A Hydro-Québec Requête R-3401-98 Original : 2001-04-24

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A
Hydro-Québec
Requête R-3401-98
RAPPORT RELATIF AUX PRIMES DE RISQUE CANADIENNES SELON
IBBOTSON ASSOCIATES
Original : 2001-04-24
HQT-9, Document 1.7
(En liasse)
IbbotsonAssociates
Canadian
Risk Premia
over Time
Report
2000
The infonnation presented in this publication has been obtalned wlth the greatest of care from sources belleved to be reliable. but is not
guaranteed. Ibbotson Associates and providers of data to Ibbotson Associates make no warrant/es. express or implied. as to the results to be
obtained by subscrlber or others from the use of the data provided hereunder. and there are no express or implied warrant/es of merchantability
or fitness for a particular purpose or use. The accuracy and completeness of the data are not guaranteed. and Ibbotson Associates and its data
providers shall have no liability for errors or omissions with respect to the data or its delivery regardless of the cause of such error or omission.
In no event shall Ibbotson Associates or its data providers have any liabllity for any indirect. special. or consequentiai damages, inciuding but not
limlted to lost profits. Data contained hereunder is proprietary to Ibbotson Associates and its data providers and is for customer's internai use
only: redistribution of the data is expressly forbidden.
Copyright @ 2000 Ibbotson Assoclates. Inc. AlI rights reserved. No part of this publication may be reproduced or used In any form or by any
means- graphlc. electronlc, or mechanlcal. Including photocopying. recordlng, taplng, or Information storage and retrieval systems-wlthout
written permission from the publlsher. To obtaln permission. please write to Ibbotson Assoclates. 225 N. Michigan Ave., Suite 700, Chicago, IL
60601. Speclfy the data or other Information you wlsh to use, the manner In whlch It wl11 be used. and attach a copy of any charts, tables. or
Copyright
() 2000 Ibbotson
Associates,
Inc.
http :!!valua lion. i b bolson .corn
--1
?
Canadian
Risk Premia
(Introduction)
over
Time
Report
The "Canadlan Risk Premla over Tlme Report" provides long-horlzon equlty rlsk premia for your
cholce of historlcal time perlods from 1936-1999. which allows you to customlze your analysis by
chooslng your own start and end date. Premla are presented In both Canadlan dollars and U.S.
dollars (U.S. dollar denorninated data available from 1939-1999 given the avallability of ex change
rate data).
Methodology
The equIty risk premium Is caIculated by subtractlng the long-term arithmetIc average of the yield
on the riskless asset from the long-term arithmetlc average stock market total return (measured over
the same period as the rIskless asset).Then the arithmetic mean (sImple average) annual return for
the two components Is calculated. Once these averagesare computed, the average for the riskless
asset Is subtracted from the average stock market return to form the estimate of the equIty risk
premIum. For example, If Canada had an average stock market return of 12.50 percent and an
average yIeld on Its riskless assetwas 8.00 percent. the equIty risk premIum would be 4.5 percent
(12.50 -8.00).
The equlty risk premia presented In U.S. dollars have been converted at the prevalllng ex change
rate. These figures do not always correspond to the equity risk premium In Canadian dollar terms,
slnce currency fluctuations effect the return on the riskless assetand the market In varylng
magnitudes. For example, suppose the Canadlan dollar depreciates agalnst the U.S. dollar by 2.0
percent In a glven year. Uslng the same example as above, the return on the market In U.S. dollar
terms would be 10.25 percent [(1+0.125)x (1 -0.02) -1], and the return on the riskless asset
would be 5.84 percent [(1+0.08)x (1 -0.02) -I]. The resulting equlty risk premium would be 4.41
percent (10.25- 5.84) compared to 4.50 percent In Canadlan dollar terms.
Riskless Asset
From 1936-1957, the yield on the Canadian long-term government bond from the Canadian
Institute of Actuaries was used to represent the riskless asset.* Generally. the income return is used
to represent the riskless assetsince it is the completely riskless portion of a bond 's return (freasury
securities are subject to price risk) .Unexpected changes in yields will cause capitallosses or gains in
the fixed-income securities. Historical income returns are unbiased estimators of the returns that
investors expected. During the 1936-1957 period, all the necessarydata was unavailable to calculate
the income return. Therefore, the year-end yield was used to approximate the riskless return for the
following year, as it was the unbiased estimate of expected return at that point in time.
From 1957 to present. the income return is calculated from yields provided by the International
Monetary Fund International Financial Statistics. The Canadian Long-term Govemment bond
income retum is used, Long-term series refers to issueswith original maturity of 10 years or more.
Retums are calculated assuming a single bond is bought at par (i,e., the coupon equals the market
yield) at the beginning of each period. The bond is .held .over the period and. sold .at the end of
the period at the then-prevailing market yield. The end-of-perlod price is calculated as a function of
the coupon, yield. and maturity remaining at period-end. The retum in excessof yield (capital
appreciation) is then derived as the change in price over the period, divided by the beginning-ofperiod price (i.e" divided by par). The yield is converted to an income return by lagging it (dividing
it by 12) one period,
Market Returns
The Canadian market is represented by the TSE 300. From 1957 to present. the Toronto Stock
Ex change has provided market retums for the TSE 300. Before 1957. the Canadian Institute of
Actuaries provided market retums.* The TSE 300 Index is a market-float-weighted index of 300 of
the largest capitalized. Canadian incorporated securities traded on the Toronto Stock Ex change
Copyright
O 2000 Ibbotson Associates,
Inc.
Page 2 of 19
IbbotsonAssociates
Canadian
Risk
(Introduction)
Premia
over
Time
Report
(1936-1999). The market value of the outstandlng Index of the shares Is adjusted In order to
subtract slgnlflcant control11ng blocks. resultlng In the adjusted market float value. Slnce 1977 ,
dlvldends have been relnvested at the Index level on a dally basls.
Since 1977, the index has been rebalanced either as soon as possible (i.e. mergers) or on the "ex"
date of the specific action (i.e. dtvidends) wlth any significant changes. On a quarterly basis. the
index Is automatically rebalanced to take into account the accumulation of any small changes within
the quarter.
Selection criteria for the annual constitution of the index:
1) Inclusion: AU common shares and resldual equity of a company may be Included.
2) Excluded: As of February 18, 1997. Limited Partnerships. Royalty Trust. and REITs are
not lncluded. Preferred shares are also not lncluded. though there can be exceptions.
3) Must be listed on the TSE for at least a year. unless the company ls signiflcant (basedon
market value) ln which casethe company may be eligible ln six months.
4) Trading volume for the year before conslderation of inclusion must have been at least
100.000 shares and 100 transactions with a minimum market value of $1 million. The
rebalancing (before 1977) and reconstitution (before 1979) of the TSE 300 index was
disparate in the past. A more detailed methodology is available.
Ex change Rates
The Canadian ex change rate data cornes frorn the three sources listed below
1936 -1959:
Canadian Economic Statistics. 1924-1997 (Canadian Institute of Actuaries)*
1960 -1987: OECD Main Economic Indicators
Economic Cooperation
& Development)
1988 -present:
Historical
Statistics (Organization
for
The Wall Street Journal
Raw data are expressed as a ratio of foreign currency to U.S. dollars. Ibbotson Associates calculates
ex change returns as the monthly percentage change ln exchange rates, representing the return to a
foreign investor holding non-lnterest-bearing U.S. currency.
.This data is used with permission of the Canadian Institute of Actuarles from the .Report of Canadian Economic Statistics. .
How to Use
The report is arranged with start dates across the columns and end dates down the rows. If. for
example. you want to deterrnine the equity risk prernium for Canada in Canadian dollars using the
historical window of 1950-1993. find the 1950 start-date colurnn and the 1993 end-date row. The
intersection provides a statistic of 5.2 percent.
The equity risk premium presented in this report may be used in conjunction with the capital asset
pricing model (CAPM) or the build-up method of estlmatlng the cost of capital.
The Information presented In this publication has been obtained with the greatest care from sources belleved to be rellable,
but not guaranteed. Ibbotson Assoclates expressly disclalms any Ilablllty. Including incldental or consequential damages,
alising from errors or omissions In this publication.
Copyright
10 2000 Ibbotson
Associates,
Inc.
Page3 of 19
IbbotsonAssociates
Canadian
Risk
(Long Horizon
End
Premia
Over
Equity Risk Premium
Time
in Canadian
Report
Dollars)
Start Date
Q.m
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1936
1937
-18.8
1938
-6.4
1939
-5.2
1.5
-2.9
1940
-9.5
-6.4
-12.8
-22.3
1941
-7.9
-5.1
-8.9
.11.8
.1.4
1942
-4.7
.1.9
.3.9
-4.3
4.8
6.0
-1.7
1.2
0.2
1.0
8.7
1944
-0.2
2.5
1.9
2.9
9.2
1945
3.5
6.3
8.4
7.9
13.9
1946
2.7
5.1
5.0
6.1
10.9
1947
2.3
4.4
4.2
5.1
9.0
1946
2.9
4.8
4.7
5.6
9.1
1943
4.2
1949
7.1
1950
8.1
1951
7.3
1952
6.8
1953
6.1
9.1
10.0
9.1
8.4
8.1
9.4
10.3
9.3
8.8
7.0
10.5
11.4
10.2
10.2
13.8
14.4
12.9
9.4
11.8
1954
8.4
10.0
10.3
11.1
13.5
1955
9.3
10.8
11.1
12.0
14.3
1956
9.3
10.8
11.0
11.9
14.0
1957
7.7
9.0
9.2
9.8
11.7
1958
8.6
9.9
10.1
10.7
12.6
1959
8.2
9.4
9.8
10.2
11.9
7.7
1960
8.8
9.0
9.5
11.1
1961
8.5
9.6
9.8
10.4
11.9
1962
7.7
8.8
8.9
9.4
10.8
7.8
1963
8.2
1964
8.8
9.3
8.9
9.4
10.8
9.4
9.9
11.2
10.8
8.0
9.0
9.1
9.5
1966
7.3
8.2
8.3
8.7
9.9
1967
7.5
8.4
8.4
8.9
10.0
1968
7.8
8.6
8.7
9.1
10.2
1969
7.3
8.1
8.2
8.5
9.6
1965
1970
6.7
7.5
7.5
7.9
8.9
1971
6.5
7.3
7.3
7.7
8.6
6.9
1972
6.6
1973
7.7
7.3
7.7
7.3
8.0
9.0
7.6
8.5
1974
5.5
6.1
8.1
6.4
7.3
1975
5.6
6.2
8.2
6.5
7.3
5.5
6.1
8.1
6.4
7.2
1977
5.4
6.0
6.0
6.3
7.0
1978
5.8
6.4
6.4
6.6
7.4
1979
6.5
7.1
7.1
7.3
8.1
1980
6.7
7.3
7.4
7.6
8.4
1976
Copyright
@ 2000 Ibbotson
Associates, Inc.
10.9
13.7
12.7
17.8
13.3
10.7
10.6
11.7
15.5
16.0
14.2
12.9
14.7
15.4
15.0
12.5
13.4
12.6
11.8
12.6
11.4
11.4
11.8
11.3
10.4
10.4
10.6
10.0
9.2
9.0
9.3
8.8
7.5
7.6
7.4
7.3
7.6
8.3
8.6
16.6
13.5
10.5
20.0
21.8
33.1
13.9
13.0
14.3
-4.4
10.7
9.2
8.8
-3.3
-2.3
10.5
9.3
9.0
1.0
3.6
9.6
9.0
14.6
19.7
11.8
11.0
11.1
5.6
16.0
15.9
16.9
13.6
1B.1
24.9
32.6
45.6
16.6
16.6
17.5
14.9
1B.7
24.0
28.8
33.4
21.2
14.6
14.3
14.8
12.2
15.0
18.5
20.7
21.0
8.8
13.1
12.B
13.0
10.5
12.7
15.2
16.3
15.4
5.4
15.0
14.B
15.3
13.3
15.5
18.0
19.5
19.4
12.9
15.7
15.6
16.1
14.4
16.5
18.9
20.2
20.3
15.2
15.3
15.2
15.6
14.0
15.9
17.9
18.9
18.8
14.4
12.6
12.4
12.5
10.8
12.2
13.6
14.1
13.4
8.8
13.6
13.4
13.6
12.1
13.4
14.9
15.4
14.9
11.1
12.8
12.5
12.6
11.2
12.4
13.6
14.0
13.4
9.8
11.8
11.6
11.6
10.2
11.3
12.3
12.5
11.9
8.5
12.7
12.5
12.6
11.3
12.3
13.4
13.7
13.2
10.2
11.4
11.2
11.2
9.9
10.B
11.7
11.8
11.2
8.4
11.4
11.1
11.2
10.0
10.B
11.6
11.7
11.2
8.5
11.8
11.6
11.6
10.5
11.3
12.1
12.3
11.8
9.4
11.3
11.1
11.1
10.0
10.B
11.5
11.7
11.1
8.9
10.4
10.1
10.1
9.0
9.6
10.3
10.3
9.8
7.5
10.4
10.2
10.2
9.1
9.B
10.4
10.4
9.9
7.8
10.6
10.4
10.4
9.4
10.0
10.6
10.7
10.2
8.2
9.9
9.7
9.7
8.7
9.2
9.8
9.8
9.3
7.4
B.4
8.8
8.8
8.3
6.4
9.2
B.9
8.8
7.9
8.9
B.6
8.5
7.6
B.1
8.5
8.5
8.0
6.2
9.3
9.0
9.0
8.1
B.6
9.0
9.0
8.5
6.8
8.7
B.5
8.4
7.5
B.O
8.4
8.3
7.9
6.2
7.4
7.1
7.0
6.1
6.5
6.8
6.7
6.2
4.5
7.5
7.2
7.1
6.2
6.6
6.9
6.8
6.3
4.7
7.3
7.0
6.9
6.1
6.4
6.7
6.6
6.1
4.6
7.2
6.9
6.8
5.9
6.3
6.6
6.5
6.0
4.5
7.5
7.3
7.2
6.4
6.7
7.0
6.9
6.5
5.1
8.3
B.O
8.0
7.2
7.6
7.9
7.8
7.5
6.1
8.5
B.3
8.3
7.6
7.9
8.2
8.2
7.8
6.6
Page 4 of 19
IbbotsonAssociates
Canadian
Risk
(Long Horizon
End
QjjJ
Premia
Over
Equity Risk Premium
Time
in Canadian
Report
Dollars)
Start Date
1981
1936
6.4
1937
6.1
1938
6.6
1939
6.6
1940
6.9
1941
7.6
1942
7.8
1943
7.7
1944
7.5
1982
6.1
5.7
6.3
6.3
6.5
7.2
7.4
7.3
7.1
7.8
7.7
7.5
7.1
7.3
7.2
6.9
6.6
7.2
7.4
7.3
7.1
6.2
6.4
7.0
7.2
7.1
6.9
6.8
7.0
6.9
6.7
1983
1984
1985
1986
6.4
6.0
6.2
6.0
6.1
5.7
5.8
5.7
6.7
6.2
6.4
6.2
6.7
6.2
6.4
6.9
6.4
7.6
1987
5.8
5.5
6.0
6.0
6.2
1988
5.8
5.4
5.9
5.9
6.1
6.7
6.8
6.6
6.5
1989
5.9
5.5
6.0
6.0
6.2
6.8
6.9
6.9
6.6
1990
5.3
5.0
5.4
5.4
5.6
6.1
6.3
6.2
6.0
1991
5.2
4.9
5.4
5.3
5.5
6.1
6.2
6.1
5.9
1992
1993
1994
1995
1996
1997
1998
1999
5.0
5.3
5.1
5.1
5.3
5.4
5.2
5.5
Copyright
4.6
5.0
4.8
4.8
5.1
5.1
4.9
5.2
5.1
5.4
5.2
5.2
5.5
5.5
5.3
5.6
C 2000 Ibbotson
5.1
5.4
5.2
5.6
5.7
6.1
5.9
6.2
5.8
6.1
5.6
5.9
5.9
5.7
6.0
5.9
5.7
6.1
6.2
6.1
5.9
5.6
6.1
6.3
6.2
6.0
5.3
5.4
5.9
6.0
5.9
5.8
5.6
5.8
6.3
6.4
6.3
6.1
5.2
5.2
5.4
5.5
Associates,
5.3
5.3
5.6
Inc.
5.8
5.8
6.0
Page 5 of 19
1945
7.4
7.0
7.4
6.8
7.0
6.8
6.6
6.5
6.6
5.9
5.8
5.5
5.8
5.6
5.6
5.9
5.9
5.7
6.0
1946
6.7
1947
7.0
1948
7.3
1949
7.2
1950
6.8
1951
5.6
6.3
6.6
6.8
6.7
6.3
5.1
6.7
7.0
7.3
7.2
6.9
5.7
6.2
6.5
6.7
6.6
6.2
5.1
6.4
6.6
6.9
6.8
6.4
5.3
6.2
6.5
6.7
6.6
6.2
5.2
6.0
6.2
6.4
6.3
6.0
4.9
4.8
5.8
6.1
6.3
6.2
5.9
6.0
6.2
6.4
6.3
6.0
5.0
5.3
5.5
5.7
5.6
5.2
4.2
5.2
5.4
5.6
5.5
5.2
4.2
4.9
5.1
5.2
5.1
4.8
3.8
5.3
5.5
5.6
5.6
5.2
4.3
5.0
5.2
5.4
5.3
4.9
4.0
5.0
5.2
5.4
5.3
5.0
4.1
5.3
5.5
5.7
5.6
5.3
4.4
5.4
5.6
5.7
5.7
5.4
4.5
5.1
5.3
5.5
5.4
5.1
4.3
5.5
5.7
5.9
5.8
5.5
4.7
IbbotsonAssociates
Canadian
Risk
(Long Horizon
End
Premia
Over
Equity Risk Premium
Time
in Canadian
Report
Dollars)
Start Date
Q.itg
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1936
1937
1938
1939
1940
1M1
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
-3.7
1953
-2.5
-1.4
1954
10.1
17.0
35.3
1955
13.7
19.5
30.0
24.6
1956
13.0
17.2
23.3
17.3
10.1
1957
6.7
8.8
11.3
3.3
-7.3
1958
9.7
11.9
14.5
9.3
4.2
1.3
1959
8.4
10.1
12.1
7.4
3.1
0.8
1960
7.1
8.4
9.8
5.6
1.8
.0.3
1961
9.1
10.6
12.1
8.7
6.1
5.3
1962
1963
1964
7.2
7.5
8.5
8.3
8.5
9.5
9.4
6.1
3.5
.24.7
2.4
6.6
4.4
3.5
10.5
8.0
6.1
5.6
5.7
5.2
9.5
8.0
8.9
9.7
7.4
1966
6.6
7.3
8.0
5.7
4.0
3.4
1967
7.0
7.7
8.3
6.2
4.7
4.2
1968
7.5
8.2
8.8
6.9
5.6
5.2
1969
6.6
7.2
7.8
5.9
4.6
4.2
1970
5.6
6.2
6.6
4.8
3.5
3.0
1971
5.4
5.9
6.3
4.6
3.3
2.9
1965
1972
1973
6.1
5.5
6.6
6.0
7.0
5.5
4.3
4.0
6.3
4.8
3.7
3.3
1.7
1.3
1974
3.8
4.1
4.4
2.9
1975
4.1
4.4
4.7
3.2
2.1
1.7
1976
4.0
4.3
4.5
3.1
2.1
1.7
1977
3.9
4.2
4.4
3.1
2.1
1.7
1978
4.5
4.8
5.1
3.8
2.9
2.6
1979
5.6
5.9
6.2
5.1
4.2
4.0
1980
6.0
6.4
6.7
5.6
4.8
4.6
Copyright
It) 2000 Ibbotson
Associates,
Inc.
27.3
13.5
7.8
12.8
7.8
8.3
10.0
6.9
6.5
7.1
7.9
6.6
5.1
4.9
5.9
5.1
2.8
32
3.1
3.0
3.9
5.3
5.9
00.2
-1.9
-3.5
7.9
12.0
27.6
2.9
4.0
7.7
12.1
4.4
5.6
8.7
-0.8
10.5
7.1
8.5
11.6
6.2
15.4
20.3
6.3
7.4
9.6
5.1
10.8
10.9
1.5
3.9
4.5
5.9
1.5
4.9
3.1
-5.5
.12.6
4.9
5.5
6.8
3.3
6.4
5.4
0.4
-0.2
6.0
6.6
7.9
5.1
8.0
7.5
4.3
5.2
4.7
5.2
6.1
3.4
5.7
4.9
1.8
1.8
3.3
3.6
4.3
1.8
3.5
2.5
-0.5
-0.9
3.1
3.4
4.0
1.7
3.2
2.3
-0.3
-0.6
4.4
4.7
5.4
3.4
4.9
4.3
2.3
2.4
3.6
3.9
4.5
2.5
3.9
3.2
1.3
1.3
1.3
1.4
1.7
-0.3
0.7
00.2
-2.2
-2.7
1.7
1.9
2.2
0.4
1.4
0.6
-1.2
-1.4
1.7
1.9
2.2
0.5
1.4
0.7
-0.9
-1.2
1.8
1.9
2.2
0.6
1.5
0.8
-0.7
-0.9
2.7
2.9
3.2
1.8
2.7
2.1
0.8
0.8
4.2
4.5
4.9
3.6
4.6
4.2
3.1
3.2
4.9
5.1
5.6
4.4
5.3
5.0
4.1
4.2
Page6ofl9
IbbotsonA<3sociates
Canadian
Risk
(Long Horizon
End
QJ!i
1952
5.1
1953
5.4
1982
4.6
4.9
1983
5.2
5.5
1984
4.6
4.9
1986
1987
1988
4.9
4.7
4.5
4.4
5.1
4.9
4.7
4.6
1989
4.5
4.8
1990
3.8
4.0
1991
3.7
3.9
1992
3.4
3.6
1993
3.9
4.1
1994
1995
3.6
3.7
3.8
3.8
1996
4.1
4.2
1997
4.1
4.3
1998
1999
Over
Time
in Canadian
Report
Dollars)
Start Date
1981
1985
Premia
Equity Risk Premium
3.9
4.4
Copyright
4.1
4.5
1954
5.6
5.1
5.7
5.1
5.3
5.1
4.9
4.8
4.9
4.1
4.1
3.7
4.2
3.9
4.0
4.4
4.4
4.2
4.7
tC 2000 Ibbotson
1955
4.5
1956
3.7
1957
3.5
1958
4.7
1959
3.7
4.0
3.2
3.0
4.1
3.1
1965
2.5
1966
2.5
1963
3.8
1964
3.5
2.4
3.2
2.8
1.8
1.8
3.4
4.1
3.8
3.0
3.0
1961
4.2
1962
3.0
3.3
3.6
4.5
1960
3.8
4.7
4.0
3.8
4.8
3.9
4.1
4.0
3.3
3.1
4.1
3.2
3.4
3.7
2.6
3.3
2.9
2.1
2.1
4.4
3.7
3.5
4.5
3.6
3.8
4.1
3.1
3.7
3.4
2.6
2.7
4.2
3.5
3.3
4.3
3.5
3.6
3.9
2.9
3.5
3.2
2.5
2.5
4.0
3.3
3.1
4.0
3.2
3.3
3.6
2.7
3.3
3.0
2.2
2.2
3.9
3.2
3.0
3.9
3.1
3.2
3.5
2.6
3.2
2.9
2.1
2.2
4.1
3.5
3.3
4.1
3.4
3.5
3.8
2.9
3.5
3.2
2.5
2.5
3.3
2.7
2.4
3.3
2.5
2.6
2.8
1.9
2.4
2.2
1.5
1.4
3.2
2.6
2.4
3.2
2.5
2.6
2.8
1.9
2.4
2.1
1.5
1.5
2.9
2.3
2.1
2.8
2.1
2.2
2.4
1.5
2.0
1.7
1.0
1.0
3.4
2.9
2.7
3.4
2.7
2.8
3.0
2.3
2.7
2.5
1.8
1.9
2.0
2.4
2.1
1.5
1.5
3.1
2.6
2.4
3.1
2.4
2.5
2.7
2.6
2.8
2.1
2.5
2.2
1.7
1.7
2.7
2.5
3.2
2.5
3.6
3.1
2.9
3.6
3.0
3.1
3.3
2.6
3.0
2.8
2.3
2.3
3.7
3.2
3.1
3.8
3.2
3.2
3.4
2.8
3.2
3.0
2.4
2.5
3.5
3.0
2.8
3.5
2.9
3.0
3.1
2.5
2.9
2.7
2.2
2.2
4.0
3.5
3.4
4.0
3.5
3.6
3.7
3.1
3.5
3.3
2.8
2.9
Associates,
Inc.
3.2
Page 7 of 19
IbbotsonAssociates
Canadian
Risk
(Long Horizon
Premia
Over
Equity Risk Premium
Time
in Canadian
Report
Dollars)
End
Qm
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
12.3
1968
14.1
1969
6.6
3.8
-8.2
1970
2.0
-1.4
-10.0
1971
1.8
-0.8
-6.3
-5.4
1.0
1972
5.0
3.5
0.4
3.3
10.8
1973
3.2
1.7
-1.1
0.7
4.8
6.7
-7.0
1974
-1.4
-3.4
-6.6
-8.3
-4.9
-6.9
-20.6
-34.1
1975
-0.2
-1.8
-4.3
-3.6
-2.0
-2.7
-10.5
-12.2
1976
0.0
-1.4
-3.5
-2.9
-1.4
-1.9
-7.5
-7.6
5.6
1977
0.2
-1.0
-2.9
-2.2
-0.9
-1.2
-5.5
-5.2
4.5
1978
1.9
1.0
-0.5
0.3
1.8
1.9
-1.2
0.0
8.5
1979
4.4
3.8
2.7
3.8
5.5
6.1
4.0
5.8
13.8
1980
5.5
4.9
4.0
5.1
6.8
7.5
5.8
7.7
14.6
Copyright
15.8
e> 2000 Ibbotson
-11.8
Associates,
Inc.
20.5
Page 8 of 19
9.6
1.6
1.9
8.2
14.9
15.6
2.1
11.5
20.8
19.3
27.9
35.0
19.1
24.8
26.8
IbbotsonAssociates
18.5
Canadian
Risk
(Long Horizon
End
Premia
Over
Equity Risk Premium
Time
in Canadian
Report
Dollars)
Start Date
Qm
1978
12.7
1979
10.0
1980
1981
-2.4
-23.4
7.3
8.3
5.2
-4.8
-16.4
9.6
10.9
8.9
2.4
-3.0
6.0
6.6
7.2
5.0
-1.0
-5.9
7.1
6.8
7.4
8.0
6.2
1.4
-2.0
3.3
6.4
6.1
6.5
7.0
5.3
1.1
-1.6
2.1
2.8
5.6
5.3
5.6
6.0
4.3
0.5
-2.1
3.1
2.1
2.7
5.3
4.9
5.2
5.5
4.0
0.5
-1.7
3.4
3.6
2.6
3.2
5.7
5.4
5.7
6.0
4.6
1.6
.0.3
1968
2.9
1969
1981
1.9
1970
2.7
1971
4.1
1972
4.4
1973
2.6
1974
3.8
1975
9.2
1976
9.1
1977
10.6
1982
2.1
1.1
1.8
2.9
3.1
1.4
2.3
6.9
6.5
4.8
3.4
4.5
8.7
8.6
3.2
3.3
1.9
2.7
6.4
3.9
4.1
2.8
3.6
2.7
3.6
3.7
2.5
2.3
3.2
3.3
1.7
2.2
3.0
3.4
1983
2.4
1984
3.0
1985
2.8
1986
2.5
1987
2.4
1988
2.6
1.5
2.2
2.1
1.8
3.4
2.2
2.9
4.5
1989
2.8
2.2
2.7
1990
1.6
0.9
1.4
2.0
2.1
1.1
1.5
3.8
3.4
3.5
3.6
2.2
-0.8
-2.7
1991
1.6
1.0
1.4
2.0
2.1
1.1
1.6
3.6
3.3
3.4
3.5
2.1
-0.6
-2.3
1992
1.1
0.5
0.9
1.5
1.5
0.5
0.9
2.9
2.5
2.5
2.6
1.3
-1.3
-3.0
3.9
2.8
0.5
.0.9
2.0
1993
1.6
1994
1.8
1995
2.4
1996
2.6
1997
2.3
1998
3.1
1999
Copyright
1.5
1.1
1.3
2.0
2.2
1.9
2.7
@ 2000 Ibbotson
1.7
2.1
4.0
3.7
3.8
2.1
1.2
1.6
3.4
3.1
3.2
3.2
2.1
-0.1
-1.4
2.2
1.4
1.8
3.5
3.2
3.3
3.4
2.3
0.3
.0.9
2.9
3.0
2.2
2.6
4.3
4.1
4.2
4.3
3.4
1.5
0.4
2.6
3.1
3.2
2.5
2.9
4.5
4.2
4.4
4.5
3.6
1.9
0.9
2.2
2.7
2.8
2.1
2.5
4.0
3.7
3.8
3.9
3.1
1.4
0.5
3.0
3.5
3.6
3.0
3.4
4.9
4.7
4.8
4.9
4.2
2.7
1.8
Associates,
Inc.
1.9
1.5
1.6
2.3
2.5
2.0
2.2
2.5
Page9 of 19
IbbotsonAssociates
Canadian
Risk
(Long Horizon
End
Qm
Premia
Over
Equity Risk Premium
rime
in Canadian
Report
Dollars)
Start Date
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
Copyright
@ 2000 Ibbotson
Associates,
Inc.
Page 10 of 19
IbbotsonAssociates
1997
1998
1999
Canadian
Risk
(Long Horizon
Premia
Over
Equity Risk Premium
Time
in Canadian
Report
Dollars)
End
Qm
1981
1982
-9.5
1983
7.2
23.8
1984
00.1
4.6
1985
3.3
7.6
00.5
13.6
1986
2.5
5.5
00.6
6.3
.0.9
1987
1.5
3.7
-1.4
3.0
-2.2
-3.6
1988
1.4
3.2
00.9
2.5
-1.2
-1.4
1989
2.6
4.3
1.1
4.2
1.9
2.8
6.0
11.2
1990
00.5
0.7
-2.6
-0.6
-3.5
-4.1
-4.3
-6.8
-24.9
1991
00.2
0.8
-2.1
-0.3
-2.6
-2.9
-2.8
-4.0
-11.5
1. 8
-4.3
-5.6
-11.1
-4. 3
-10.3
0.5
0.4
-2.3
5 2
7.0
24.3
-3.4
2 O
2.0
1992
1993
1994
1995
-1.1
1.0
0.3
0.7
-14.6
00.3
1.9
1.1
1.5
-3.0
00.3
-1.0
-1.5
1.3
0.4
-3.7
-0.2
-4.2
-0.1
0.8
-1.1
-1.1
.0.7
-1.0
8.2
-7.9
0.1
0.0
-1.9
2 .7
3.0
7.4
-0.4
0.9
-0.4
-0.3
-1.1
5.7
1.6
1.8
2.4
2.6
1.4
5 .7
6.5
10.8
6.2
13.3
20.9
1996
2.0
2.8
1.2
2.6
1997
2.4
3.2
1.7
3.0
2.1
2.4
3.0
3.2
2.2
6 .1
6.8
10.3
6.8
11.6
14.6
8.4
1998
1.9
2.6
1.1
2.3
1.4
1.6
2.1
2.2
1.2
4 .5
4.8
7.4
4.0
6.9
7.3
0.6
-7.2
4.1
4.4
6 .9
7.5
10.1
7.7
10.8
12.1
9.2
9.6
1999
3.2
4.0
Copyright
2.7
3.9
3.2
3.5
~ 2000 Ibbotson Associates,
Inc.
3.7
Pagellof19
IbbotsonAssociates
26.3
Canadian
(Long
End
Qi1i
Start
-
Risk
Horizon
Equity
Premia
Over
Risk Premium
in U.S.
rime
Report
Dollars)
Date
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1939
1940
-22.3
1941
-11.8
-1.4
1942
-4.3
4.8
10.9
1943
1.0
8.7
13.7
1944
2.9
9.2
12.7
13.5
10.5
1945
7.9
14.0
17.8
20.1
21.9
33.4
1946
7.5
12.5
15.3
16.4
16.3
19.2
1947
6.3
10.4
12.4
12.7
11.7
12.1
1.4
-2.3
10.3
12.0
12.1
11.2
11.4
4.1
3.6
10.8
10.9
5.3
5.4
9.2
8.8
17.8
14.7
17.1
23.6
30.6
52.4
18.6
23.8
28.5
38.4
24.4
21.9
26.2
13.1
1946
6.7
1949
6.9
1950
11.0
1951
12.1
10.1
14.4
15.3
11.6
16.1
16.9
16.6
11.7
16.8
17.6
16.8
17.7
18.8
5.1
16.3
9.6
1.8
1952
11.3
14.2
15.6
16.0
16.0
16.7
14.3
15.8
19.4
1953
10.4
12.9
14.1
14.4
14.2
14.6
12.3
13.3
15.9
17.2
19.2
8.2
0.1
-1.7
1954
12.1
14.6
15.8
16.2
16.2
16.8
14.9
16.1
18.8
20.3
22.6
15.2
12.1
17.2
1955
12.7
15.0
16.2
16.6
16.6
17.1
15.5
16.6
19.0
20.4
22.3
16.3
14.2
18.4
12.8
15.0
16.1
16.4
16.4
16.9
15.4
16.4
18.5
19.6
21.2
16.0
14.3
17.4
10.6
12.6
13.4
13.6
13.4
13.6
12.0
12.6
14.1
14.6
15.3
10.0
7.6
8.7
14.4
14.7
13.3
13.9
15.4
16.0
16.8
12.4
10.6
12.1
13.6
13.8
12.4
13.0
14.2
14.6
15.2
11.1
9.4
10.5
11.8
12.9
13.1
13.5
9.6
8.0
8.8
10.7
9.4
10.2
1956
1957
1958
11.6
13.5
14.3
14.6
1959
11.1
12.8
13.6
13.8
1960
10.4
12.0
12.7
12.8
12.6
12.7
11.3
1961
10.9
12.5
13.2
13.3
13.1
13.2
12.0
12.4
13.5
13.8
14.2
1962
9.8
11.2
11.8
11.9
11.6
11.7
10.4
10.7
11.6
11.7
12.0
8.6
7.2
7.7
1963
9.8
11.2
11.7
11.8
11.5
11.6
10.4
10.7
11.5
11.6
11.8
8.7
7.4
7.9
11.6
12.1
12.2
12.0
12.1
11.0
11.3
12.1
12.2
12.5
9.6
8.5
9.0
11.2
11.7
11.7
11.5
11.6
10.5
10.8
11.5
11.6
11.8
9.1
8.0
8.4
10.4
10.4
9.3
9.6
10.2
10.2
10.3
7.7
6.5
6.9
10.5
10.5
9.5
9.7
10.3
10.3
10.4
8.0
6.9
7.3
10.8
10.8
9.8
10.0
10.6
10.7
10.8
8.4
7.5
7.9
9.8
9.8
9.8
7.6
6.6
6.9
9.0
9.0
9.0
6.9
5.9
6.2
6.6
5.7
5.9
1964
10.2
1965
9.9
1966
9.0
10.2
10.7
10.7
1967
9.2
10.3
10.8
10.8
9.4
1968
10.6
11.0
11.0
1969
8.8
9.9
10.3
10.3
10.0
10.0
9.1
9.2
1970
8.3
9.4
9.7
9.7
9.4
9.4
8.4
8.6
1971
8.1
9.1
9.5
9.4
9.2
9.1
8.2
8.3
8.8
8.7
8.7
1972
8.5
9.5
9.9
9.8
9.6
9.6
8.7
8.8
9.3
9.2
9.3
7.3
6.5
6.7
8.1
9.0
9.3
9.3
9.0
9.0
8.1
8.2
8.6
8.6
8.6
6.7
5.9
6.1
8.0
7-9
7.7
7.6
6.7
6.7
7.1
7.0
6.9
5.0
4.1
4.3
7.9
7.6
7.5
6.7
6.7
7.1
7.0
6.9
5.1
4.3
4.4
7.5
7.4
6.5
6.6
6.9
6.8
6.7
5.0
4.2
4.3
7.0
6.2
6.2
6.5
6.4
6.3
4.6
3.8
3.9
6.3
6.6
6.5
6.5
4.8
4.1
4.2
7.3
7.6
7.5
7.5
5.9
5.3
5.4
7.5
7.8
7.8
7.7
6.3
5.6
5.8
1973
1974
6.9
1975
6.9
1976
6.8
1977
6.4
7.7
7.7
7.6
7.2
8.0
7.8
7.4
7.7
7.4
7.1
1978
6.6
7.3
7.6
7.5
7.2
7.1
6.3
1979
7.3
8.1
8.3
8.3
8.0
8.0
7.2
1980
7.5
Copyright
8.3
() 2000 Ibbotson
8.5
Associates,
8.5
Inc.
8.2
8.2
7.5
Page 12 of 19
IbbotsonAssociates
Canadiar)
Risk
(Long HorizonlEquity
End
Q.It!
Premia
Over
Risk Premium
rime
Report
in U.S. Dollars)
Start Date
1940
6.8
1981
6.4
1982
6.7
1983
6.1
1984
6.2
1985
1941
7.5
7.0
7.4
6.8
6.8
1942
1943
7.7
7.7
7.2
7.6
7.0
7.0
7.2
7.5
6.9
6.9
1944
7.4
1945
7.3
1946
6.6
1947
1948
6.9
1949
68
1950
6.8
1951
5.3
1952
4.7
1953
6.7
6.9
6.8
6.1
6.1
6.4
6.3
6.2
4.8
4.1
4.2
6.6
6.8
6.7
6.7
5.3
4.7
4.8
6.1
6.0
5.9
4.6
4.0
6.0
4.6
4.0
4.1
5.8
4.5
3.9
4.0
7.3
6.6
6.7
7.2
6.5
6.6
6.5
5.9
5.9
5.9
5.9
6.1
6.0
6.0
5.9
4.8
4.1
1986
6.0
6.7
6.8
6.7
6.5
6.4
5.8
5.8
1987
6.0
6.6
6.7
6.6
6.4
6.3
5.7
5.7
5.9
5.8
5.7
4.5
3.9
4.0
1988
6.0
6.6
6.8
6.7
6.5
6.4
5.8
5.8
6.0
5.9
5.8
4.6
4.1
4.1
6.2
6.8
7.0
6.9
6.7
6.6
6.0
6.0
6.2
6.1
6.0
4.9
4.3
4.4
6.3
6.2
6.0
5.9
5.3
5.3
5.5
5.4
5.3
4.1
3.6
3.6
5.9
5.8
5.2
5.2
5.4
5.3
5.2
4.1
3.6
3.6
4.7
4.9
4.8
4.7
3.5
3.0
3.0
3.9
3.4
3.4
1989
5.6
1990
5.5
1991
5.1
1992
6.2
6.1
5.6
6.2
5.7
6.1
5.6
5.4
5.3
4.7
1993
5.3
5.9
6.0
5.9
5.7
5.6
5.0
5.0
5.2
5.1
5.0
1994
5.0
5.5
5.6
5.5
5.3
5.2
4.7
4.6
4.8
4.7
4.6
3.5
3.0
3.0
1995
5.1
5.6
5.7
5.6
5.4
5.3
4.7
4.7
4.9
4.8
4.7
3.6
3.1
3.2
1996
5.3
5.8
6.0
5.9
5.7
5.0
5.0
5.2
5.1
5.0
4.0
1997
5.8
5.9
5.8
5.6
5.0
5.0
1998
5.5
5.6
5.5
5.3
5.2
4.7
4.7
5.1
4.7
5.0
4.6
4.0
5.0
5.2
4.8
3.6
3.5
3.5
3.2
3.6
5.3
5.6
5.5
6.0
6.1
6.0
5.8
5.7
5.2
5.2
5.4
5.3
5.2
4.2
3.8
3.9
5.5
1999
Copyright
@ 20001 Ibbotson
Associates,
Inc
Page 13of19
IbbotsonAssociates
3.6
3.2
Canadian
Risk
(Long Horizon
End
Qitg
Premia
Over
Equity Risk Premium
Time
Report
in U.S. Dollars)
Start Date
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
36.1
1955
28.4
20.7
1956
23.8
17.6
14.5
1957
11.3
3.1
-5.7
-26.0
1958
14.8
9.5
5.8
1.5
28.9
1959
12.6
7.9
4.6
1.3
15.0
1.1
10.3
6.0
3.0
0.1
8.8
-1.2
-3.5
8.2
6.1
4.5
12.1
6.4
9.1
21.8
5.3
3.1
1.2
6.7
1.1
1.1
3.5
.14.9
5.7
-2.3
10.2
9.5
5.4
15.6
21.0
1960
1961
1962
11.7
8.7
1963
8.9
5.9
4.0
2.5
7.3
2.9
3.4
1964
10.0
7.4
5.9
4.8
9.2
5.9
6.9
1965
9.3
6.8
5.5
4.4
8.3
5.3
6.0
7.9
4.4
10.9
11.2
1.4
1966
7.5
5.2
3.8
2.7
5.9
3.0
3.2
4.4
0.9
4.8
3.1
-5.9
1967
7.9
5.7
4.5
3.6
6.5
4.0
4.4
5.5
2.8
6.4
5.4
0.2
00.4
12.6
1968
8.5
6.5
5.4
4.7
7.5
5.3
5.8
6.9
4.8
8.1
7.7
4.4
5.3
14.6
16.7
1969
7.4
5.5
4.5
3.7
6.2
4.1
4.4
5.3
3.2
5.8
5.0
1.8
2.0
7.0
4.3
3.7
3.0
5.2
3.2
3.4
4.1
2.1
4.3
3.4
0.5
0.3
3.7
0.7
3.6
2.9
5.0
3.1
3.3
3.9
2.1
4.0
3.2
0.7
0.6
3.3
1.0
3.3
3.5
6.3
5.1
1970
1971
6.6
6.4
4.8
4.6
-13.3
1972
7.2
5.6
4.7
4.0
6.0
4.4
4.7
5.4
3.9
5.7
5.2
1973
6.4
4.9
4.0
3.4
5.2
3.6
3.8
4.4
2.9
4.6
4.0
2.1
2.2
4.4
3.1
1974
4.5
3.0
2.0
1.3
2.9
1.3
1.3
1.7
0.1
1.4
0.6
-1.5
-1.8
-0.4
-2.2
1975
4.6
3.1
2.3
1.6
3.2
1.6
1.7
2.0
0.6
1.8
1.1
.0.7
00.9
0.5
-1.1
1976
4.5
3.1
2.3
1.7
3.1
1.7
1.7
2.0
0.7
1.8
1.2
-0.5
00.6
0.6
-0.7
1977
4.1
2.7
1.9
1.3
2.7
1.3
1.3
1.6
0.3
1.3
0.7
-0.9
-1.1
0.1
-1.2
1978
4.4
3.1
2.3
1.8
3.1
1.8
1.8
2.1
1.0
2.0
1.4
0.0
00.1
1.0
0.0
1979
5.7
4.4
3.8
3.3
4.6
3.5
3.6
4.0
3.0
4.0
3.6
2.5
2.6
3.8
3.0
4.9
4.3
3.8
5.1
4.0
4.2
4.6
3.7
4.7
4.4
3.3
3.4
4.6
4.0
1980
6.0
Copyright
() 2000 lbbotson
Associates,
Inc.
Page 14 of 19
IbbotsonAssociates
Canadian
Risk
(Long Horizon
End
Q!1§
Premia
Over
Equity Risk Premium
Time
Report
in U.S. Dollars)
Start Date
1955
3.9
1981
3.3
1982
1956
3.2
2.6
1957
1958
1960
3.0
1961
3.3
1965
1966
1967
1968
2.3
1963
3.2
1964
4.0
1959
2.9
1962
2.8
2.9
1.8
1.8
2.8
2.1
3.3
2.2
2.3
2.5
1.6
2.4
2.0
1.0
1.0
1.8
1.1
3.0
2.1
2.1
3.0
2.4
1.0
1.0
1.8
1.2
2.2
1983
3.9
3.3
2.9
4.0
3.0
3.1
3.4
2.6
3.4
1984
3.1
2.5
2.1
3.1
2.2
2.2
2.4
1.6
2.3
2.0
1985
3.3
2.7
2.3
3.3
2.3
2.4
2.6
1.8
2.6
2.2
1.3
1.3
2.1
1.5
1986
3.2
2.6
2.2
3.2
2.3
2.3
2.5
1.8
2.5
2.1
1.3
1.3
2.0
1.4
1987
3.2
2.6
2.2
3.2
2.3
2.3
2.5
1.8
2.5
2.1
1.3
1.3
2.0
1.5
1988
3.4
2.8
2.5
3.4
2.5
2.6
2.8
2.1
2.6
2.5
1.7
1.7
2.4
1.9
1989
3.7
3.2
2.8
3.7
2.9
3.0
3.2
2.5
3.2
2.9
2.2
2.2
2.9
2.5
1990
2.9
2.4
2.0
2.9
2.0
2.1
2.3
1.6
2.2
1.9
1.1
1.1
1.7
1.3
1.6
2.2
1.9
1.2
1.2
1.8
1.3
0.5
0.4
1.0
0.5
2.9
1991
2.4
2.0
2.8
2.1
2.1
2.3
1992
2.3
1.8
1.4
2.2
1.4
1.5
1.6
1.0
1.5
1.2
1993
2.7
2.3
1.9
2.7
2.0
2.0
2.2
1.5
2.1
1.8
1.1
1.1
1.7
1.2
1994
2.3
1.9
1.5
2.3
1.5
1.6
1.7
1.1
1.6
1.3
0.7
0.6
1.1
0.7
1995
2.5
2.0
1.7
2.5
1.7
1.8
1.9
1.3
1.8
1.5
0.9
0.9
1.4
1.0
1996
2.9
2.5
2.2
2.9
2.2
2.3
2.4
1.9
2.4
2.1
1.5
1.5
2.0
1.7
1997
2.9
2.5
2.2
2.9
2.3
2.3
2.5
1.9
2.4
2.2
1.6
1.6
2.1
1.7
1998
2.6
2.2
1.9
2.5
1.9
1.9
2.0
1.5
2.0
1.7
1.2
1.2
1.6
1.2
2.9
2.6
3.3
2.7
2.7
2.9
2.4
2.8
2.6
2.1
2.1
2.6
2.3
3.3
1999
Copyright
CI 2000 Ibbotson
Associates,
Inc.
Page 15 of 19
IbbotsonAssociates
Canadian
Risk
(Long Horizon
End
QJ.:ti
Premia
Over
Equity Risk Premium
Time
Report
in U.S. Dollars)
Start Date
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
-8.2
1970
-7.3
-6.4
1971
-4.2
-2.2
1.9
1972
2.2
5.6
11.6
1973
0.3
2.5
5.4
7.1
-7.1
1974
-5.4
-4.8
-4.4
-6.5
-20.4
-33.8
1975
-3.6
-2.8
-2.1
-3.2
-11.3
-13.4
6.9
1976
-2.9
-2.1
-1.4
-2.0
-7.9
-8.2
4.6
2.4
1977
-3.2
-2.6
-2.0
-2.7
-7.5
-7.6
1.2
-1.7
1978
-1.7
-1.0
-0.3
-0.7
-4.3
-3.8
3.7
2.7
2.8
11.4
1979
1.8
2.8
3.8
4.1
1.6
3.0
10.4
11.3
14.2
24.2
37.1
1980
3.0
4.0
5.0
5.4
3.4
4.9
11.3
12.2
14.6
21.5
26.5
Copyright
@ 2000 lbbotson
21.3
Associates,
Inc.
Page 16of19
-5.8
15.9
IbbotsonAssociates
1982
1983
Canadian
Risk
(Long Horizon
End
QItg
Premia
Over
Equity Risk Premium
Time
Report
in U.S. Dollars)
Start Date
1982
1983
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
2.5
2.5
0.5
1.4
6.4
6.4
7.1
10.4
10.0
-3.5
-22.8
1.2
1.2
.0.8
.0.2
4.0
3.6
3.8
5.8
4.4
-6.5
-17.8
2.9
2.9
1.3
2.1
6.1
6.0
6.5
8.5
7.9
0.7
-4.4
4.8
1.2
1.2
.0.5
0.1
3.5
3.1
3.2
4.5
3.4
-3.4
-8.2
-3.3
1.4
1985
1.2
1.7
1.6
0.1
0.7
3.9
3.6
3.7
4.9
3.9
-1.6
-5.1
-0.6
3.4
1988
1.1
1.6
1.6
0.1
0.7
3.6
3.3
3.4
4.4
3.5
-1.3
-4.2
00.4
2.6
1987
1.2
1.6
1.6
0.3
0.8
3.5
3.2
3.3
4.2
3.4
-0.8
-3.2
0.0
2.6
3.9
3.7
3.8
4.7
4.0
0.3
-1.6
1.4
3.6
0.2
3.1
5.3
1.5
1981
1970
1.8
1982
0.6
1983
2.2
1984
0.7
1.6
1988
2.1
2.1
0.9
1.4
-12.7
22.3
1989
2.3
2.7
2.8
1.7
2.2
4.6
4.5
4.6
5.5
5.0
1.8
1990
1.0
1.3
1.3
0.2
0.6
2.8
2.5
2.5
3.2
2.5
.0.7
-2.3
-0.1
1991
1.0
1.4
1.4
0.3
0.7
2.7
2.5
2.5
3.1
2.4
-0.4
-1.9
0.2
1.6
1992
0.2
0.5
0.4
.0.6
.0.3
1.6
1.3
1.2
1.7
1.0
-1.8
-3.3
-1.5
00.4
1993
1.0
1.3
1.3
0.3
0.7
2.5
2.3
2.3
2.8
2.2
-0.3
-1.6
0.2
1.4
1994
0.4
0.7
0.7
.0.3
0.0
1.7
1.5
1.4
1.8
1.2
-1.2
-2.4
-0.8
0.2
1995
0.7
1.0
1.0
0.1
0.4
2.1
1.8
1.8
2.2
1.7
-0.5
-1.6
-0.1
0.8
0.9
1.3
2.9
2.7
2.7
3.2
2.7
0.7
-0.3
1.2
2.2
1.1
1.4
2.9
2.7
2.8
3.2
2.8
0.9
0.0
1.4
2.3
2.3
2.1
2.0
2.4
2.0
0.1
-0.8
0.5
1.4
3.5
1.8
1.1
2.4
3.3
1.5
1996
1.6
1997
1.0
1998
2.1
1999
Copyright
~ 2000
1.8
1.8
1.3
2.4
Ibbotson
1.8
1.8
1.3
2.4
Associates,
0.5
1.7
Inc.
0.8
2.1
3.5
3.4
Page 17ofl9
3.4
3.8
IbbotsonAssociates
Canadian
Risk
(Long Horizon
End
~
Premia
Over
Equ,ty Risk Premium
Time
Report
in U.S. Dollars)
Start Date
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1939
1940
1M1
1M2
1M3
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
Copyright
~ 2000 Ibbotson
Associates,
Inc.
Page 18 of 19
IbbotsonAc:>sociates
1998
1999
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