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 |
| 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 | 2.10% | 0.03% | 16.04% | $166,871.56 | $1,970.44 | $6,726.52 | 2.07% | -13.94% |
| 2012 | 15.89% | 0.05% | 2.97% | $193,388.43 | $1,971.42 | $6,926.40 | 15.84% | 12.92% |
| 2013 | 32.15% | 0.07% | -9.10% | $255,553.31 | $1,972.72 | $6,295.79 | 32.08% | 41.25% |
| 2014 | 13.52% | 0.05% | 10.75% | $290,115.42 | $1,973.77 | $6,972.34 | 13.47% | 2.78% |
| 2015 | 1.38% | 0.21% | 1.28% | $294,115.79 | $1,977.91 | $7,061.89 | 1.17% | 0.09% |
| 2016 | 11.74% | 0.51% | 0.69% | $328,645.87 | $1,988.00 | $7,110.65 | 11.23% | 11.05% |
| Risk Premium | Standard Error | |||||||
| Arithmetic Average | Stocks - T.Bills | Stocks - T.Bonds | Stocks - T.Bills | Stocks - T.Bonds | ||||
| 1928-2016 | 11.42% | 3.46% | 5.18% | 7.96% | 6.24% | 2.13% | 2.28% | |
| 1967-2016 | 11.45% | 4.88% | 7.08% | 6.57% | 4.37% | 2.42% | 2.74% | |
| 2007-2016 | 8.65% | 0.74% | 5.03% | 7.91% | 3.62% | 6.06% | 8.66% | |
| Risk Premium | ||||||||
| Geometric Average | Stocks - T.Bills | Stocks - T.Bonds | ||||||
| 1928-2016 | 9.53% | 3.42% | 4.91% | 6.11% | 4.62% | |||
| 1967-2016 | 10.09% | 4.83% | 6.66% | 5.26% | 3.42% | |||
| 2007-2016 | 6.88% | 0.73% | 4.58% | 6.15% | 2.30% | |||
Last updated: January 5, 2017
By Aswath Damodaran