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.
| 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 |
| 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% |
| 1961 | 26.64% | 2.27% | 2.06% | $2,044.40 |
$157.30 |
$244.46 |
24.37% |
24.58% |
| 1962 | -8.81% | 2.78% | 5.69% | $1,864.26 |
$161.67 |
$258.38 |
-11.59% |
-14.51% |
| 1963 | 22.61% | 3.11% | 1.68% | $2,285.80 |
$166.70 |
$262.74 |
19.50% |
20.93% |
| 1964 | 16.42% | 3.51% | 3.73% | $2,661.02 |
$172.54 |
$272.53 |
12.91% |
12.69% |
| 1965 | 12.40% | 3.90% | 0.72% | $2,990.97 |
$179.28 |
$274.49 |
8.50% |
11.68% |
| 1966 | -9.97% | 4.84% | 2.91% | $2,692.74 |
$187.95 |
$282.47 |
-14.81% |
-12.88% |
| 1967 | 23.80% | 4.33% | -1.58% | $3,333.69 |
$196.10 |
$278.01 |
19.47% |
25.38% |
| 1968 | 10.81% | 5.26% | 3.27% | $3,694.23 |
$206.41 |
$287.11 |
5.55% |
7.54% |
| 1969 | -8.24% | 6.56% | -5.01% | $3,389.77 |
$219.96 |
$272.71 |
-14.80% |
-3.23% |
| 1970 | 3.56% | 6.69% | 16.75% | $3,510.49 |
$234.66 |
$318.41 |
-3.12% |
-13.19% |
| 1971 | 14.22% | 4.54% | 9.79% | $4,009.72 |
$245.32 |
$349.57 |
9.68% |
4.43% |
| 1972 | 18.76% | 3.95% | 2.82% | $4,761.76 |
$255.01 |
$359.42 |
14.80% |
15.94% |
| 1973 | -14.31% | 6.73% | 3.66% | $4,080.44 |
$272.16 |
$372.57 |
-21.03% |
-17.97% |
| 1974 | -25.90% | 7.78% | 1.99% | $3,023.54 |
$293.33 |
$379.98 |
-33.68% |
-27.89% |
| 1975 | 37.00% | 5.99% | 3.61% | $4,142.10 |
$310.90 |
$393.68 |
31.01% |
33.39% |
| 1976 | 23.83% | 4.97% | 15.98% | $5,129.20 |
$326.35 |
$456.61 |
18.86% |
7.85% |
| 1977 | -6.98% | 5.13% | 1.29% | $4,771.20 |
$343.09 |
$462.50 |
-12.11% |
-8.27% |
| 1978 | 6.51% | 6.93% | -0.78% | $5,081.77 |
$366.87 |
$458.90 |
-0.42% |
7.29% |
| 1979 | 18.52% | 9.94% | 0.67% | $6,022.89 |
$403.33 |
$461.98 |
8.58% |
17.85% |
| 1980 | 31.74% | 11.22% | -2.99% | $7,934.26 |
$448.58 |
$448.17 |
20.52% |
34.72% |
| 1981 | -4.70% | 14.30% | 8.20% | $7,561.16 |
$512.73 |
$484.91 |
-19.00% |
-12.90% |
| 1982 | 20.42% | 11.01% | 32.81% | $9,105.08 |
$569.18 |
$644.04 |
9.41% |
-12.40% |
| 1983 | 22.34% | 8.45% | 3.20% | $11,138.90 |
$617.26 |
$664.65 |
13.89% |
19.14% |
| 1984 | 6.15% | 9.61% | 13.73% | $11,823.51 |
$676.60 |
$755.92 |
-3.47% |
-7.59% |
| 1985 | 31.24% | 7.49% | 25.71% | $15,516.60 |
$727.26 |
$950.29 |
23.75% |
5.52% |
| 1986 | 18.49% | 6.04% | 24.28% | $18,386.33 |
$771.15 |
$1,181.06 |
12.46% |
-5.79% |
| 1987 | 5.81% | 5.72% | -4.96% | $19,455.08 |
$815.27 |
$1,122.47 |
0.09% |
10.77% |
| 1988 | 16.54% | 6.45% | 8.22% | $22,672.40 |
$867.86 |
$1,214.78 |
10.09% |
8.31% |
| 1989 | 31.48% | 8.11% | 17.69% | $29,808.58 |
$938.24 |
$1,429.72 |
23.37% |
13.78% |
| 1990 | -3.06% | 7.55% | 6.24% | $28,895.11 |
$1,009.08 |
$1,518.87 |
-10.61% |
-9.30% |
| 1991 | 30.23% | 5.61% | 15.00% | $37,631.51 |
$1,065.69 |
$1,746.77 |
24.62% |
15.23% |
| 1992 | 7.49% | 3.41% | 9.36% | $40,451.51 |
$1,101.98 |
$1,910.30 |
4.09% |
-1.87% |
| 1993 | 9.97% | 2.98% | 14.21% | $44,483.33 |
$1,134.84 |
$2,181.77 |
6.98% |
-4.24% |
| 1994 | 1.33% | 3.99% | -8.04% | $45,073.14 |
$1,180.07 |
$2,006.43 |
-2.66% |
9.36% |
| 1995 | 37.20% | 5.52% | 23.48% | $61,838.19 |
$1,245.15 |
$2,477.55 |
31.68% |
13.71% |
| 1996 | 22.68% | 5.02% | 1.43% | $75,863.69 |
$1,307.68 |
$2,512.94 |
17.66% |
21.25% |
| 1997 | 33.10% | 5.05% | 9.94% | $100,977.34 |
$1,373.76 |
$2,762.71 |
28.05% |
23.16% |
| 1998 | 28.34% | 4.73% | 14.92% | $129,592.25 |
$1,438.70 |
$3,174.95 |
23.61% |
13.42% |
| 1999 | 20.89% | 4.51% | -8.25% | $156,658.05 |
$1,503.58 |
$2,912.88 |
16.38% |
29.14% |
| 2000 | -9.03% | 5.76% | 16.66% | $142,508.98 |
$1,590.23 |
$3,398.03 |
-14.79% |
-25.69% |
| 2001 | -11.85% | 3.67% | 5.57% | $125,622.01 |
$1,648.63 |
$3,587.37 |
-15.52% |
-17.42% |
| 2002 | -21.97% | 1.66% | 15.12% | $98,027.82 |
$1,675.96 |
$4,129.65 |
-23.62% |
-37.08% |
| 2003 | 28.36% | 1.03% | 0.38% | $125,824.39 |
$1,693.22 |
$4,145.15 |
27.33% |
27.98% |
| 2004 | 10.74% | 1.23% | 4.49% | $139,341.42 |
$1,714.00 |
$4,331.30 |
9.52% |
6.25% |
| 2005 | 4.83% | 3.01% | 2.87% | $146,077.85 |
$1,765.59 |
$4,455.50 |
1.82% |
1.97% |
| 2006 | 15.61% | 4.68% | 1.96% | $168,884.34 |
$1,848.18 |
$4,542.87 |
10.94% |
13.65% |
| 2007 | 5.48% | 4.64% | 10.21% | $178,147.20 |
$1,933.98 |
$5,006.69 |
0.84% |
-4.73% |
| 2008 | -36.55% | 1.59% | 20.10% | $113,030.22 |
$1,964.64 |
$6,013.10 |
-38.14% |
-56.65% |
| 2009 | 25.94% | 0.14% | -11.12% | $142,344.87 |
$1,967.29 |
$5,344.65 |
25.80% |
37.05% |
| 2010 | 14.82% | 0.13% | 8.46% | $163,441.94 |
$1,969.84 |
$5,796.96 |
14.69% |
6.36% |
| 2011 | 2.07% | 0.03% | 16.04% | $166,818.28 |
$1,970.44 |
$6,726.52 |
2.04% |
-13.97% |
| 2012 | 15.83% | 0.05% | 2.97% | $193,219.24 |
$1,971.42 |
$6,926.40 |
15.78% |
12.85% |
| Risk Premium | Standard Error | |||||||
| Arithmetic Average | Stocks - T.Bills | Stocks - T.Bonds | Stocks - T.Bills | Stocks - T.Bond | ||||
| 1928-2012 | 11.26% | 3.61% | 5.38% | 7.65% | 5.88% | 2.20% | 2.33% | |
| 1962-2012 | 11.10% | 5.17% | 7.19% | 5.93% | 3.91% | 2.38% | 2.66% | |
| 2002-2012 | 8.71% | 1.65% | 5.64% | 7.06% | 3.08% | 5.82% | 8.11% | |
| Risk Premium | ||||||||
| Geometric Average | Stocks - T.Bills | Stocks - T.Bonds | ||||||
| 1928-2012 | 9.31% | 3.57% | 5.11% | 5.74% | 4.20% | |||
| 1962-2012 | 9.73% | 5.13% | 6.80% | 4.60% | 2.93% | |||
| 2002-2012 | 7.02% | 1.64% | 5.31% | 5.38% | 1.71% | |||
Last updated: January 5, 2013
By Aswath Damodaran