Revisited the Stock, Bonds and Bills data from my previous post, I created a set of real (inflation adjusted) average annual compound returns for rolling time periods (e.g. rolling 5-year returns: 1928-1933, 1929-1934, 1930-1935 etc...) I also included the average annual compound real return for 1928-2012: stocks 6.0% 10-year bonds 2.0% and 3-month bills 0.5%
Some of the outliers in these returns are due to bubbles. For example stocks in the late 1920s, mid-1930s and late-1990s had unusual large real returns with a corresponding drop. See Long-term Growth Rate of US Stocks)
Return Data from Damodaran Online | Updated Data | Historical Returns on Stock Bonds and Bills - United States CPI from Measuring Worth.
Chart created using OmniGraphSketcher; labels added with Adobe Illustrator.