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 6-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.
| Annual Returns on Investments in | Compounded Value of $ 100 | |||||
| Year | Stocks | T.Bills | T.Bonds | Stocks | T.Bills | T.Bonds |
| 1928 | 43.81% | 3.08% | 0.84% | $143.81 | $103.08 | $100.84 |
| 1929 | -8.30% | 3.16% | 4.20% | $131.88 | $106.34 | $105.07 |
| 1930 | -25.12% | 4.55% | 4.54% | $98.75 | $111.18 | $109.85 |
| 1931 | -43.84% | 2.31% | -2.56% | $55.46 | $113.74 | $107.03 |
| 1932 | -8.64% | 1.07% | 8.79% | $50.66 | $114.96 | $116.44 |
| 1933 | 49.98% | 0.96% | 1.86% | $75.99 | $116.06 | $118.60 |
| 1934 | -1.19% | 0.30% | 7.96% | $75.09 | $116.41 | $128.05 |
| 1935 | 46.74% | 0.23% | 4.47% | $110.18 | $116.68 | $133.78 |
| 1936 | 31.94% | 0.15% | 5.02% | $145.38 | $116.86 | $140.49 |
| 1937 | -35.34% | 0.12% | 1.38% | $94.00 | $117.00 | $142.43 |
| 1938 | 29.28% | 0.11% | 4.21% | $121.53 | $117.12 | $148.43 |
| 1939 | -1.10% | 0.03% | 4.41% | $120.20 | $117.16 | $154.98 |
| 1940 | -10.67% | 0.04% | 5.40% | $107.37 | $117.21 | $163.35 |
| 1941 | -12.77% | 0.02% | -2.02% | $93.66 | $117.23 | $160.04 |
| 1942 | 19.17% | 0.33% | 2.29% | $111.61 | $117.62 | $163.72 |
| 1943 | 25.06% | 0.38% | 2.49% | $139.59 | $118.06 | $167.79 |
| 1944 | 19.03% | 0.38% | 2.58% | $166.15 | $118.51 | $172.12 |
| 1945 | 35.82% | 0.38% | 3.80% | $225.67 | $118.96 | $178.67 |
| 1946 | -8.43% | 0.38% | 3.13% | $206.65 | $119.41 | $184.26 |
| 1947 | 5.20% | 0.38% | 0.92% | $217.39 | $119.87 | $185.95 |
| 1948 | 5.70% | 0.95% | 1.95% | $229.79 | $121.01 | $189.58 |
| 1949 | 18.30% | 1.16% | 4.66% | $271.85 | $122.41 | $198.42 |
| 1950 | 30.81% | 1.10% | 0.43% | $355.60 | $123.76 | $199.27 |
| 1951 | 23.68% | 1.34% | -0.30% | $439.80 | $125.42 | $198.68 |
| 1952 | 18.15% | 1.73% | 2.27% | $519.62 | $127.59 | $203.19 |
| 1953 | -1.21% | 2.09% | 4.14% | $513.35 | $130.25 | $211.61 |
| 1954 | 52.56% | 1.60% | 3.29% | $783.18 | $132.34 | $218.57 |
| 1955 | 32.60% | 1.15% | -1.34% | $1,038.47 | $133.86 | $215.65 |
| 1956 | 7.44% | 2.54% | -2.26% | $1,115.73 | $137.26 | $210.79 |
| 1957 | -10.46% | 3.21% | 6.80% | $999.05 | $141.66 | $225.11 |
| 1958 | 43.72% | 3.04% | -2.10% | $1,435.84 | $145.97 | $220.39 |
| 1959 | 12.06% | 2.77% | -2.65% | $1,608.95 | $150.01 | $214.56 |
| 1960 | 0.34% | 4.49% | 11.64% | $1,614.37 | $156.75 | $239.53 |
| 1961 | 26.64% | 2.25% | 2.06% | $2,044.40 | $160.28 | $244.46 |
| 1962 | -8.81% | 2.60% | 5.69% | $1,864.26 | $164.44 | $258.38 |
| 1963 | 22.61% | 2.87% | 1.68% | $2,285.80 | $169.16 | $262.74 |
| 1964 | 16.42% | 3.52% | 3.73% | $2,661.02 | $175.12 | $272.53 |
| 1965 | 12.40% | 3.84% | 0.72% | $2,990.97 | $181.84 | $274.49 |
| 1966 | -9.97% | 4.38% | 2.91% | $2,692.74 | $189.81 | $282.47 |
| 1967 | 23.80% | 4.96% | -1.58% | $3,333.69 | $199.22 | $278.01 |
| 1968 | 10.81% | 4.97% | 3.27% | $3,694.23 | $209.12 | $287.11 |
| 1969 | -8.24% | 5.96% | -5.01% | $3,389.77 | $221.59 | $272.71 |
| 1970 | 3.56% | 7.82% | 16.75% | $3,510.49 | $238.91 | $318.41 |
| 1971 | 14.22% | 4.87% | 9.79% | $4,009.72 | $250.55 | $349.57 |
| 1972 | 18.76% | 4.01% | 2.82% | $4,761.76 | $260.60 | $359.42 |
| 1973 | -14.31% | 5.07% | 3.66% | $4,080.44 | $273.81 | $372.57 |
| 1974 | -25.90% | 7.45% | 1.99% | $3,023.54 | $294.21 | $379.98 |
| 1975 | 37.00% | 7.15% | 3.61% | $4,142.10 | $315.24 | $393.68 |
| 1976 | 23.83% | 5.44% | 15.98% | $5,129.20 | $332.39 | $456.61 |
| 1977 | -6.98% | 4.35% | 1.29% | $4,771.20 | $346.85 | $462.50 |
| 1978 | 6.51% | 6.07% | -0.78% | $5,081.77 | $367.91 | $458.90 |
| 1979 | 18.52% | 9.08% | 0.67% | $6,022.89 | $401.31 | $461.98 |
| 1980 | 31.74% | 12.04% | -2.99% | $7,934.26 | $449.63 | $448.17 |
| 1981 | -4.70% | 15.49% | 8.20% | $7,561.16 | $519.28 | $484.91 |
| 1982 | 20.42% | 10.85% | 32.81% | $9,105.08 | $575.62 | $644.04 |
| 1983 | 22.34% | 7.94% | 3.20% | $11,138.90 | $621.32 | $664.65 |
| 1984 | 6.15% | 9.00% | 13.73% | $11,823.51 | $677.24 | $755.92 |
| 1985 | 31.24% | 8.06% | 25.71% | $15,516.60 | $731.83 | $950.29 |
| 1986 | 18.49% | 7.10% | 24.28% | $18,386.33 | $783.79 | $1,181.06 |
| 1987 | 5.81% | 5.53% | -4.96% | $19,455.08 | $827.13 | $1,122.47 |
| 1988 | 16.54% | 5.77% | 8.22% | $22,672.40 | $874.86 | $1,214.78 |
| 1989 | 31.48% | 8.07% | 17.69% | $29,808.58 | $945.46 | $1,429.72 |
| 1990 | -3.06% | 7.63% | 6.24% | $28,895.11 | $1,017.59 | $1,518.87 |
| 1991 | 30.23% | 6.74% | 15.00% | $37,631.51 | $1,086.18 | $1,746.77 |
| 1992 | 7.49% | 4.07% | 9.36% | $40,451.51 | $1,130.39 | $1,910.30 |
| 1993 | 9.97% | 3.22% | 14.21% | $44,483.33 | $1,166.79 | $2,181.77 |
| 1994 | 1.33% | 3.06% | -8.04% | $45,073.14 | $1,202.49 | $2,006.43 |
| 1995 | 37.20% | 5.60% | 23.48% | $61,838.19 | $1,269.83 | $2,477.55 |
| 1996 | 23.82% | 5.14% | 1.43% | $76,566.48 | $1,335.10 | $2,512.94 |
| 1997 | 31.86% | 4.91% | 9.94% | $100,958.71 | $1,400.65 | $2,762.71 |
| 1998 | 28.34% | 5.16% | 14.92% | $129,568.35 | $1,472.93 | $3,174.95 |
| 1999 | 20.89% | 4.39% | -8.25% | $156,629.15 | $1,537.59 | $2,912.88 |
| 2000 | -9.03% | 5.37% | 16.66% | $142,482.69 | $1,620.16 | $3,398.03 |
| 2001 | -11.85% | 5.73% | 5.57% | $125,598.83 | $1,712.99 | $3,587.37 |
| 2002 | -21.98% | 1.80% | 15.12% | $97,996.61 | $1,743.82 | $4,129.65 |
| 2003 | 28.41% | 1.80% | 0.38% | $125,838.91 | $1,775.21 | $4,145.15 |
| 2004 | 10.70% | 2.18% | 4.49% | $139,308.83 | $1,813.91 | $4,331.30 |
| 2005 | 4.85% | 4.31% | 2.87% | $146,062.54 | $1,892.09 | $4,455.50 |
| 2006 | 15.63% | 4.88% | 1.96% | $168,886.53 | $1,984.43 | $4,542.87 |
| 2007 | 5.48% | 4.88% | 10.21% | $178,149.51 | $2,081.27 | $5,006.69 |
| Risk Premium | ||||||
| Arithmetic Average | Stocks - T.Bills | Stocks - T.Bonds | ||||
| 1928-2007 | 11.69% | 3.91% | 5.26% | 7.78% | 6.42% | |
| 1967-2007 | 11.98% | 6.05% | 7.66% | 5.94% | 4.33% | |
| 1997-2007 | 9.39% | 4.13% | 6.71% | 5.26% | 2.68% | |
| Risk Premium | ||||||
| Geometric Average | Stocks - T.Bills | Stocks - T.Bonds | ||||
| 1928-2007 | 9.81% | 3.87% | 5.01% | 5.94% | 4.79% | |
| 1967-2007 | 10.77% | 6.01% | 7.26% | 4.75% | 3.50% | |
| 1997-2007 | 8.81% | 4.12% | 6.47% | 4.69% | 2.34% | |
Last updated: January 5, 2008
By Aswath Damodaran