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%
Risk Premium Standard Error
Arithmetic Average Stocks - T.Bills Stocks - T.Bonds Stocks - T.Bills Stocks - T.Bonds
1928-2013 11.50% 3.57% 5.21% 7.93% 6.29% 2.19% 2.34%
1964-2013 11.29% 5.11% 6.97% 6.18% 4.32% 2.42% 2.75%
2004-2013 9.10% 1.56% 4.69% 7.55% 4.41% 6.02% 8.66%
Risk Premium
Geometric Average Stocks - T.Bills Stocks - T.Bonds
1928-2013 9.55% 3.53% 4.93% 6.02% 4.62%
1964-2013 9.89% 5.07% 6.56% 4.83% 3.33%
2004-2013 7.34% 1.54% 4.27% 5.80% 3.07%

 


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

Last updated: January 5, 2014

By Aswath Damodaran