Saturday, January 08, 2011

1980 - 2010 Stock Market Returns for Various Indices

Since 2007 I have been posting charts showing annual stock market and bond market returns for various indices for the time periods from 1980-2006, 1980-2007, 1980-2008, and 1980-2009. These charts show returns for small cap indices (Russell 2000, Russell 2000 Value, and Russell 2000 Growth), large cap indices (S&P 500, S&P/Citi 500 Value, and S&P/Citi 500 Growth), a broad-based foreign stock index(Morgan Stanley Capital International Index for the developed stock markets of Europe, Australasia, and the Far East ("MSCI EAFE index")), an index of bonds (Barclays Capital Aggregate Bond Index Lehman Brothers Aggregate Bond Index ("BC Agg."))*, and the Nasdaq Composite Index. These charts have been updated as shown below (click on the image for a larger view) to reflect returns for 2010.

2010 was a good year across the board for most of the major stock indices as equities and bonds extended their rebound from the 2008 market collapse. Foreign stocks were hit hard at the beginning of 2010 as fears of a collapse of the Euro-zone after Greece experienced severe economic distress. Foreign markets eventually started to recover in May 2010 when the Eurozone agreed to bail out Greece. Equities also rallied strongly between September and December 2010 as the Federal Reserve ("FED") began implementing a program of quantitative easing known popularly as "QE2" pursuant to which the FED began purchasing up to $600 billion in bonds.

Small Caps provided the strongest returns during 2010, as shown below. The Russell 2000 Growth Index rose 29.09%, the Russell 2000 Index rose 26.86%, and the Russell 2000 Value Index rose 24.50%. Large caps also performed well, the S&P 500 Growth, Value, and Composite indices each returning slightly over 15%. Tech stocks also performed well, as evidenced by the return of 16.91% of the Nasdaq Composite Index. Foreign stocks lagged, with the MSCI EAFE Index rising a mere 7.75%, as a consequence of the economic distress within the Eurozone. Bonds provided steady returns as they have for the past 30 years, with the BC Agg. Index rising 6.54%.

As shown in the chart below, the Russell 2000 Value Index has provided the strongest returns by far between 1980 and 2010, returning a total of 4,349.98%, or an average of 13.02% per year. The total returns of the Russell 2000 Value Index has returned more than 1,600% more relative to its initial value on December 31, 1979 than the next best index I tracked, the S&P 500 Index.


* The BC Agg. bond index was known as the Lehman Brothers Aggregate Bond Index prior to 2008.

** Edit - January 2, 2017 ***
I have updated this chart with results through 2016.

8 comments:

Anonymous said...

Jim.

Where do you get your data? I'd like to be able to
Make similar plots

Thanks

Jim said...

Anonymous, with the exception of the Nasdaq Composite, I get all of my recent index data from the iShares website. iShares has downloadable spreadsheets that indicate daily index values for each of the indices in the chart above with the sole exception of the Nasdaq Composite. I used Yahoo historical data to calculate the Nasdaq returns.

FYI, the annual returns for the Nasdaq Composite do not account for reinvested dividends - I have not been able to locate a source of annual returns for the Nasdaq Composite that accounts for dividends.

Henry said...

Jim, great data set. I had a question on your Lehman AGG set. 1986 return from another site shows -0.21 for that year. I match all the other years, but that one.

What data source are you using to obtain the old Lehman Agg returns?

Thanks

Jim said...

Henry, I obtained the returns for the Lehman AGG bond index from this old version of the Callan periodic table of investment returns. See: http://www.keithtaylor.biz/new/keithtaylor/Callan_Chart_Why_Diversity_Matters.pdf

Anonymous said...

Do the S&P 500 returns reflect dividends?
Mark

Jim said...

Mark, all of the returns except for the Nasdaq Composite returns are adjusted to include dividends. I was not able to locate a source for Nasdaq Composite dividend-adjusted returns.

Anonymous said...

Jim,

Thanks for the tip about the iShares site. I was not aware of the wealth of historical data posted there.

Ran into a little problem trying to download index data from iShares, though. It asked me to register, offering choices of financial professional or individual investor. I registered as the latter ... then it locked me out, saying index data is only for financial professionals. Ha ha, GOTCHA!

I'm seeking Russell 2000 monthly TR data for a model I'm building. Any suggestions? Thanks again for your excellent site.

Michael

Jim said...

Michael, try visiting the iShares website attempt to download the index data again. I am not a registered user and I haven't have any issues downloading the spreadsheets for the various target indexes. The spreadsheets I download are available under the "Documents" tab for a particular ETF. If you are on the "Documents" tab, you can download the historical data by selecting the "NAV/Index History" link to download a spreadsheet of daily closing values.