Returns by year

Updated on

5-Jan-14

Customixed Geometric risk premium estimator

What is your riskfree rate?
Enter your starting year

LT
1929

Estimates of risk premiums from 19

are provided at the bottom of this ta

Value of stocks in starting year:

Value of T.Bills in starting year:
Value of T.bonds in starting year:
Estimate of risk premium based on your inputs:

Year
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

143.8111552
103.08
100.8354709
4.22%

Annual Returns on Investments in

Compounded Value of $ 100
S&P 500 3-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
5.70%
1.02%
1.95%
$
229.79 $ 121.56
18.30%
1.10%
4.66%
$
271.85 $ 122.90
30.81%
1.17%
0.43%
$
355.60 $ 124.34
23.68%
1.48%
-0.30%
$
439.80 $ 126.18
18.15%
1.67%
2.27%
$
519.62 $ 128.29
-1.21%
1.89%
4.14%
$
513.35 $ 130.72
52.56%
0.96%
3.29%
$
783.18 $ 131.98
32.60%
1.66%
-1.34%
$ 1,038.47 $ 134.17
7.44%
2.56%
-2.26%
$ 1,115.73 $ 137.60
-10.46%
3.23%
6.80%
$
999.05 $ 142.04
Page 1

Returns by year

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
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999

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%
16.54%
31.48%
-3.06%
30.23%
7.49%
9.97%
1.33%
37.20%
22.68%
33.10%
28.34%
20.89%

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%
6.45%
8.11%
7.55%
5.61%
3.41%
2.98%
3.99%
5.52%
5.02%
5.05%
4.73%
4.51%

-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%
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 2

$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

1,435.84
1,608.95
1,614.37
2,044.40
1,864.26
2,285.80
2,661.02
2,990.97
2,692.74
3,333.69
3,694.23
3,389.77
3,510.49
4,009.72
4,761.76
4,080.44
3,023.54
4,142.10
5,129.20
4,771.20
5,081.77
6,022.89
7,934.26
7,561.16
9,105.08
11,138.90
11,823.51
15,516.60
18,386.33
19,455.08
22,672.40
29,808.58
28,895.11
37,631.51
40,451.51
44,483.33
45,073.14
61,838.19
75,863.69
100,977.34
129,592.25
156,658.05

$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

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
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

Returns by year

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

-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%

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%

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%

Arithmetic Average
1928-2013
11.50%
1964-2013
11.29%
2004-2013
9.10%

3.57%
5.11%
1.56%

5.21%
6.97%
4.69%

Geometric Average
1928-2013
9.55%
1964-2013
9.89%
2004-2013
7.34%

3.53%
5.07%
1.54%

4.93%
6.56%
4.27%

Page 3

$
$
$
$
$
$
$
$
$
$
$
$
$
$

142,508.98
125,622.01
98,027.82
125,824.39
139,341.42
146,077.85
168,884.34
178,147.20
113,030.22
142,344.87
163,441.94
166,871.56
193,388.43
255,553.31

$
$
$
$
$
$
$
$
$
$
$
$
$
$

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
Risk Premium
Stocks - T.Bills
7.93%
6.18%
7.55%
Risk Premium
Stocks - T.Bills
6.02%
4.83%
5.80%

Returns by year

stimates of risk premiums from 1928, over the last 40 years and over the last 10 years
e provided at the bottom of this table.

Fuente

http://people.stern.nyu.edu/adamodar/

ded Value of $ 100

T.Bonds
Stocks - BillsStocks - Bonds
Historical risk premium
$
100.84
40.73% 42.98%
$
105.07
-11.46% -12.50%
$
109.85
-29.67% -29.66%
$
107.03
-46.15% -41.28%
$
116.44
-9.71% -17.43%
$
118.60
49.02% 48.13%
$
128.05
-1.51% -9.15%
$
133.78
46.57% 42.27%
$
140.49
31.77% 26.93%
$
142.43
-35.64% -36.72%
$
148.43
29.21% 25.07%
$
154.98
-1.14% -5.51%
$
163.35
-10.70% -16.08%
$
160.04
-12.85% -10.75%
$
163.72
18.84% 16.88%
$
167.79
24.68% 22.57%
$
172.12
18.65% 16.45%
$
178.67
35.44% 32.02%
$
184.26
-8.81% -11.56%
$
185.95
4.63%
4.28%
$
189.58
4.68%
3.75%
$
198.42
17.20% 13.64%
$
199.27
29.63% 30.38%
$
198.68
22.20% 23.97%
$
203.19
16.48% 15.88%
$
211.61
-3.10% -5.35%
$
218.57
51.60% 49.27%
$
215.65
30.94% 33.93%
$
210.79
4.88%
9.70%
$
225.11
-13.69% -17.25%
Page 4

Returns by year

$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

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
1,214.78
1,429.72
1,518.87
1,746.77
1,910.30
2,181.77
2,006.43
2,477.55
2,512.94
2,762.71
3,174.95
2,912.88

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%
10.09%
23.37%
-10.61%
24.62%
4.09%
6.98%
-2.66%
31.68%
17.66%
28.05%
23.61%
16.38%

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%
8.31%
13.78%
-9.30%
15.23%
-1.87%
-4.24%
9.36%
13.71%
21.25%
23.16%
13.42%
29.14%

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%
5.12%
5.24%
5.00%
5.14%
5.03%
4.90%
4.97%
5.08%
5.30%
5.53%
5.63%
5.96%

Page 5

$ 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%
Risk Premium
Standard Error
Stocks - T.Bonds
Stocks - T.Bills
Stocks - T.Bonds
6.29%
2.19%
2.34%
4.32%
2.42%
2.75%
4.41%
6.02%
8.66%
isk Premium
Stocks - T.Bonds
4.62%
3.33%
3.07%

Returns by year

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%

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
1965

S&P 500
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
92.43

Dividends Dividend YieldT.Bond rateReturn on bondJan 1 notes

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%
2.83
3.06%
4.62%
0.72%

Page 7

S&P 500 & Raw Data

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
2005
2006

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
1248.29
1418.3

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
22.22
24.88

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%
1.78%
1.75%

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%
4.39%
4.70%

Page 8

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%
2.87%
1.96%

S&P 500 & Raw Data

2007
2008
2009
2010
2011
2012
2013

1468.36

903.25
1115.1
1257.64
1257.6
1426.19
1848.36

27.73
28.39
22.41
22.73
26.43
31.25
36.28

1.89%

4.02%

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

2.21%

Page 9

3.84%
3.29%
1.88%
1.76%
3.04%

10.21%
20.10%
-11.12%
8.46%
16.04%
2.97%
-9.10% ! Used estimated dividend for 2012, based

S&P 500 & Raw Data

Page 10

S&P 500 & Raw Data

Page 11

S&P 500 & Raw Data

Used estimated dividend for 2012, based upon Nov 2012 projected dividend yield from S&P

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 Adjustment:
Not 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
Mar

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
0.38

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
1972

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
15.81

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%
3.95%

T. Bill rates

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
May
June

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
0.11
0.12

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

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

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

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
july
Aug
Sept

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
0.38
0.38
0.38

Page 15

T. Bill rates

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
Sept
Oct
Nov
Dec

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
1.07
1.05
1.08
1.10

Page 16

T. Bill rates

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
Nov
Dec
Jan-54
Feb
Mar

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
1.44
1.60
1.18
0.97
1.03

Page 17

T. Bill rates

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
Jan-58
Feb
Mar
Apr
May
June

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
2.44
1.53
1.30
1.13
0.91
0.83

Page 18

T. Bill rates

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
Mar
Apr
May
June
july
Aug
Sept

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
2.72
2.73
2.69
2.73
2.92
2.82
2.78

Page 19

T. Bill rates

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
May
June
july
Aug
Sept
Oct
Nov
Dec

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
4.64
4.50
4.80
4.96
5.37
5.35
5.32
4.96

Page 20

T. Bill rates

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
july
Aug
Sept
Oct
Nov
Dec
Jan-71
Feb
Mar

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
6.45
6.41
6.12
5.91
5.28
4.87
4.44
3.70
3.38

Page 21

T. Bill rates

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
Sept
Oct
Nov
Dec
Jan-75
Feb
Mar
Apr
May
June

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
8.06
7.46
7.47
7.15
6.26
5.50
5.49
5.61
5.23
5.34

Page 22

T. Bill rates

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
Nov
Dec
Jan-79
Feb
Mar
Apr
May
June
july
Aug
Sept

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
8.64
9.08
9.35
9.32
9.48
9.46
9.61
9.06
9.24
9.52
10.26

Page 23

T. Bill rates

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
Jan-83
Feb
Mar
Apr
May
June
july
Aug
Sept
Oct
Nov
Dec

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
7.86
8.11
8.35
8.21
8.19
8.79
9.08
9.34
9.00
8.64
8.76
9.00

Page 24

T. Bill rates

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

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
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

Page 25

T. Bill rates

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

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
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

Page 26

T. Bill rates

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

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
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

5.49

Page 27

T. Bill rates

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

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
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

5.01

5.06

4.78

4.64

5.82

Page 28

T. Bill rates

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

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
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

3.39

1.60

1.01

1.37

Page 29

T. Bill rates

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

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
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

3.15

4.73

4.35

1.37

Page 30

T. Bill rates

July
Aug
Sept
Oct
Nov
Dec

0.18
0.17
0.12
0.07
0.05
0.14

0.16

Page 31

T. Bond return

US treasury 10-year bond at end of each year

Federal Reserve of St. Louis (FRED)
Computation To compute the return on a constant maturity bond, I add two components - the promised coupon at the
The return on the 10-year bond for 1928 = 3.17% (Coupon rate promised at the end of 1927) - Price cha
Bond used:
Source:

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

T.Bond rateReturn on bond

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%
3.84%
11.64%

Page 32

T. Bond return

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
2000
2001

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%
5.11%
5.05%

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%
16.66%
5.57%

Page 33

T. Bond return

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

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

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

mponents - the promised coupon at the start of the year and the price change due to interest rate changes.
omised at the end of 1927) - Price change on a bond with a coupon rate of 3.17%, when the interest rate goes to 3.45%.

Page 35

T. Bond return

Page 36

T. Bond return

Page 37

T. Bond return

interest rate goes to 3.45%.

Page 38

Summary for ppt

Arithmetic Average
Geometric Average
Stocks - T. Bills
Stocks - T. Bonds
Stocks - T. Bills
Stocks - T. Bonds
1928-2013
7.93%
6.29%
6.02%
4.62%
2.19%
2.34%
1964-2013
6.18%
4.32%
4.83%
3.33%
2.42%
2.75%
2004-2013
7.55%
4.41%
5.80%
3.07%
6.02%
8.66%

Page 39