I’m playing with a spreadsheet to simulate returns/expected ending values on my personal portfolio. Does anyone have a link to (reliable) return statistics on major indices that they could share? Specifically, I’m looking for the average return and std. deviation of returns on the S&P 500 and TSX Composite indices, ideally for multiple time periods (5-yrs, 10-yrs, 20-yrs, etc.)
Go to Yahoo Finance and download the historical returns as a spreadsheet. For instance: http://finance.yahoo.com/q/hp?s=^GSPC&a=00&b=3&c=1950&d=08&e=21&f=2011&g=d
even if we assume the expected return is constant, your estimate based on the realized return from historical time series would be extremely unrealiable unless you have a very long history (5-20 years of daily returns certainly not enough). use historical returns to estimate standard deviation if you like, but for expected returns, i suggest using a model of some sort instead of plain historical data.