S&P 500 History — 155 Years of Annual Returns

How these returns are calculated

Data source

Robert Shiller's monthly S&P 500 dataset — shillerdata.com

Columns used

SpPrice — monthly average nominal closing price of the S&P Composite index
Dividend — trailing 12-month total dividends, annualized — must divide by 12 to get one month's income

Step 1 — Monthly returnstored as NominalTotalReturn column in the DB

Each month's return has two parts: how much the price moved + dividend income earned that month.

NominalTotalReturn = (P_t / P_t−1 − 1) + (Dividend / 12) / P_t−1

Example — Feb 2024 | price: $4,846 → $4,959 | annual dividend: $68.00
Price return   = (4,959 / 4,846) − 1          = +2.33%
Monthly div   = (68.00 / 12) / 4,846         = +0.12%
Total          = +2.45% ← stored in NominalTotalReturn

Jan 1871 has no prior month, so NominalTotalReturn = NULL for that row only. All subsequent months are computed and stored.

Step 2 — Annual returnwhat each heatmap cell shows

Multiply all 12 monthly return factors together, then subtract 1. This is proper compounding — a +5% month followed by a −5% month is not zero.

(1 + r_Jan) × (1 + r_Feb) × … × (1 + r_Dec) − 1

Years with fewer than 12 monthly rows are excluded (first partial year 1871, last partial year if data is mid-year).

Assumptions

• Nominal only — not inflation-adjusted. The Cpi column exists in the table but is not used here.
• Dividend timing — Shiller's Dividend column is a trailing 12-month annualized estimate, not actual ex-dividend dates. Monthly income is approximated as 1⁄12 of that annual figure.
• Price is a monthly average — SpPrice is Shiller's average of daily closes for the month, not end-of-month price.

◆ S&P 500 History