%CUMRET   plots the real value of $1 invested in:
%
%             * Value-weighted stocks on the NYSE, AMEX & Nasdaq
%             * The S&P 500 stocks
%             * Small-firm stocks
%             * U.S. Treasury long-term bonds
%             * U.S. Treasury 1-month bills
%

%         Ellen McGrattan, 4-12-00


load /usr/people/erm/papers/qr2/khil/vwrd.dat
load sbbi2699.dat
x    = sbbi2699;
n    = length(x);
t    = ptime(1926.01,n,12);

rsp  = x(:,2);
rsm  = x(:,4);
rtbo = x(:,6);
rtbi = x(:,10);
rpi  = x(:,11);
rvw  = x(:,12)+x(:,10);
rvw(1:18) = vwrd(1:18,2);

semilogy(t,cumprod(1+rsm-rpi),t,cumprod(1+rsp-rpi),t,cumprod(1+rvw-rpi), ...
         t,cumprod(1+rtbo-rpi),t,cumprod(1+rtbi-rpi))
legend('Small-firm Stocks','S&P 500 Stocks','Value-weighted index', ...
       'U.S. Treasury Bonds','U.S. Treasury Bills')
title('The real value of $1 invested in different assets, 1926-1999')
ylabel('Dollars')

