JP Morgan Asset Management included this information in their “Guide to the Markets, 1Q 2012″ about the relative contribution of dividends and capital appreciation to total return for U.S. equities.
Over the full span from 1926 through 2009, dividends contributed 4.1% and capital appreciation contributed 5.5% — 42.7% of the 9.6% total return.
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We don’t know what dividend reinvestment or tax assumptions were made. The data is for the S&P 500, which was not created as the “500″ until the 1950′s, but there is a broadly accepted set of precursor index data (including the Dow Jones index) which was undoubtedly used for the period from 1926 to the actual launch of the 500.