During the past several years I have posting charts showing annual stock market and bond market returns for various indices for the time periods from 1980-2006, 1980-2007, 1980-2008, 1980-2009, and 1980-2010. I have generated an updated chart to include returns from 2011 as shown below (click on the image for a larger view).
The chart shown below illustrates 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.
2011 was a mediocre year for most stock market indicies as performance was held back by the financial turmoil in the Euro Zone. International indicies performed particularly poorly as American investors generally prefered to invest in the safety of bonds instead of foreign equities.
Bonds provided steady returns as they have since 1980, with the BC Agg. Index rising 7.84%, its best calendar year return since 2002. The S&P 500 Growth Index was the strongest equity performer of the indicies shown below, returning about 4.65%. The S&P 500 Index was the only other index which generated positive returns, rising a pedestrian 2.11% in 2011.
International equities were hammered during 2011, with the MSCI EAFE Index dropping 12.14%. Value equities also underperformed - the Russell 2000 Value Index dropped 5.50% and the S&P 500 Value Index dropped 0.48%. Tech stocks were also underperformers, as evidenced by the 1.80% drop of the Nasdaq Composite.
As shown in the chart below, the Russell 2000 Value Index provided the strongest returns by far between 1980 and 2011, returning a total of 4,105.20%, or an average of 12.39% per year. The total returns of the Russell 2000 Value Index has returned more than 1,300% 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.