Returns by year

Date updated: 5-Jan-15

Created by:
Aswath Damodaran, adamodar@stern.nyu.edu
What is this d Historical returns: Stocks, T.Bonds & T.Bills w US companies
Home Page: http://www.damodaran.com
Data website: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html
Companies in ehttp://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable defini http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm

CustomixedGeometricriskpremiumestimator
Whatisyourriskfreerate?
Enteryourstartingyear

LT
1928

Estimatesofriskpremiumsfrom1928
areprovidedatthebottomofthistabl

Valueofstocksinstartingyear:
ValueofT.Billsinstartingyear:
ValueofT.bondsinstartingyear:
Estimateofriskpremiumbasedonyourinputs:

100
100
100
4.62%

AnnualReturnsonInvestmentsin

Year
1928
1929
1930
1931
1932
1933
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947

CompoundedValueof$100

S&P 5003-month T.Bill

10-year T. Bond
Stocks
T.Bills
43.81%
3.08%
0.84%
$ 143.81 $ 103.08
-8.30%
3.16%
4.20%
$ 131.88 $ 106.34
-25.12%
4.55%
4.54%
$ 98.75 $ 111.18
-43.84%
2.31%
-2.56%
$ 55.46 $ 113.74
-8.64%
1.07%
8.79%
$ 50.66 $ 114.96
49.98%
0.96%
1.86%
$ 75.99 $ 116.06
-1.19%
0.32%
7.96%
$ 75.09 $ 116.44
46.74%
0.18%
4.47%
$ 110.18 $ 116.64
31.94%
0.17%
5.02%
$ 145.38 $ 116.84
-35.34%
0.30%
1.38%
$ 94.00 $ 117.19
29.28%
0.08%
4.21%
$ 121.53 $ 117.29
-1.10%
0.04%
4.41%
$ 120.20 $ 117.33
-10.67%
0.03%
5.40%
$ 107.37 $ 117.36
-12.77%
0.08%
-2.02%
$ 93.66 $ 117.46
19.17%
0.34%
2.29%
$ 111.61 $ 117.85
25.06%
0.38%
2.49%
$ 139.59 $ 118.30
19.03%
0.38%
2.58%
$ 166.15 $ 118.75
35.82%
0.38%
3.80%
$ 225.67 $ 119.20
-8.43%
0.38%
3.13%
$ 206.65 $ 119.65
5.20%
0.57%
0.92%
$ 217.39 $ 120.33

Page 1

Returns by year

1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987

5.70%
18.30%
30.81%
23.68%
18.15%
-1.21%
52.56%
32.60%
7.44%
-10.46%
43.72%
12.06%
0.34%
26.64%
-8.81%
22.61%
16.42%
12.40%
-9.97%
23.80%
10.81%
-8.24%
3.56%
14.22%
18.76%
-14.31%
-25.90%
37.00%
23.83%
-6.98%
6.51%
18.52%
31.74%
-4.70%
20.42%
22.34%
6.15%
31.24%
18.49%
5.81%

1.02%
1.10%
1.17%
1.48%
1.67%
1.89%
0.96%
1.66%
2.56%
3.23%
1.78%
3.26%
3.05%
2.27%
2.78%
3.11%
3.51%
3.90%
4.84%
4.33%
5.26%
6.56%
6.69%
4.54%
3.95%
6.73%
7.78%
5.99%
4.97%
5.13%
6.93%
9.94%
11.22%
14.30%
11.01%
8.45%
9.61%
7.49%
6.04%
5.72%

1.95%
4.66%
0.43%
-0.30%
2.27%
4.14%
3.29%
-1.34%
-2.26%
6.80%
-2.10%
-2.65%
11.64%
2.06%
5.69%
1.68%
3.73%
0.72%
2.91%
-1.58%
3.27%
-5.01%
16.75%
9.79%
2.82%
3.66%
1.99%
3.61%
15.98%
1.29%
-0.78%
0.67%
-2.99%
8.20%
32.81%
3.20%
13.73%
25.71%
24.28%
-4.96%

Page 2

$
$
$
$
$
$
$

229.79
271.85
355.60
439.80
519.62
513.35
783.18
###
###
$ 999.05
###
###
###
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$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

121.56
122.90
124.34
126.18
128.29
130.72
131.98
134.17
137.60
142.04
144.57
149.27
153.82
157.30
161.67
166.70
172.54
179.28
187.95
196.10
206.41
219.96
234.66
245.32
255.01
272.16
293.33
310.90
326.35
343.09
366.87
403.33
448.58
512.73
569.18
617.26
676.60
727.26
771.15
815.27

Returns by year

1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014

6.45%
8.11%
7.55%
5.61%
3.41%
2.98%
3.99%
5.52%
5.02%
5.05%
4.73%
4.51%
5.76%
3.67%
1.66%
1.03%
1.23%
3.01%
4.68%
4.64%
1.59%
0.14%
0.13%
0.03%
0.05%
0.07%
0.05%

8.22%
17.69%
6.24%
15.00%
9.36%
14.21%
-8.04%
23.48%
1.43%
9.94%
14.92%
-8.25%
16.66%
5.57%
15.12%
0.38%
4.49%
2.87%
1.96%
10.21%
20.10%
-11.12%
8.46%
16.04%
2.97%
-9.10%
10.75%

ArithmeticAverage
19282014
11.53%
19652014
11.23%
20052014
9.37%

3.53%
5.04%
1.44%

5.28%
7.11%
5.31%

GeometricAverage
19282014
19652014
20052014

3.49%
4.99%
1.42%

5.00%
6.70%
4.88%

Promedioaritmtico
19281989

16.54%
31.48%
-3.06%
30.23%
7.49%
9.97%
1.33%
37.20%
22.68%
33.10%
28.34%
20.89%
-9.03%
-11.85%
-21.97%
28.36%
10.74%
4.83%
15.61%
5.48%
-36.55%
25.94%
14.82%
2.10%
15.89%
32.15%
13.48%

9.60%
9.84%
7.60%

11.69%

3.73%

4.60%

Page 3

###
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$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

867.86
938.24
1,009.08
1,065.69
1,101.98
1,134.84
1,180.07
1,245.15
1,307.68
1,373.76
1,438.70
1,503.58
1,590.23
1,648.63
1,675.96
1,693.22
1,714.00
1,765.59
1,848.18
1,933.98
1,964.64
1,967.29
1,969.84
1,970.44
1,971.42
1,972.72
1,973.77
RiskPremium
StocksT.Bills
8.00%
6.19%
7.94%
RiskPremium
StocksT.Bills
6.11%
4.84%
6.18%

Returns by year

companies

ta.html

e.xls

tafile/variable.htm

matesofriskpremiumsfrom1928,overthelast50yearsandoverthelast10years
providedatthebottomofthistable.

ndedValueof$100

T.Bonds
$
100.84
$
105.07
$
109.85
$
107.03
$
116.44
$
118.60
$
128.05
$
133.78
$
140.49
$
142.43
$
148.43
$
154.98
$
163.35
$
160.04
$
163.72
$
167.79
$
172.12
$
178.67
$
184.26
$
185.95

Historical
risk
Stocks - Bil Stocks - Bo premium
40.73% 42.98%
-11.46% -12.50%
-29.67% -29.66%
-46.15% -41.28%
-9.71% -17.43%
49.02% 48.13%
-1.51% -9.15%
46.57% 42.27%
31.77% 26.93%
-35.64% -36.72%
29.21% 25.07%
-1.14% -5.51%
-10.70% -16.08%
-12.85% -10.75%
18.84% 16.88%
24.68% 22.57%
18.65% 16.45%
35.44% 32.02%
-8.81% -11.56%
4.63%
4.28%

Page 4

Returns by year

$
189.58
$
198.42
$
199.27
$
198.68
$
203.19
$
211.61
$
218.57
$
215.65
$
210.79
$
225.11
$
220.39
$
214.56
$
239.53
$
244.46
$
258.38
$
262.74
$
272.53
$
274.49
$
282.47
$
278.01
$
287.11
$
272.71
$
318.41
$
349.57
$
359.42
$
372.57
$
379.98
$
393.68
$
456.61
$
462.50
$
458.90
$
461.98
$
448.17
$
484.91
$
644.04
$
664.65
$
755.92
$
950.29
$ 1,181.06
$ 1,122.47

4.68%
17.20%
29.63%
22.20%
16.48%
-3.10%
51.60%
30.94%
4.88%
-13.69%
41.94%
8.80%
-2.71%
24.37%
-11.59%
19.50%
12.91%
8.50%
-14.81%
19.47%
5.55%
-14.80%
-3.12%
9.68%
14.80%
-21.03%
-33.68%
31.01%
18.86%
-12.11%
-0.42%
8.58%
20.52%
-19.00%
9.41%
13.89%
-3.47%
23.75%
12.46%
0.09%

3.75%
13.64%
30.38%
23.97%
15.88%
-5.35%
49.27%
33.93%
9.70%
-17.25%
45.82%
14.70%
-11.30%
24.58%
-14.51%
20.93%
12.69%
11.68%
-12.88%
25.38%
7.54%
-3.23%
-13.19%
4.43%
15.94%
-17.97%
-27.89%
33.39%
7.85%
-8.27%
7.29%
17.85%
34.72%
-12.90%
-12.40%
19.14%
-7.59%
5.52%
-5.79%
10.77%

6.11%
6.62%
5.97%
6.36%
6.53%
6.66%
6.11%
6.57%
6.60%
6.33%
5.90%
5.87%
6.08%
5.50%
4.64%
5.17%
5.22%
4.93%
4.97%
5.21%
5.73%
5.37%
5.10%
5.34%
5.12%
5.13%
4.97%
5.07%

Page 5

Returns by year

$ 1,214.78
10.09%
8.31%
$ 1,429.72
23.37% 13.78%
$ 1,518.87
-10.61% -9.30%
$ 1,746.77
24.62% 15.23%
$ 1,910.30
4.09% -1.87%
$ 2,181.77
6.98% -4.24%
$ 2,006.43
-2.66%
9.36%
$ 2,477.55
31.68% 13.71%
$ 2,512.94
17.66% 21.25%
$ 2,762.71
28.05% 23.16%
$ 3,174.95
23.61% 13.42%
$ 2,912.88
16.38% 29.14%
$ 3,398.03
-14.79% -25.69%
$ 3,587.37
-15.52% -17.42%
$ 4,129.65
-23.62% -37.08%
$ 4,145.15
27.33% 27.98%
$ 4,331.30
9.52%
6.25%
$ 4,455.50
1.82%
1.97%
$ 4,542.87
10.94% 13.65%
$ 5,006.69
0.84% -4.73%
$ 6,013.10
-38.14% -56.65%
$ 5,344.65
25.80% 37.05%
$ 5,796.96
14.69%
6.36%
$ 6,726.52
2.07% -13.94%
$ 6,926.40
15.84% 12.92%
$ 6,295.79
32.08% 41.25%
$ 6,972.34
13.42%
2.73%
RiskPremium
StandardError
StocksT.Bond StocksT.BilStocksT.Bonds
6.25%
2.17%
2.32%
4.12%
2.42%
2.74%
4.06%
6.05%
8.65%

5.12%
5.24%
5.00%
5.14%
5.03%
4.90%
4.97%
5.08%
5.30%
5.53%
5.63%
5.96%
5.51%
5.17%
4.53%
4.82%
4.84%
4.80%
4.91%
4.79%
3.88%
4.29%
4.31%
4.10%
4.20%
4.62%
4.60%

StocksT.Bonds
4.60%
3.14%
2.73%

Page 6

S&P 500 & Raw Data

Year
1927
1928
1929
1930
1931
1932
1933
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964

S&P500
17.66
24.35
21.45
15.34
8.12
6.92
9.97
9.5
13.43
17.18
10.55
13.14
12.46
10.58
8.69
9.77
11.67
13.28
17.36
15.3
15.3
15.2
16.79
20.43
23.77
26.57
24.81
35.98
45.48
46.67
39.99
55.21
59.89
58.11
71.55
63.1
75.02
84.75

Dividends DividendYield T.Bondrate Returnonbond Jan1notes

0.62
3.50%
3.17%
1.05
4.30%
3.45%
0.84%
0.88
4.10%
3.36%
4.20%
0.72
4.70%
3.22%
4.54%
0.50
6.10%
3.93%
2.56%
0.50
7.20%
3.35%
8.79%
0.41
4.10%
3.53%
1.86%
0.35
3.70%
3.01%
7.96%
0.51
3.80%
2.84%
4.47%
0.54
3.14%
2.59%
5.02%
0.56
5.30%
2.73%
1.38%
0.50
3.80%
2.56%
4.21%
0.54
4.30%
2.35%
4.41%
0.55
5.20%
2.01%
5.40%
0.54
6.20%
2.47%
2.02%
0.59
6.00%
2.49%
2.29%
0.55
4.70%
2.49%
2.49%
0.61
4.60%
2.48%
2.58%
0.68
3.90%
2.33%
3.80%
0.60
3.90%
2.24%
3.13%
0.80
5.20%
2.39%
0.92%
0.97
6.40%
2.44%
1.95%
1.19
7.10%
2.19%
4.66%
1.53
7.50%
2.39%
0.43%
1.50
6.30%
2.70%
0.30%
1.51
5.70%
2.75%
2.27%
1.44
5.80%
2.59%
4.14%
1.87
5.20%
2.51%
3.29%
2.23
4.90%
2.96%
1.34%
2.19
4.70%
3.59%
2.26%
1.80
4.50%
3.21%
6.80%
2.26
4.10%
3.86%
2.10%
1.98
3.30%
4.69%
2.65%
1.98
3.41%
3.84%
11.64%
2.04
2.85%
4.06%
2.06%
2.15
3.40%
3.86%
5.69%
2.35
3.13%
4.13%
1.68%
2.58
3.05%
4.18%
3.73%

Page 7

S&P 500 & Raw Data

1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004

92.43
80.33
96.47
103.86
92.06
92.15
102.09
118.05
97.55
68.56
90.19
107.46
95.1
96.11
107.94
135.76
122.55
140.64
164.93
167.24
211.28
242.17
247.08
277.72
353.4
330.22
417.09
435.71
466.45
459.27
615.93
740.74
970.43
1229.23
1469.25
1320.28
1148.09
879.82
1111.91
1211.92

2.83
2.88
2.98
3.04
3.24
3.19
3.16
3.19
3.61
3.72
3.73
4.22
4.86
5.18
5.97
6.44
6.83
6.93
7.12
7.83
8.20
8.19
9.17
10.22
11.73
12.35
12.97
12.64
12.69
13.36
14.17
14.89
15.52
16.20
16.71
16.27
15.74
16.08
17.39
19.44

3.06%
3.59%
3.09%
2.93%
3.52%
3.46%
3.10%
2.70%
3.70%
5.43%
4.14%
3.93%
5.11%
5.39%
5.53%
4.74%
5.57%
4.93%
4.32%
4.68%
3.88%
3.38%
3.71%
3.68%
3.32%
3.74%
3.11%
2.90%
2.72%
2.91%
2.30%
2.01%
1.60%
1.32%
1.14%
1.23%
1.37%
1.83%
1.56%
1.60%

Page 8

4.62%
4.84%
5.70%
6.03%
7.65%
6.39%
5.93%
6.36%
6.74%
7.43%
8.00%
6.87%
7.69%
9.01%
10.39%
12.84%
13.72%
10.54%
11.83%
11.50%
9.26%
7.11%
8.99%
9.11%
7.84%
8.08%
7.09%
6.77%
5.77%
7.81%
5.71%
6.30%
5.81%
4.65%
6.44%
5.11%
5.05%
3.82%
4.25%
4.22%

0.72%
2.91%
1.58%
3.27%
5.01%
16.75%
9.79%
2.82%
3.66%
1.99%
3.61%
15.98%
1.29%
0.78%
0.67%
2.99%
8.20%
32.81%
3.20%
13.73%
25.71%
24.28%
4.96%
8.22%
17.69%
6.24%
15.00%
9.36%
14.21%
8.04%
23.48%
1.43%
9.94%
14.92%
8.25%
16.66%
5.57%
15.12%
0.38%
4.49%

S&P 500 & Raw Data

2005
2006
2007
2008
2009
2010
2011
2012
2013
2014

1248.29
1418.3
1468.36

903.25
1115.1
1257.64
1257.6
1426.19
1848.36
2058.9

22.22
24.88
27.73
28.39
22.41
22.73
26.43
31.25
36.28
38.57

1.78%
1.75%

4.39%
4.70%

1.89%

4.02%

3.14%
2.01%
1.81%
2.10%
2.19%
1.96%
1.87%

2.21%

Page 9

3.84%
3.29%
1.88%
1.76%
3.04%
2.17%

2.87%
1.96%
10.21%
20.10%
11.12%
8.46%
16.04%
2.97%
9.10%
10.75%

! Used estimated dividend f

S&P 500 & Raw Data

Page 10

S&P 500 & Raw Data

Page 11

S&P 500 & Raw Data

Used estimated dividend for 2014, based upon Dec 2014 estimated dividend yield for S&P 500

Page 12

T. Bill rates

Title:
3-Month Treasury Bill: Secondary Market Rate
Series ID:
TB3MS
Source:
Board of Governors of the Federal Reserve System
Release:
H.15 Selected Interest Rates
Seasonal AdjuNot Applicable
Frequency:
Monthly
Units:
Percent
Date Range: 1934-01-01 to 2008-11-01
Last Updated:2008-12-02 10:34 AM CST
Notes:
Averages of Business Days, Discount Basis
DATE

VALUE
Jan-34
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-35
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-36
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-37
Feb

Year
0.72
0.62
0.24
0.15
0.16
0.15
0.15
0.19
0.21
0.27
0.25
0.23
0.20
0.19
0.15
0.15
0.15
0.15
0.15
0.16
0.20
0.20
0.16
0.15
0.20
0.20
0.20
0.20
0.20
0.20
0.15
0.20
0.16
0.13
0.11
0.12
0.17
0.15

Sum
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971

Page 13

1.29
0.7
0.7
1.21
0.31
0.15
0.10
0.33
1.35
1.52
1.52
1.52
1.52
2.27
4.09
4.41
4.69
5.91
6.69
7.57
3.85
6.64
10.22
12.92
7.11
13.02
12.18
9.07
11.11
12.44
14.02
15.61
19.36
17.33
21.04
26.25
26.74
18.16

Average
0.32%
0.18%
0.17%
0.30%
0.08%
0.04%
0.03%
0.08%
0.34%
0.38%
0.38%
0.38%
0.38%
0.57%
1.02%
1.10%
1.17%
1.48%
1.67%
1.89%
0.96%
1.66%
2.56%
3.23%
1.78%
3.26%
3.05%
2.27%
2.78%
3.11%
3.51%
3.90%
4.84%
4.33%
5.26%
6.56%
6.69%
4.54%

T. Bill rates

Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-38
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-39
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-40
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-41
Feb
Mar
Apr

0.38
0.56
0.41
0.36
0.28
0.29
0.31
0.20
0.09
0.11
0.10
0.08
0.08
0.09
0.05
0.05
0.07
0.06
0.08
0.05
0.04
0.03
0.03
0.03
0.03
0.03
0.03
0.03
0.04
0.05
0.14
0.05
0.05
0.04
0.01
0.02
0.02
0.02
0.06
0.10
0.05
0.04
0.05
0.02
0.02
0.02
0.02
0.04
0.11
0.10

1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011

Page 14

15.81
26.90
31.11
23.96
19.88
20.51
27.73
39.75
44.88
57.20
44.04
33.79
38.45
29.95
24.14
22.89
25.80
32.44
30.20
22.44
13.62
11.93
15.94
22.06
20.09
20.21
18.91
18.04
23.05
14.69
6.63
4.12
4.91
12.04
18.71
18.57
6.34
0.54

3.95%
6.73%
7.78%
5.99%
4.97%
5.13%
6.93%
9.94%
11.22%
14.30%
11.01%
8.45%
9.61%
7.49%
6.04%
5.72%
6.45%
8.11%
7.55%
5.61%
3.41%
2.98%
3.99%
5.52%
5.02%
5.05%
4.73%
4.51%
5.76%
3.67%
1.66%
1.03%
1.23%
3.01%
4.68%
4.64%
1.59%
0.14%

T. Bill rates

May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-42
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-43
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-44
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-45
Feb
Mar
Apr
May
June

0.11
0.12
0.12
0.13
0.10
0.09
0.28
0.33
0.27
0.25
0.25
0.32
0.37
0.37
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38

Page 15

T. Bill rates

july
Aug
Sept
Oct
Nov
Dec
Jan-46
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-47
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-48
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-49
Feb
Mar
Apr
May
June
july
Aug

0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.66
0.75
0.80
0.85
0.92
0.95
0.97
1.00
1.00
1.00
1.00
1.00
1.00
1.06
1.09
1.12
1.14
1.16
1.17
1.17
1.17
1.17
1.17
1.17
1.02
1.04

Page 16

T. Bill rates

Sept
Oct
Nov
Dec
Jan-50
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-51
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-52
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-53
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct

1.07
1.05
1.08
1.10
1.07
1.12
1.12
1.15
1.16
1.15
1.16
1.20
1.30
1.31
1.36
1.34
1.34
1.36
1.40
1.47
1.55
1.45
1.56
1.62
1.63
1.54
1.56
1.73
1.57
1.54
1.59
1.57
1.67
1.70
1.81
1.83
1.71
1.74
1.85
2.09
1.96
1.97
2.01
2.19
2.16
2.11
2.04
2.04
1.79
1.38

Page 17

T. Bill rates

Nov
Dec
Jan-54
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-55
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-56
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-57
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec

1.44
1.60
1.18
0.97
1.03
0.97
0.76
0.64
0.72
0.92
1.01
0.98
0.93
1.15
1.22
1.17
1.28
1.59
1.45
1.41
1.60
1.90
2.07
2.23
2.24
2.54
2.41
2.32
2.25
2.60
2.61
2.49
2.31
2.60
2.84
2.90
2.99
3.21
3.11
3.10
3.08
3.07
3.06
3.29
3.16
3.37
3.53
3.58
3.31
3.04

Page 18

T. Bill rates

Jan-58
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-59
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-60
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-61
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-62
Feb

2.44
1.53
1.30
1.13
0.91
0.83
0.91
1.69
2.44
2.63
2.67
2.77
2.82
2.70
2.80
2.95
2.84
3.21
3.20
3.38
4.04
4.05
4.15
4.49
4.35
3.96
3.31
3.23
3.29
2.46
2.30
2.30
2.48
2.30
2.37
2.25
2.24
2.42
2.39
2.29
2.29
2.33
2.24
2.39
2.28
2.30
2.48
2.60
2.72
2.73

Page 19

T. Bill rates

Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-63
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-64
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-65
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-66
Feb
Mar
Apr

2.72
2.73
2.69
2.73
2.92
2.82
2.78
2.74
2.83
2.87
2.91
2.92
2.89
2.90
2.93
2.99
3.18
3.32
3.38
3.45
3.52
3.52
3.52
3.53
3.54
3.47
3.48
3.48
3.46
3.50
3.53
3.57
3.64
3.84
3.81
3.93
3.93
3.93
3.89
3.80
3.84
3.84
3.92
4.03
4.09
4.38
4.59
4.65
4.59
4.62

Page 20

T. Bill rates

May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-67
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-68
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-69
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-70
Feb
Mar
Apr
May
June

4.64
4.50
4.80
4.96
5.37
5.35
5.32
4.96
4.72
4.56
4.26
3.84
3.60
3.54
4.21
4.27
4.42
4.56
4.73
4.97
5.00
4.98
5.17
5.38
5.66
5.52
5.31
5.09
5.19
5.35
5.45
5.96
6.14
6.12
6.02
6.11
6.04
6.44
7.00
6.98
7.09
7.00
7.24
7.82
7.87
7.13
6.63
6.51
6.84
6.68

Page 21

T. Bill rates

july
Aug
Sept
Oct
Nov
Dec
Jan-71
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-72
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-73
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-74
Feb
Mar
Apr
May
June
july
Aug

6.45
6.41
6.12
5.91
5.28
4.87
4.44
3.70
3.38
3.86
4.14
4.75
5.40
4.94
4.69
4.46
4.22
4.01
3.38
3.20
3.73
3.71
3.69
3.91
3.98
4.02
4.66
4.74
4.78
5.07
5.41
5.60
6.09
6.26
6.36
7.19
8.01
8.67
8.29
7.22
7.83
7.45
7.77
7.12
7.96
8.33
8.23
7.90
7.55
8.96

Page 22

T. Bill rates

Sept
Oct
Nov
Dec
Jan-75
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-76
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-77
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-78
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct

8.06
7.46
7.47
7.15
6.26
5.50
5.49
5.61
5.23
5.34
6.13
6.44
6.42
5.96
5.48
5.44
4.87
4.88
5.00
4.86
5.20
5.41
5.23
5.14
5.08
4.92
4.75
4.35
4.62
4.67
4.60
4.54
4.96
5.02
5.19
5.49
5.81
6.16
6.10
6.07
6.44
6.45
6.29
6.29
6.41
6.73
7.01
7.08
7.85
7.99

Page 23

T. Bill rates

Nov
Dec
Jan-79
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-80
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-81
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-82
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec

8.64
9.08
9.35
9.32
9.48
9.46
9.61
9.06
9.24
9.52
10.26
11.70
11.79
12.04
12.00
12.86
15.20
13.20
8.58
7.07
8.06
9.13
10.27
11.62
13.73
15.49
15.02
14.79
13.36
13.69
16.30
14.73
14.95
15.51
14.70
13.54
10.86
10.85
12.28
13.48
12.68
12.70
12.09
12.47
11.35
8.68
7.92
7.71
8.07
7.94

Page 24

T. Bill rates

Jan-83
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-84
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-85
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-86
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-87
Feb

7.86
8.11
8.35
8.21
8.19
8.79
9.08
9.34
9.00
8.64
8.76
9.00
8.90
9.09
9.52
9.69
9.83
9.87
10.12
10.47
10.37
9.74
8.61
8.06
7.76
8.27
8.52
7.95
7.48
6.95
7.08
7.14
7.10
7.16
7.24
7.10
7.07
7.06
6.56
6.06
6.15
6.21
5.83
5.53
5.21
5.18
5.35
5.53
5.43
5.59

Page 25

T. Bill rates

Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-88
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-89
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-90
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-91
Feb
Mar
Apr

5.59
5.64
5.66
5.67
5.69
6.04
6.40
6.13
5.69
5.77
5.81
5.66
5.70
5.91
6.26
6.46
6.73
7.06
7.24
7.35
7.76
8.07
8.27
8.53
8.82
8.65
8.43
8.15
7.88
7.90
7.75
7.64
7.69
7.63
7.64
7.74
7.90
7.77
7.74
7.73
7.62
7.45
7.36
7.17
7.06
6.74
6.22
5.94
5.91
5.65

Page 26

T. Bill rates

May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-92
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-93
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-94
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-95
Feb
Mar
Apr
May
June

5.46
5.57
5.58
5.33
5.22
4.99
4.56
4.07
3.80
3.84
4.04
3.75
3.63
3.66
3.21
3.13
2.91
2.86
3.13
3.22
3.00
2.93
2.95
2.87
2.96
3.07
3.04
3.02
2.95
3.02
3.10
3.06
2.98
3.25
3.50
3.68
4.14
4.14
4.33
4.48
4.62
4.95
5.29
5.60
5.71
5.77
5.73
5.65
5.67
5.47

Page 27

T. Bill rates

july
Aug
Sept
Oct
Nov
Dec
Jan-96
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-97
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-98
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-99
Feb
Mar
Apr
May
June
july
Aug

5.42
5.40
5.28
5.28
5.36
5.14
5.00
4.83
4.96
4.95
5.02
5.09
5.15
5.05
5.09
4.99
5.03
4.91
5.03
5.01
5.14
5.16
5.05
4.93
5.05
5.14
4.95
4.97
5.14
5.16
5.04
5.09
5.03
4.95
5.00
4.98
4.96
4.90
4.61
3.96
4.41
4.39
4.34
4.44
4.44
4.29
4.50
4.57
4.55
4.72

5.49

5.01

5.06

4.78

Page 28

T. Bill rates

Sept
Oct
Nov
Dec
Jan-00
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-01
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-02
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-03
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct

4.68
4.86
5.07
5.20
5.32
5.55
5.69
5.66
5.79
5.69
5.96
6.09
6.00
6.11
6.17
5.77
5.15
4.88
4.42
3.87
3.62
3.49
3.51
3.36
2.64
2.16
1.87
1.69
1.65
1.73
1.79
1.72
1.73
1.70
1.68
1.62
1.63
1.58
1.23
1.19
1.17
1.17
1.13
1.13
1.07
0.92
0.90
0.95
0.94
0.92

4.64

5.82

3.39

1.60

Page 29

T. Bill rates

Nov
Dec
Jan-04
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-05
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-06
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
Jan-07
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec

0.93
0.90
0.88
0.93
0.94
0.94
1.02
1.27
1.33
1.48
1.65
1.76
2.07
2.19
2.33
2.54
2.74
2.78
2.84
2.97
3.22
3.44
3.42
3.71
3.88
3.89
4.24
4.43
4.51
4.60
4.72
4.79
4.95
4.96
4.81
4.92
4.94
4.85
4.98
5.03
4.94
4.87
4.73
4.61
4.82
4.20
3.89
3.90
3.27
3.00

1.01

1.37

3.15

4.73

4.35

Page 30

T. Bill rates

Jan-08
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec
January 09
Feb
Mar
Apr
May
June
July
Aug
Sept
Oct
Nov
Dec

2.75
2.12
1.26
1.29
1.73
1.86
1.63
1.72
1.13
0.67
0.19
0.03
0.13
0.30
0.21
0.16
0.18
0.18
0.18
0.17
0.12
0.07
0.05
0.14

1.37

0.16

Page 31

T. Bond return

UStreasury10yearbondatendofeachyear
FederalReserveofSt.Louis(FRED)
Source:
Computation Tocomputethereturnonaconstantmaturitybond,Iaddtwocomponentsthepromisedcouponatth
Thereturnonthe10yearbondfor1928=3.17%(Couponratepromisedattheendof1927)Pricec
Bond used:

Year
1927
1928
1929
1930
1931
1932
1933
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959

T.Bondrate Returnonbond
3.17%
3.45%
0.84%
3.36%
4.20%
3.22%
4.54%
3.93%
2.56%
3.35%
8.79%
3.53%
1.86%
3.01%
7.96%
2.84%
4.47%
2.59%
5.02%
2.73%
1.38%
2.56%
4.21%
2.35%
4.41%
2.01%
5.40%
2.47%
2.02%
2.49%
2.29%
2.49%
2.49%
2.48%
2.58%
2.33%
3.80%
2.24%
3.13%
2.39%
0.92%
2.44%
1.95%
2.19%
4.66%
2.39%
0.43%
2.70%
0.30%
2.75%
2.27%
2.59%
4.14%
2.51%
3.29%
2.96%
1.34%
3.59%
2.26%
3.21%
6.80%
3.86%
2.10%
4.69%
2.65%

Page 32

T. Bond return

1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999

3.84%
4.06%
3.86%
4.13%
4.18%
4.62%
4.84%
5.70%
6.03%
7.65%
6.39%
5.93%
6.36%
6.74%
7.43%
8.00%
6.87%
7.69%
9.01%
10.39%
12.84%
13.72%
10.54%
11.83%
11.50%
9.26%
7.11%
8.99%
9.11%
7.84%
8.08%
7.09%
6.77%
5.77%
7.81%
5.71%
6.30%
5.81%
4.65%
6.44%

11.64%
2.06%
5.69%
1.68%
3.73%
0.72%
2.91%
1.58%
3.27%
5.01%
16.75%
9.79%
2.82%
3.66%
1.99%
3.61%
15.98%
1.29%
0.78%
0.67%
2.99%
8.20%
32.81%
3.20%
13.73%
25.71%
24.28%
4.96%
8.22%
17.69%
6.24%
15.00%
9.36%
14.21%
8.04%
23.48%
1.43%
9.94%
14.92%
8.25%

Page 33

T. Bond return

2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013

5.11%
5.05%
3.82%
4.25%
4.22%
4.39%
4.70%
4.02%
2.21%
3.84%
3.29%
1.88%
1.76%

16.66%
5.57%
15.12%
0.38%
4.49%
2.87%
1.96%
10.21%
20.10%
11.12%
8.46%
16.04%
2.97%

Page 34

T. Bond return

thepromisedcouponatthestartoftheyearandthepricechangeduetointerestratechanges.
theendof1927)Pricechangeonabondwithacouponrateof3.17%,whentheinterestrategoesto3.45%.

Page 35

T. Bond return

Page 36

T. Bond return

Page 37

Summary for ppt

Arithmetic Average
Geometric Average
Stocks - T. BillsStocks - T. BondsStocks - T. BillsStocks - T. Bonds
1928-2014
8.00%
6.25%
6.11%
4.60%
2.17%
2.32%
1965-2014
6.19%
4.12%
4.84%
3.14%
2.42%
2.74%
2005-2014
7.94%
4.06%
6.18%
2.73%
6.05%
8.65%

Page 38

Summary for ppt

- T. Bonds

Page 39