S&P 500 Historical Data since 1871: Returns and Market Regimes

The S&P 500 is the most widely followed equity benchmark in the world. This dataset follows it since January 1871 as a monthly total return index rebuilt from Robert Shiller’s long-run stock market data (Yale): the value of one dollar invested in January 1871 with dividends reinvested, in current dollars and after inflation. For the technology-heavy index, see our Nasdaq Composite index dataset.

Over 155 years the index returned 7.1% a year after inflation, with dividends reinvested. The path was anything but linear, with a 77% real loss between September 1929 and June 1932, and falls of 45% to 50% in real terms in 1937–42, 1973–74, 2000–03 and 2007–09.

Dataset: S&P 500 Total Return Index, monthly, January 1871 to 2026-10-01

Data provided as is, with no warranty of accuracy or timeliness. Check any figure against the primary source cited on this page before using it. Terms: legal notice.

Data terms: calculated from Robert J. Shiller’s Online Data (ie_data.xls), published without a licence; Eco3min grants none and the file is not under a Creative Commons licence. Cite Robert J. Shiller. Eco3min text and analysis: CC BY 4.0.

Major S&P 500 Crashes

Peak-to-trough falls of the monthly total return index, dividends reinvested, measured on the same months in current dollars and after inflation. Monthly averages smooth daily extremes: on daily closes of the price index, the October 2007 to March 2009 fall wipes out more than half of the index’s value (S&P Dow Jones Indices).

Inflation changes the ranking. Deflation in the early 1930s let the real index regain its 1929 value in November 1936, while the nominal index needed until January 1945. In the 1970s a 39% nominal fall became a 50% real loss, and the real index took twelve years to regain its January 1973 peak.

S&P 500 Returns by Decade and over 10- and 20-Year Periods

Annualized total return with dividends reinvested, from the monthly index. Year-by-year returns on closing prices since 1928 are in our S&P 500 annual returns dataset (Aswath Damodaran, NYU Stern).

Across all rolling 10-year windows since 1871, the real total return was negative in 11% of cases. The worst window ended in March 2009 at −5.9% a year; the best ended in May 1930 at +20.0% a year. Over 20 years, only 0.1% of windows lost money after inflation, the weakest ending in June 1921 at −0.2% a year. No 30-year window lost money in real terms. The weakest, ending in June 1932, still returned 1.9% a year.

On the same data, $1,000 invested in September 2006 grew to about $8,390 by September 2026 with dividends reinvested, or about $5,100 in September 2006 dollars. Over the ten years from September 2016, $1,000 became about $4,160, or $3,000 after inflation.

Macro Takeaway

Dataset Overview

Dataset Variables

The CSV file contains the following columns.

Column names match the CSV headers exactly.

Daily Closes: FRED Series SP500 (Last Ten Years)

FRED publishes daily closes of the S&P 500 price index under series code SP500, over a rolling ten-year window only (on 29 September 2026 the series started on 29 September 2016). The series is published on FRED under the terms of its holder, S&P Dow Jones Indices: any reproduction requires prior approval, and it is not reproduced on Eco3min.

Using the Dataset in Python

import pandas as pd

url = "https://eco3min.fr/dataset/sp500-total-return-index.csv"
df = pd.read_csv(url, parse_dates=["date"])

years = (df["date"].iloc[-1] - df["date"].iloc[0]).days / 365.25
real_cagr = df["real_total_return_index"].iloc[-1] ** (1 / years) - 1
print(df.tail())
print(f"Real total return since 1871: {real_cagr:.2%} a year")

Using the Dataset in R

library(readr)

url <- "https://eco3min.fr/dataset/sp500-total-return-index.csv"
df <- read_csv(url)

years <- as.numeric(difftime(max(df$date), min(df$date), units = "days")) / 365.25
tail(df)
tail(df$real_total_return_index, 1)^(1 / years) - 1

Both examples load the dataset directly from the URL, no download or API key required.

Methodology

Eco3min rebuilds the index from Robert Shiller’s workbook ie_data.xls (shillerdata.com), which reports since January 1871 the monthly average of daily S&P composite closing prices (Cowles Commission data before 1926), annualized dividends per share and the US CPI. Each month the index grows by (P_t + D_t/12) / P_t−1, where P is the monthly average price and D the annualized dividend, so dividends are reinvested every month at that month’s price. The real index divides by the CPI and is expressed in January 1871 dollars. Both series start at 1 in January 1871.

Three limits follow from the construction. Monthly averages smooth daily extremes, so drawdowns are shallower than on closing prices. Shiller extends dividends and the CPI for the latest months until official figures are released, so the last observations are revised. Index levels are not published because the S&P 500 level is licensed by S&P Dow Jones Indices, and the dataset only carries the derived total return indices.

The Eco3min pipeline pulls ie_data.xls on every business day and replaces the whole file, so each Shiller revision propagates to the full history. New months appear when Shiller refreshes the workbook, usually once a month.

Historical Regimes

1871–1929: Railroads, panics and the 1920s boom. The real total return index compounded at 5.6% to 10.9% a year in each decade from the 1870s to the 1900s, interrupted by the panics of 1873, 1893 and 1907. The 1910s were the exception: wartime inflation pushed the real return to −1.9% a year. The 1920s then delivered 16.3% a year after inflation.

1929–1949: Crash, depression and war. The real index lost 76.8% between September 1929 and June 1932. Deflation and dividends let it regain its 1929 value in November 1936, before a second fall of 48.3% between February 1937 and April 1942.

1950–1968: Post-war secular bull. The real total return index compounded at 12.4% a year from December 1949 to December 1968, driven by US industrial dominance, baby boom demographics, and the Bretton Woods stability framework. This era established the “stocks for the long run” narrative.

1968–1982: Nominal stagnation. The price index went sideways through the whole period as inflation eroded real returns: the real total return index lost 34% between December 1968 and July 1982. In real terms the total return index fell 50.1% between January 1973 and December 1974 and regained its 1973 value only in January 1985.

1982–2000: The great bull market. The real total return index compounded at 15.3% a year from August 1982 to August 2000, driven by falling rates, deregulation, and the technology revolution. The dot-com bubble pushed the index to valuations (a CAPE above 44, still the record of the series). A related perspective: how markets behaved from prior peaks.

2000–2013: Two crashes, one recovery. The price index peaked in March 2000, bottomed in October 2002 and closed above its 2000 high again in May 2007, before falling to a lower low in March 2009. Its October 2007 record was regained only in March 2013, and the real total return index needed until May 2013 to recover its August 2000 value. This period illustrates the weight of starting valuations in long-term returns. Related question: entry valuation and forward returns.

2013–present: QE era and concentration. The index reached 7,652 at the 30 September 2026 close (S&P Dow Jones Indices), a rise driven by near-zero rates until 2022, QE, and the earnings growth of mega-cap technology companies. The 2022 rate shock cut the real index by 24.5% between November 2021 and October 2022. By 2024, the largest constituents carried their heaviest combined weight in the index since the early 1970s.

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Sources

• Robert J. Shiller, Yale University: U.S. Stock Markets 1871–Present and CAPE Ratio (ie_data.xls, shillerdata.com)
• S&P Dow Jones Indices: S&P 500 Index (closing level and daily-close drawdown cited in the text)
• Federal Reserve Bank of St. Louis, FRED series SP500 (last ten years, linked, not reproduced)

Dataset Reference

Eco3min Research. (2026). S&P 500 Total Return Index since 1871 (Shiller data).<br> https://eco3min.fr/en/sp500-price-index-dataset/