Abstract Annual holding returns are reported for a broad range of the assets available to investors in the security market between 1872 and 1925. A generally favorable picture of asset performance is revealed when these returns are compared to those on similar investments in the modern era. Two changes in the patterns of returns around 1900 occurred—a decline in inflation adjusted debt returns and an increase in the volatility of stock returns (especially industrial stock). The structure of asset returns after 1900 was distinctly modern and has persisted to the present. The emergence of the modern structure of returns is linked to institutional changes in the security market between 1890 and World War I, and to the process of industrial capital formation.