2
1988
37
Equities vs. bonds
3.0
7.7
3.1
33.1
0.15
-71.9
1978
142.9
1980
-14.2
1929
27.0
1988
62
Bonds vs. bills
1.7
3.4
1.9
20.1
0.37
-52.4
1994
105.7
1922
-8.9
1983
30.2
1923
15
GM=geometric mean; AM=arithmetic mean, SE=standard error of mean; SD=standard deviation; SC=serial correlation; Ten-year returns to end of given year
Source: Elroy Dimson, Paul Marsh and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research.

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Chart 102: Returns on Portuguese asset classes from the start of 1900 to the start of 2014, in real terms
60.2
2.0
0.3
1.3
0
0
0
0
1
10
100
1000
10000
1900 10 20 30 40 50 60 70 80 90 2000 10
Equities Bonds Bills Real exchange rate vs. USD
+100%
0%
–100%
Source: Elroy Dimson, Paul Marsh and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research

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Table 56: Portuguese real rates of return, inflation and premiums over various periods from the start of 1900 to the start of 2014
1 Jan
1900
1910
1920
1930
1940
1950
1960
1970
1980
1990
2000
2010
2014
Real
1900
-0.6
2.3
-3.5
-4.1
-1.0
0.7
2.6
2.6
4.8
4.3
3.3
3.0
Equity
equity
1910
4.6
5.3
-4.9
-5.2
-1.0
1.0
3.1
3.0
5.5
4.9
3.8
3.4
premium
total
1920
3.3
1.9
-14.2
-10.0
-3.1
-0.1
2.7
2.7
5.5
4.8
3.6
3.2
vs. bonds
returns
1930
1.0
-0.7
-3.3
-5.7
3.0
5.1
7.4
6.4
9.2
7.8
6.0
5.4
1940
2.1
1.3
1.0
5.6
12.5
11.0
12.1
9.7
12.4
10.3
7.8
7.0
1950
2.5
2.0
2.0
4.8
4.1
9.5
11.9
8.8
12.4
9.8
7.1
6.2
1960
3.9
3.7
4.2
6.8
7.4
10.8
14.4
8.4
13.3
9.9
6.6
5.6
1970
4.4
4.4
4.9
7.1
7.6
9.4
7.9
2.7
12.8
8.5
4.7
3.7
1980
2.1
1.7
1.6
2.7
2.0
1.3
-3.2
-13.2
23.9
11.5
5.4
4.0
1990
4.5
4.5
4.9
6.3
6.4
7.0
5.8
4.7
26.3
0.3
-2.8
-3.3
2000
4.5
4.5
4.9
6.1
6.2
6.6
5.6
4.8
15.2
5.0
-5.7
-5.8
2010
3.9
3.9
4.1
5.1
5.0
5.1
4.0
3.1
9.1
1.4
-1.9
-5.8
2014
3.7
3.6
3.7
4.6
4.5
4.5
3.4
2.4
7.5
0.6
-2.5
-3.7
Real
1900
-0.8
4.0
5.5
3.5
4.5
5.4
5.8
4.3
6.3
5.8
5.1
4.8
Equity
equity
1910
-0.1
9.0
8.8
5.0
5.9
6.7
6.9
5.0
7.2
6.6
5.7
5.4
premium
capital
1920
-1.6
-3.2
8.5
3.0
4.9
6.1
6.5
4.4
7.0
6.3
5.3
5.0
vs. bills
gains
1930
-4.2
-6.2
-9.2
-2.2
3.1
5.3
6.0
3.6
6.7
6.0
4.9
4.6
1940
-3.2
-4.2
-4.7
0.1
8.8
9.3
8.9
5.1
8.6
7.4
6.0
5.5
1950
-2.4
-3.0
-3.0
0.3
0.5
9.8
8.9
3.9
8.6
7.2
5.5
5.0
1960
-1.0
-1.2
-0.6
2.4
3.5
6.7
8.0
1.0
8.2
6.5
4.7
4.2
1970
-0.4
-0.5
0.1
2.5
3.4
4.8
3.0
-5.6
8.3
6.0
3.9
3.3
1980
-2.2
-2.6
-2.4
-1.0
-1.3
-1.9
-5.9
-14.1
24.2
12.3
7.2
6.1
1990
0.2
0.3
0.8
2.6
3.1
3.7
2.8
2.6
22.6
1.6
-0.4
-0.6
2000
0.4
0.4
0.9
2.4
2.8
3.3
2.5
2.3
11.7
1.7
-2.2
-2.2
2010
-0.1
-0.1
0.3
1.5
1.7
1.9
1.0
0.5
5.9
-1.6
-4.8
-2.1
2014
-0.4
-0.4
-0.1
1.1
1.2
1.3
0.3
-0.3
4.2
-2.6
-5.6
-7.8
Real
1900
-0.2
1.7
9.3
7.9
5.5
4.6
3.1
1.6
1.5
1.5
1.7
1.7
Bond
bonds
1910
5.3
3.5
14.4
10.7
7.0
5.6
3.7
1.9
1.7
1.7
1.9
1.9
maturity
1920
0.9
-3.2
26.4
14.4
8.2
6.2
3.7
1.6
1.4
1.4
1.7
1.8
premium
1930
4.7
4.4
12.7
3.6
0.1
0.2
-1.3
-2.7
-2.2
-1.7
-1.1
-0.8
1940
6.5
6.9
12.3
11.9
-3.3
-1.5
-2.9
-4.2
-3.3
-2.6
-1.7
-1.4
1950
3.5
3.1
5.3
1.8
-7.4
0.3
-2.7
-4.5
-3.4
-2.4
-1.4
-1.1
1960
3.1
2.7
4.2
1.6
-3.2
1.2
-5.5
-6.8
-4.5
-3.1
-1.8
-1.4
1970
1.8
1.3
2.2
-0.3
-4.0
-2.3
-5.6
-8.1
-4.0
-2.3
-0.8
-0.4
1980
-0.5
-1.3
-1.0
-3.5
-7.0
-6.9
-10.7
-15.5
0.2
0.8
1.7
2.0
1990
-0.2
-0.9
-0.6
-2.6
-5.3
-4.8
-6.7
-7.2
2.0
1.3
2.5
2.7
2000
0.2
-0.3
0.1
-1.6
-3.7
-3.0
-4.0
-3.4
3.3
4.7
3.7
3.8
2010
0.6
0.1
0.5
-0.9
-2.6
-1.8
-2.4
-1.6
3.5
4.3
4.0
4.0
2014
0.6
0.2
0.6
-0.8
-2.4
-1.6
-2.1
-1.2
3.4
4.0
3.5
2.3
Real
1900
0.3
6.6
11.3
7.8
7.7
6.6
6.0
7.5
8.5
8.3
7.7
7.5
Inflation
bills
1910
5.5
13.2
17.3
10.5
9.7
7.9
7.0
8.5
9.6
9.2
8.5
8.2
1920
-0.7
-6.5
21.6
9.1
8.5
6.6
5.8
7.8
9.1
8.7
8.0
7.7
1930
-4.2
-8.7
-10.9
-2.1
2.6
2.1
2.2
5.2
7.1
7.0
6.4
6.2
1940
-1.3
-3.4
-1.9
8.0
7.4
4.2
3.6
7.1
9.1
8.5
7.7
7.4
1950
-1.9
-3.7
-2.7
1.7
-4.3
1.1
1.7
7.0
9.5
8.8
7.7
7.3
1960
-1.4
-2.8
-1.8
1.4
-1.7
0.9
2.4
10.1
12.5
10.8
9.1
8.5
1970
-1.3
-2.3
-1.5
1.0
-1.2
0.4
-0.1
18.4
17.8
13.7
10.8
10.0
1980
-2.1
-3.2
-2.6
-0.9
-3.0
-2.5
-4.2
-8.0
17.3
11.4
8.4
7.6
1990
-1.7
-2.6
-2.0
-0.4
-2.0
-1.5
-2.2
-3.3
1.7
5.9
4.2
3.8
2000
-1.2
-1.9
-1.3
0.1
-1.2
-0.5
-0.9
-1.1
2.5
3.3
2.6
2.4
2010
-1.1
-1.7
-1.2
0.1
-1.0
-0.4
-0.6
-0.8
1.8
1.8
0.3
2.0
2014
-1.1
-1.7
-1.2
0.0
-1.0
-0.5
-0.7
-0.9
1.4
1.2
-0.3
-1.7
Real
1900
2.5
-4.1
-8.9
-7.2
-5.8
-5.0
-4.3
-4.4
-5.1
-4.9
-4.1
-4.0
Exchange
exchange
1910
1.8
-10.3
-14.2
-10.3
-7.7
-6.4
-5.4
-5.4
-6.0
-5.7
-4.8
-4.6
rate
rate
1920
-1.8
-5.2
-17.9
-10.3
-6.9
-5.4
-4.3
-4.5
-5.4
-5.1
-4.2
-4.0
vs. USD
vs. USD
1930
-0.9
-2.3
0.8
-1.9
-0.8
-0.9
-0.6
-1.6
-3.1
-3.1
-2.3
-2.2
1940
-1.2
-2.1
-0.6
-1.9
0.2
-0.3
-0.2
-1.5
-3.4
-3.3
-2.3
-2.3
1950
-0.5
-1.1
0.3
0.1
2.1
-0.9
-0.4
-2.1
-4.3
-4.0
-2.8
-2.6
1960
-0.8
-1.3
-0.3
-0.6
0.1
-2.0
0.1
-2.7
-5.4
-4.7
-3.1
-3.0
1970
-0.7
-1.1
-0.2
-0.5
0.0
-1.0
0.0
-5.5
-8.0
-6.3
-3.9
-3.6
1980
-0.1
-0.3
0.5
0.5
1.1
0.7
2.1
4.3
-10.4
-6.7
-3.4
-3.1
1990
-0.1
-0.3
0.4
0.4
0.9
0.5
1.4
2.1
0.0
-2.9
0.3
0.1
2000
-0.1
-0.3
0.4
0.3
0.7
0.4
1.0
1.4
-0.1
-0.1
3.7
2.3
2010
0.3
0.1
0.7
0.7
1.1
1.0
1.5
1.9
1.2
1.8
3.7
-1.0
2014
0.2
0.1
0.7
0.7
1.0
0.8
1.4
1.7
0.9
1.3
2.4
-0.9
Source: Elroy Dimson, Paul Marsh and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research

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Chart 103: Nominal returns on Portuguese asset classes from the start of 1900 to the start of 2014
234,492
7,965
1,103
3,894
0
0
1
10
100
1000
10000
100000
1000000
1900 10 20 30 40 50 60 70 80 90 2000 10
Equities Bonds Bills Inflation
+100%
0%
–100%
Source: Elroy Dimson, Paul Marsh and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research

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Chart 104: Dispersion of real returns on Portuguese equities over periods of 10–114 years
-5%
0%
5%
10%
15%
10
20
30
40
50
60
70
80
90
100
110
Holding period in years
Top decile
Top quartile
Bottom quartile
Bottom decile
Median
Current year
Zero
Median
Annualized real returns
Source: Elroy Dimson, Paul Marsh and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research
Chart 105: Dispersion of real returns on Portuguese bonds over periods of 10–114 years
-10%
-5%
0%
5%
10%
10
20
30
40
50
60
70
80
90
100
110
Holding period in years
Top decile
Top quartile
Bottom quartile
Bottom decile
Median
Current year
Zero
Median
Annualized real returns
Source: Elroy Dimson, Paul Marsh and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research

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Chart 106: Portuguese equity risk premium relative to bills
35
30
2010
1994
1983
25
1976
1975
1967
1962
1960
20
1958
1957
1956 2012
1955 1999
1948 1984 2013
15
1943 1970 2007
1940 1968 2005
1938 1959 2004
1937 1946 2003
1925 1939 1989 2006
10
2000 1923 1936 1966 1998
1995 1914 1933 1965 1996
1991 1913 1916 1963 1971
1977 1911 1915 1952 1964
1988 1961 1910 1912 1950 1953 2009
5
1982 1949 1908 1909 1945 1951 1993
1981 2011 1947 1907 1906 1944 1932 1969 1987
1974 2002 1929 1905 1904 1935 1926 1941 1997 1986
2008 1931 2001 1924 1901 1903 1934 1921 1927 1979 1954 1973 1980
1978 1990 1930 1992 1920 1900 1902 1928 1919 1917 1972 1918 1922 1985 1942
-50 -40 -30 -20 -10 0 10 20 30 40 50 60 70 80 90 100 >100
Source: Elroy Dimson, Paul Marsh and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research
Table 57: Portuguese index values and annual returns
Equity returns
Bond returns
Bill returns
Equity premiums
Maturity
Inflation
Exch. rate vs. USD
Start of
Nominal
Real
Nominal
Real
Nominal
Real
vs. bonds
vs. bills
premium
Nominal
Real
1900
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.000
1.000
1910
1.62
1.57
1.72
1.67
1.76
1.70
0.94
0.92
0.98
1.03
1.278
1.194
1920
6.78
1.90
4.30
1.21
3.10
0.87
1.58
2.19
1.39
3.56
0.433
0.698
1930
34.17
1.36
99.79
3.97
6.92
0.28
0.34
4.94
14.43
25.12
0.060
0.754
1940
47.77
2.34
249.79
12.24
12.13
0.59
0.19
3.94
20.60
20.40
0.050
0.623
1950
145.80
3.50
235.73
5.65
15.96
0.38
0.62
9.13
14.77
41.70
0.051
0.770
1960
454.21
9.76
295.28
6.34
19.49
0.42
1.54
23.30
15.15
46.54
0.047
0.631
1970
1232.08
20.89
209.36
3.55
24.39
0.41
5.88
50.53
8.59
58.97
0.047
0.629
1980
1625.88
5.08
211.34
0.66
57.31
0.18
7.69
28.37
3.69
320.24
0.027
0.956
1990
82723.50
52.57
1259.81
0.80
333.39
0.21
65.66
248.13
3.78
1573.46
0.009
0.952
2000
237448
85.29
3518.56
1.26
819.59
0.29
67.48
289.72
4.29
2783.94
0.007
0.944
2010
252213
70.11
6731.64
1.87
1091.94
0.30
37.47
230.98
6.16
3597.53
0.010
1.361
2012
188356
49.81
3952.92
1.05
1101.96
0.29
47.65
170.93
3.59
3781.25
0.009
1.239
2013
202846
52.20
6998.06
1.80
1102.52
0.28
28.99
183.98
6.35
3886.11
0.009
1.271
2014
234492
60.22
7964.72
2.05
1102.99
0.28
29.44
212.60
7.22
3893.70
0.009
1.311
Annual returns
2001
-19.0%
-22.4%
5.6%
1.2%
4.2%
-0.2%
-23.3%
-22.3%
1.3%
4.40%
-5.16%
-2.50%
2002
-20.7%
-23.4%
12.0%
8.1%
3.2%
-0.3%
-29.1%
-23.1%
8.5%
3.60%
17.86%
19.27%
2003
17.4%
13.6%
12.6%
9.0%
2.2%
-1.1%
4.2%
14.9%
10.2%
3.30%
20.19%
21.87%
2004
18.0%
15.2%
10.5%
7.9%
2.0%
-0.4%
6.8%
15.6%
8.3%
2.40%
7.76%
6.87%
2005
17.2%
14.6%
5.6%
3.3%
2.1%
-0.2%
10.9%
14.8%
3.4%
2.30%
-13.22%
-14.16%
2006
33.3%
29.3%
-1.8%
-4.7%
3.0%
-0.1%
35.7%
29.4%
-4.6%
3.10%
11.80%
12.41%
2007
18.3%
15.4%
1.4%
-1.1%
4.0%
1.5%
16.7%
13.8%
-2.5%
2.50%
10.86%
9.17%
2008
-49.7%
-50.9%
9.4%
6.7%
3.3%
0.8%
-54.0%
-51.3%
5.9%
2.49%
-4.91%
-2.64%
2009
40.0%
41.1%
3.4%
4.3%
0.5%
1.4%
35.3%
39.2%
2.9%
-0.84%
3.20%
-0.37%
2010
-6.2%
-7.5%
-13.8%
-15.0%
0.3%
-1.1%
8.8%
-6.5%
-14.0%
1.40%
-6.49%
-6.57%
2011
-20.4%
-23.2%
-31.9%
-34.3%
0.6%
-2.9%
16.9%
-20.9%
-32.3%
3.65%
-3.24%
-2.59%
2012
7.7%
4.8%
77.0%
72.3%
0.1%
-2.6%
-39.2%
7.6%
76.9%
2.77%
1.57%
2.60%
2013
15.6%
15.4%
13.8%
13.6%
0.0%
-0.2%
1.6%
15.6%
13.8%
0.20%
4.52%
3.17%
Source: Elroy Dimson, Paul Marsh and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research