Historical and expected returns
Historical and expected returns provides historical market data as well as estimates of future market returns.
Burton Malkiel, author of A Random Walk Down Wall Street provides historic asset class returns.
|Series||Geometric Mean||Arithmetic Mean||Standard Deviation|
|Large Company Stocks||10.4%||12.3%||20.2%|
|Small Company Stocks||12.6%||17.4%||32.9%|
|Long-term Corporate Bonds||5.9%||6.2%||8.5%|
|Long-term Government Bonds||5.3%||5.5%||5.7%|
|U.S. Treasury Bills||3.7%||3.8%||3.1%|
Robert Shiller is a Professor of Economics at Yale University. He maintains multiple historical market data spreadsheets, including the following:
Aswath Damodaran is a Professor of Finance at New York University. He maintains various corporate finance and valuation spreadsheets, including the following:
Data prior to 1970
Forum member McQ has provided references for finding older historical data on the returns earned on stocks, bonds, and where available, other investment assets. It includes US and International data over various time frames, along with commentary on various issues related to the data.
- Bogleheads forum topic: "Historical asset returns before 1970: Where to find", McQ. July 15, 2021
- Bogleheads forum post: "Historical STOCK returns in the US 1926 to 1972"
- Bogleheads forum post: "Historical BOND returns in the US 1926-1970"
- Bogleheads forum post: "Historical OTHER ASSET returns in the US 1926 -1970"
- Bogleheads forum post: "Historical STOCK returns in the US 1871 to 1926"
- Bogleheads forum post: "Historical US BOND returns 1871 to 1926"
- Bogleheads forum post: "Historical OTHER ASSET returns 1871 to 1926"
- Bogleheads forum post: "Historical US STOCK returns 1793 to 1871"
- Bogleheads forum post: "Historical BOND returns 1793 to 1871"
- Bogleheads forum post: "Historical OTHER ASSETS returns 1793 to 1871"
- Bogleheads forum post: "International STOCK and BOND returns 1900 to 1972"
- Bogleheads forum post: "International STOCK and BOND returns 1600 to 1900"
Expected future returns
John Bogle with reasonable expectations for stocks and bonds over the next ten years, using his own "Occam's razor" model.
|Asset Class||Expected Nominal Return|
|U.S. Stocks (broad market)||4%|
|U.S. Bonds (broad market + moderate risk)||3.1%|
Note: Bonds expected return assumes accepting moderate additional credit risk and significant interest rate risk vs. the U.S. Treasury 10-year note.
William Bernstein with a summary of reasonable expected returns over the next ten years, derived from the dividend discount model, published in 2014. 
|Asset Class||Expected Real Return|
|U.S. Large-Cap Stocks||2%|
|U.S. Large-Value and Small-Cap Stocks||3%|
|U.S. Small-Value Stocks||4%|
|Developed Foreign Stocks||5%|
|Emerging Markets Stocks||4%|
|Precious Metals Stocks||1%|
|Base Metals and Oil Stocks||3%|
|Treasury Bills, Notes, and Bonds||-1%|
Bernstein's estimates in 2002 are below:
|Asset Class||Expected Real Return|
|Large U.S. Stocks||3.5%|
|Large Foreign Stocks||4%|
|Large Value Stocks (foreign and domestic)||5%|
|Small Stocks (foreign and domestic)||5%|
|Small Value Stocks (foreign and domestic)||7%|
|Emerging Market / Pacific Rim Stocks||6%|
|High-Yield ("Junk") Bonds||5%|
|Investment-Grade Corporate Bonds; TIPS||3.5%|
|Treasury Bills and Notes||0-2%|
|Precious Metals Equity||3%|
Rick Ferri, author of All About Asset Allocation.
The table below is an expected return for all major equity and fixed income asset classes over the next thirty-years. It could be used as guide when constructing a long-term diversified portfolio.
|Asset Classes||Real returns||Nominal returns with
|Government Backed Fixed Income|
|US Treasury Bills (1 year maturity)||0.1||2.1||2.0|
|10-year U.S. Treasury notes||1.9||3.9||7.0|
|20-year U.S. Treasury bonds||2.5||4.5||8.0|
|30-year inflation protected Treasury (TIPS)||2.6||4.6||9.0|
|10-year tax-free municipal (A rated)||1.6||3.6||7.0|
|Corporate and Emerging Market Fixed Income|
|10-year investment-grade corporate (AAA-BBB)||2.6||4.6||9.0|
|20-year investment-grade corporate (AAA-BBB)||3.3||5.3||10.0|
|10-year high-yield corporate (BB-B))||4.0||6.0||15.0|
|Foreign government bonds (unhedged)||2.4||4.4||9.0|
|US Equity Common Equity and REITs|
|US Large Stocks||5.0||7.0||19.0|
|US Small Cap Stocks||5.3||7.3||22.0|
|US Small Value Stocks||5.8||7.8||26.0|
|US Real Estate Investment Trusts (REITs)||4.8||6.8||19.0|
|International Equity (unhedged)|
|Developed countries small companies||5.7||7.7||23.0|
|Developed countries small value companies||6.2||8.2||27.0|
|All emerging markets including frontier countries||7.0||9.0||29.0|
|*The estimate of risk is the estimated standard deviation of annual returns.
The 30-year forecast data is presented on an annualized compounded total return basis.
- Google spreadsheet to calculate an estimated expected return for an entire portfolio.
- Vanguard’s economic and investment outlook contains Vanguard's expected 10-year returns for major asset classes. December 2015.
- Expected Returns on Major Asset Classes from the CFA Institute, Anti Ilmanen, June 2012, Vol. 2012, No. 1.
- ↑ A Random Walk Down Wall Street - Burton Malkiel (2007), page 185 (source: Ibbotson Associates)
- ↑ Occam's Razor Redux: Establishing Reasonable Expectations for Financial Market Returns - John Bogle (Fall 2015)
- ↑ John Bogle, Bogleheads XVI!, Bogleheads XVI Presentation (Slides 64 to 65), October 19, 2017.
- ↑ Dividend Discount Model
- ↑ Rational Expectations: Asset Allocation for Investing Adults (Investing for Adults) (Volume 4) - William Bernstein (2014)
- ↑ Bernstein: A Decade of Super-Low Returns in Bogleheads.org forum, 9 June 2014
- ↑ The Four Pillars of Investing - William Bernstein (2002), page 72
- ↑ Portfolio Solutions’ 30-Year Market Forecast for 2015, from Portfolio Solutions. Reprinted with permission from Rick Ferri, CEO, Portfolio Solutions.