Annual Returns on Stock, T.Bonds and T.Bills: 1928 - Current


The raw data for treasury bond and bill returns is obtained from the Federal Reserve database in St. Louis (FRED). The treasury bill rate is a 3-month rate and the trreasury bond is the constant maturity 10-year bond, but the treasury bond return includes coupon and price appreciation. It will not match the treasury bond rate each period. For more details, download the excel spreadsheet that contains the same data.

You can get the excel spreadsheet that contains all of this data and more here: http://www.stern.nyu.edu/~adamodar/pc/datasets/histretSP.xls

Annual Returns on Investments in Compounded Value of $ 100
Year
S&P 500
3-month T.Bill
10-year T. Bond
Stocks
T.Bills
T.Bonds
Stocks - Bills
Stocks - Bonds
Historical risk premium
1928
43.81%
3.08%
0.84%
$143.81
$103.08
$100.84
40.73%
42.98%
1929
-8.30%
3.16%
4.20%
$131.88
$106.34
$105.07
-11.46%
-12.50%
1930
-25.12%
4.55%
4.54%
$98.75
$111.18
$109.85
-29.67%
-29.66%
1931
-43.84%
2.31%
-2.56%
$55.46
$113.74
$107.03
-46.15%
-41.28%
1932
-8.64%
1.07%
8.79%
$50.66
$114.96
$116.44
-9.71%
-17.43%
1933
49.98%
0.96%
1.86%
$75.99
$116.06
$118.60
49.02%
48.13%
1934
-1.19%
0.32%
7.96%
$75.09
$116.44
$128.05
-1.51%
-9.15%
1935
46.74%
0.18%
4.47%
$110.18
$116.64
$133.78
46.57%
42.27%
1936
31.94%
0.17%
5.02%
$145.38
$116.84
$140.49
31.77%
26.93%
1937
-35.34%
0.30%
1.38%
$94.00
$117.19
$142.43
-35.64%
-36.72%
1938
29.28%
0.08%
4.21%
$121.53
$117.29
$148.43
29.21%
25.07%
1939
-1.10%
0.04%
4.41%
$120.20
$117.33
$154.98
-1.14%
-5.51%
1940
-10.67%
0.03%
5.40%
$107.37
$117.36
$163.35
-10.70%
-16.08%
1941
-12.77%
0.08%
-2.02%
$93.66
$117.46
$160.04
-12.85%
-10.75%
1942
19.17%
0.34%
2.29%
$111.61
$117.85
$163.72
18.84%
16.88%
1943
25.06%
0.38%
2.49%
$139.59
$118.30
$167.79
24.68%
22.57%
1944
19.03%
0.38%
2.58%
$166.15
$118.75
$172.12
18.65%
16.45%
1945
35.82%
0.38%
3.80%
$225.67
$119.20
$178.67
35.44%
32.02%
1946
-8.43%
0.38%
3.13%
$206.65
$119.65
$184.26
-8.81%
-11.56%
1947
5.20%
0.57%
0.92%
$217.39
$120.33
$185.95
4.63%
4.28%
1948
5.70%
1.02%
1.95%
$229.79
$121.56
$189.58
4.68%
3.75%
1949
18.30%
1.10%
4.66%
$271.85
$122.90
$198.42
17.20%
13.64%
1950
30.81%
1.17%
0.43%
$355.60
$124.34
$199.27
29.63%
30.38%
1951
23.68%
1.48%
-0.30%
$439.80
$126.18
$198.68
22.20%
23.97%
1952
18.15%
1.67%
2.27%
$519.62
$128.29
$203.19
16.48%
15.88%
1953
-1.21%
1.89%
4.14%
$513.35
$130.72
$211.61
-3.10%
-5.35%
1954
52.56%
0.96%
3.29%
$783.18
$131.98
$218.57
51.60%
49.27%
1955
32.60%
1.66%
-1.34%
$1,038.47
$134.17
$215.65
30.94%
33.93%
1956
7.44%
2.56%
-2.26%
$1,115.73
$137.60
$210.79
4.88%
9.70%
1957
-10.46%
3.23%
6.80%
$999.05
$142.04
$225.11
-13.69%
-17.25%
1958
43.72%
1.78%
-2.10%
$1,435.84
$144.57
$220.39
41.94%
45.82%
1959
12.06%
3.26%
-2.65%
$1,608.95
$149.27
$214.56
8.80%
14.70%
1960
0.34%
3.05%
11.64%
$1,614.37
$153.82
$239.53
-2.71%
-11.30%
6.11%
1961
26.64%
2.27%
2.06%
$2,044.40
$157.30
$244.46
24.37%
24.58%
6.62%
1962
-8.81%
2.78%
5.69%
$1,864.26
$161.67
$258.38
-11.59%
-14.51%
5.97%
1963
22.61%
3.11%
1.68%
$2,285.80
$166.70
$262.74
19.50%
20.93%
6.36%
1964
16.42%
3.51%
3.73%
$2,661.02
$172.54
$272.53
12.91%
12.69%
6.53%
1965
12.40%
3.90%
0.72%
$2,990.97
$179.28
$274.49
8.50%
11.68%
6.66%
1966
-9.97%
4.84%
2.91%
$2,692.74
$187.95
$282.47
-14.81%
-12.88%
6.11%
1967
23.80%
4.33%
-1.58%
$3,333.69
$196.10
$278.01
19.47%
25.38%
6.57%
1968
10.81%
5.26%
3.27%
$3,694.23
$206.41
$287.11
5.55%
7.54%
6.60%
1969
-8.24%
6.56%
-5.01%
$3,389.77
$219.96
$272.71
-14.80%
-3.23%
6.33%
1970
3.56%
6.69%
16.75%
$3,510.49
$234.66
$318.41
-3.12%
-13.19%
5.90%
1971
14.22%
4.54%
9.79%
$4,009.72
$245.32
$349.57
9.68%
4.43%
5.87%
1972
18.76%
3.95%
2.82%
$4,761.76
$255.01
$359.42
14.80%
15.94%
6.08%
1973
-14.31%
6.73%
3.66%
$4,080.44
$272.16
$372.57
-21.03%
-17.97%
5.50%
1974
-25.90%
7.78%
1.99%
$3,023.54
$293.33
$379.98
-33.68%
-27.89%
4.64%
1975
37.00%
5.99%
3.61%
$4,142.10
$310.90
$393.68
31.01%
33.39%
5.17%
1976
23.83%
4.97%
15.98%
$5,129.20
$326.35
$456.61
18.86%
7.85%
5.22%
1977
-6.98%
5.13%
1.29%
$4,771.20
$343.09
$462.50
-12.11%
-8.27%
4.93%
1978
6.51%
6.93%
-0.78%
$5,081.77
$366.87
$458.90
-0.42%
7.29%
4.97%
1979
18.52%
9.94%
0.67%
$6,022.89
$403.33
$461.98
8.58%
17.85%
5.21%
1980
31.74%
11.22%
-2.99%
$7,934.26
$448.58
$448.17
20.52%
34.72%
5.73%
1981
-4.70%
14.30%
8.20%
$7,561.16
$512.73
$484.91
-19.00%
-12.90%
5.37%
1982
20.42%
11.01%
32.81%
$9,105.08
$569.18
$644.04
9.41%
-12.40%
5.10%
1983
22.34%
8.45%
3.20%
$11,138.90
$617.26
$664.65
13.89%
19.14%
5.34%
1984
6.15%
9.61%
13.73%
$11,823.51
$676.60
$755.92
-3.47%
-7.59%
5.12%
1985
31.24%
7.49%
25.71%
$15,516.60
$727.26
$950.29
23.75%
5.52%
5.13%
1986
18.49%
6.04%
24.28%
$18,386.33
$771.15
$1,181.06
12.46%
-5.79%
4.97%
1987
5.81%
5.72%
-4.96%
$19,455.08
$815.27
$1,122.47
0.09%
10.77%
5.07%
1988
16.54%
6.45%
8.22%
$22,672.40
$867.86
$1,214.78
10.09%
8.31%
5.12%
1989
31.48%
8.11%
17.69%
$29,808.58
$938.24
$1,429.72
23.37%
13.78%
5.24%
1990
-3.06%
7.55%
6.24%
$28,895.11
$1,009.08
$1,518.87
-10.61%
-9.30%
5.00%
1991
30.23%
5.61%
15.00%
$37,631.51
$1,065.69
$1,746.77
24.62%
15.23%
5.14%
1992
7.49%
3.41%
9.36%
$40,451.51
$1,101.98
$1,910.30
4.09%
-1.87%
5.03%
1993
9.97%
2.98%
14.21%
$44,483.33
$1,134.84
$2,181.77
6.98%
-4.24%
4.90%
1994
1.33%
3.99%
-8.04%
$45,073.14
$1,180.07
$2,006.43
-2.66%
9.36%
4.97%
1995
37.20%
5.52%
23.48%
$61,838.19
$1,245.15
$2,477.55
31.68%
13.71%
5.08%
1996
22.68%
5.02%
1.43%
$75,863.69
$1,307.68
$2,512.94
17.66%
21.25%
5.30%
1997
33.10%
5.05%
9.94%
$100,977.34
$1,373.76
$2,762.71
28.05%
23.16%
5.53%
1998
28.34%
4.73%
14.92%
$129,592.25
$1,438.70
$3,174.95
23.61%
13.42%
5.63%
1999
20.89%
4.51%
-8.25%
$156,658.05
$1,503.58
$2,912.88
16.38%
29.14%
5.96%
2000
-9.03%
5.76%
16.66%
$142,508.98
$1,590.23
$3,398.03
-14.79%
-25.69%
5.51%
2001
-11.85%
3.67%
5.57%
$125,622.01
$1,648.63
$3,587.37
-15.52%
-17.42%
5.17%
2002
-21.97%
1.66%
15.12%
$98,027.82
$1,675.96
$4,129.65
-23.62%
-37.08%
4.53%
2003
28.36%
1.03%
0.38%
$125,824.39
$1,693.22
$4,145.15
27.33%
27.98%
4.82%
2004
10.74%
1.23%
4.49%
$139,341.42
$1,714.00
$4,331.30
9.52%
6.25%
4.84%
2005
4.83%
3.01%
2.87%
$146,077.85
$1,765.59
$4,455.50
1.82%
1.97%
4.80%
2006
15.61%
4.68%
1.96%
$168,884.34
$1,848.18
$4,542.87
10.94%
13.65%
4.91%
2007
5.48%
4.64%
10.21%
$178,147.20
$1,933.98
$5,006.69
0.84%
-4.73%
4.79%
2008
-36.55%
1.59%
20.10%
$113,030.22
$1,964.64
$6,013.10
-38.14%
-56.65%
3.88%
2009
25.94%
0.14%
-11.12%
$142,344.87
$1,967.29
$5,344.65
25.80%
37.05%
4.29%
2010
14.82%
0.13%
8.46%
$163,441.94
$1,969.84
$5,796.96
14.69%
6.36%
4.31%
2011
2.10%
0.03%
16.04%
$166,871.56
$1,970.44
$6,726.52
2.07%
-13.94%
4.10%
2012
15.89%
0.05%
2.97%
$193,388.43
$1,971.42
$6,926.40
15.84%
12.92%
4.20%
2013
32.15%
0.07%
-9.10%
$255,553.31
$1,972.72
$6,295.79
32.08%
41.25%
4.62%
2014
13.48%
0.05%
10.75%
$289,995.13
$1,973.77
$6,972.34
13.42%
2.73%
4.60%
Risk Premium
Standard Error
Arithmetic Average
Stocks - T.Bills
Stocks - T.Bonds
Stocks - T.Bills
Stocks - T.Bonds
1928-2014
11.53%
3.53%
5.28%
8.00%
6.25%
2.17%
2.32%
1965-2014
11.23%
5.04%
7.11%
6.19%
4.12%
2.42%
2.74%
2005-2014
9.37%
1.44%
5.31%
7.94%
4.06%
6.05%
8.65%
Risk Premium
Geometric Average
Stocks - T.Bills
Stocks - T.Bonds
1928-2014
9.60%
3.49%
5.00%
6.11%
4.60%
1965-2014
9.84%
4.99%
6.70%
4.84%
3.14%
2005-2014
7.60%
1.42%
4.88%
6.18%
2.73%

 


[1]
Aswath Damodaran:
ST: Short term (3-month Treasury bill)
LT: Long term (10-year Treasury bond)

Last updated: January 5, 2015

By Aswath Damodaran