%RETURNS  plots the annual returns for:
%
%             * 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;
t     = 1926:1999;

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);

z     = zeros(12,74);
z(:)  = rsp;
arsp  = (prod(1+z)'-1)*100;
z(:)  = rsm;
arsm  = (prod(1+z)'-1)*100;
z(:)  = rtbo;
artbo = (prod(1+z)'-1)*100;
z(:)  = rtbi;
artbi = (prod(1+z)'-1)*100;
z(:)  = rvw;
arvw  = (prod(1+z)'-1)*100;

str1  = ['Small-firm Stocks (',num2str(mean(arsm)),')'];
str2  = ['S&P Stocks (',num2str(mean(arsp)),')'];
str3  = ['Value-weighted index (',num2str(avgnan(arvw)),')'];
str4  = ['U.S. Treasury Bonds (',num2str(mean(artbo)),')'];
str5  = ['U.S. Treasury Bills (',num2str(mean(artbi)),')'];
str6  = 'NOTE: averages in parentheses';
plot(t,arsm,t,arsp,t,arvw,t,artbo,t,artbi, ...
     t,NaN*arsp,'white',t,NaN*arsp,'white')
title('Annual nominal returns for different assets, 1926-1999')
legend(str1,str2,str3,str4,str5,' ',str6);
v     = axis;
axis([v(1),v(2),-150,150])
