The raw data is obtained from the Federal Reserve database in St. Louis (FRED)
| 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 |
|
|
|
|
|
Risk Premia |
||
| Arithmetic Average |
Stocks |
T-Bills |
T-Bonds |
|
Stocks - T.Bills |
Stocks - T.Bonds |
| 1928-2002 | 11.60% | 3.93% | 5.35% |
|
7.67% | 6.25% |
| 1962-2002 | 11.19% | 6.03% | 7.53% |
|
5.17% | 3.66% |
| 1992-2002 | 10.73% | 4.40% | 8.58% |
|
6.32% | 2.15% |
|
|
|
|
|
Risk Premia |
||
|
Geometric Average |
Stocks |
T-Bills |
T-Bonds |
|
Stocks - T.Bills |
Stocks - T.Bonds |
| 1928-2002 |
9.62% |
3.89% |
5.09% |
|
5.73% | 4.53% |
| 1962-2002 |
9.90% |
5.99% |
7.14% |
|
3.90% | 2.76% |
| 1992-2002 |
9.09% |
4.40% |
8.14% |
|
4.69% | 0.95% |
Last updated: 8/31/ 2003
By Aswath Damodaran (recast on this web page to improve formatting)