most start in 1972, US equities (large/mid/small & blend/value) start in 1927, overall US and bonds back to 1900

Final year to include in analysis, returns will go to the end of this year

Real returns is after inflation, nominal includes the returns generated from inflation (less net gain to the investor though)

100% for full taxes in top tax bracket, 0 for a tax advantaged account (like 401k or IRA)

Returns can either be presented as nominal (with inflation) or real (after inflation)

A tax cost can also be applied to funds (based upon the Morningstar tax cost ratio) if you are designing a taxable account

All returns assume annual rebalancing

Shaded cells indicate formulas, unfilled represent where inputs are needed

Big thanks to the bogleheads group

for compiling most of this data

https://www.portfoliovisualizer.com/

also contributed some (and uses boglehead data) and is a great resource

Fidelity's sector performance data

led us to look into sectors and overweight health care and consumer staples for their superior risk adjusted returns

Credit Suisse Global Investment Returns Yearbook

led us to look into individual countries after their superior returns over such a long time period

Vanguard Total Stock Market Index Fund (VTSMX) - 1993+

Vanguard Mid Cap Index Value Fund (VMVIX) - 2007+

Vanguard Small Cap Value Index Fund (VISVX) - 1999+

http://www.businessinsider.com/goldmanannual-sector-returns-vs-sp-500-2013-1

http://www.businessinsider.com/goldmanannual-sector-returns-vs-sp-500-2013-1

http://www.businessinsider.com/goldmanannual-sector-returns-vs-sp-500-2013-1

Vanguard Total International Index Fund (VGTSX) - 1997+

IFA website (IFA IV, added back expenses): 1972-1974

FTSE All-World ex-US Small Cap Idx (VFSVX) 2010+

IFA website (IFA IS, added back expenses): 1972-1996

(IFA allocated 50% IFA Intl Value Index and 50% IFA Intl Small)

IFA website (IFA EM, added back expenses): 1972-1987

SPDR S&P Emerging Markets Small Cap ETF (EWX) 2009+

MSCI Emerging Small Cap Index - 0.65% Expense 2002-2008

Guggenheim Frontier Markets ETF (FRN) 2009-2012

Data from Edvinsson, Jacobson, and Waldenstrom minus 0.48 expenses

http://www.riksbank.se/Documents/Forskning/%C3%96vrigt/2014/foa_historical_statistics_%20volume2_140613.pdf

Data from Brailsford, Handley and Maheswaran minus 0.48 expenses

http://epublications.bond.edu.au/cgi/viewcontent.cgi?article=1594&context=business_pubs

http://topforeignstocks.com/2014/01/08/south-africas-ftsejse-all-share-index-returns-by-year/

http://onlygold.com/Info/Historical-Gold-Prices.asp

http://www.finfacts.ie/Private/curency/goldmarketprice.htm

DJ-AIG plus Yahoo's IPS 'category' returns 1997-2001 (prior to VIPSX)

Collaterallized Chase Index 1972-1990

iShares JPMorgan USD Emerg Markets Bond (EMB) 2008+

JPM EMBI+ minus 0.4 expenses 1994-2007 (https://www.bogleheads.org/wiki/Emerging_market_bonds)

90% Total Int'l Bond / 10% Emerging Market 1972-2007

90% US Total Bond / 10% Total Int'l Stock 1972-1986

Vanguard Intermediate Corporate Bond Fund (VICSX) 2011-2015

Barclays U.S. Corporate Bond Index (see barcap.com) 1973-2010

Vanguard Inflation-Protected Security Fund (VIPSX) 2001+

http://www.cfapubs.org/doi/pdf/10.2469/faj.v60.n1.2592

http://www.diehards.org/forum/viewtopic.php?t=281

Synthetic TIPS data provided by Cb (Data from Kothari's paper)

75% Short Term Treasury / 25% Corporate Bond 1972-1981

Longinvest's bonds fund spreadsheet (4-2 model) 1972-1991

Vanguard Treasury Money Market Fund (VMPXX) 1984-2008

Credit to Trevh/Cb/Alec/Siamond from Vanguard Diehards / Bogleheads forum for compiling this data from various sources.

For comments/feedback/updates visit:

https://www.bogleheads.org/forum/viewtopic.php?p=2753812#p2753812

https://investor.vanguard.com/mutual-funds/vanguard-mutual-funds-list

https://www.msci.com/end-of-day-data-search

(pick a recent date for DM or EM, search, then click on appropriate MCSI broad index, tune chart display, download Excel spreadsheet)

http://www.fpanet.org/journal/articles/2006_Issues/jfp2006-art7.cfm

IFA historical data was derived from various indexes, see descriptions and calculator:

http://www.ifa.com/library/support/data/IFAindexdata.asp

CPI-U data was collected from http://www.bls.gov/cpi and the actual data was obtained from:

ftp://ftp.bls.gov/pub/special.requests/cpi/cpiai.txt

Credit to Cb/Gnobility/Jeff for calculating the synthetic returns of CCF data (XLS lost)

http://gnobility.com/Syn_Comm/CCF_1972-2007_san.xls

https://www.bogleheads.org/forum/viewtopic.php?t=144355

Credit to Stratton for the Global Bond Funds Data

Credit to CraigR for the Permanent Portfolio information and the Gold returns

http://crawlingroad.com/blog/2008/12/22/permanent-portfolio-historical-returns/#more-299

Credit to Longinvest for the synthetic historical bond returns (pre-1972 and more)

https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425

Credit to Tyler9000 for the CRSP-like synthetic series for 3x3 factors

https://portfoliocharts.com/stock-index-calculator/

Historical Returns (pre-1972):

S&P500(h): courtesy of Pr Shiller - no Expense Ratio applied

http://www.econ.yale.edu/~shiller/data/ie_data.xls

IT Bonds(h): simulated bond fund 10-4, derived from interest rates (Shiller and FRED) - no ER

https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425

TBills(h): simulated returns based on 1-yr interest rates (Shiller and FRED) - no ER

http://www.econ.yale.edu/~shiller/data/chapt26.xls

Stock Index Calculator (Tyler): LCV, LCG, MCB, MCV, MCG, SCB, SCV, SCG (note: LCB == S&P 500)

https://portfoliocharts.com/stock-index-calculator/

LT Bonds: simulated bond fund 30-11, derived from interest rates (Shiller and FRED)

https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425

IT Bonds: simulated bond fund 10-4, derived from interest rates (Shiller and FRED)

https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425

ST Bonds: simulated bond fund 4-2, derived from interest rates (Shiller and FRED)

https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425

Following is the list of the Abbreviations and a summary of the data sources by year range.