A colleague passed on this information from the Canadian Real Estate Agency which shows the 20 year annualized returns and standard deviation data for average residential properties in the following cities for the period ending March 31st, 2008. Standard Deviation is a measure of the volatility of the returns – a higher standard deviation indicates wilder swings in price essentially.
20 Years Ending March 31st, 2008
Toronto Homes: 3.3% Annualized Return, 9.5% Standard Deviation
Vancouver Homes: 7.3% Annualized Return, 12.0% Standard Devitation
Calgary Homes: 7.6% Annualized Return, 8.7% Standard Deviation
Halifax-Dartmouth: 4.5% Annualized Return, 18.6% Standard Deviation
Ottawa-Carleton: 4.1% Annualized Return, 9.6% Standard Deviation
As a comparison, I looked up the annualized return of the TSX from March 1988 to March 2008 through DFA’s Returns Software and found it earned 9.93% with an annual standard deviation of 14.03%.
As per the request of a reader, here are some other index data from March 1988 to March 2008:
Russell 3000 (CAD$): 9.60% Annualized Return, 13.02% SD
S&P500 (CAD$): 9.61% Annualized Return, 13.06% SD
CRSP 1-10 (CAD$): 9.63% Annualized Return, 13.18% SD
The above data is adjusted to Canadian dollars, and I should point out that all the annual standard deviation data shown on this entire post is calculated based on the monthly returns (which I actually think might be better than just looking at the annual returns for calculating standard deviation). The CRSP 1-10 refers to the “crisp” database, deciles one through 10. CRSP = Center for Research in Security Prices and deciles one through ten represent every US stock.
Just in case anyone is curious, here are the US index numbers in their native US currency:
Russell 3000 (US$): 10.72% Annualized Average, 13.63% SD
S&P 500 (US$): 10.73% Annualized Average, 13.57% SD
CRSP 1-10 (US$): 10.75% Annualized Average, 13.87% SD
Canadian Inflation as measured by CPI was 2.40% during this time period.