This article describes how to determine the profitability of the leading stock indices for different investment horizons. These issues are extremely important for investors who wish to commensurate risk and return on investment for different time horizons. The optimal choice of investment horizon makes it possible to find a more suitable investment strategy, consequently find the best balance of risk and return, taking into account the possibility of investment by maturity. Often, the investor faces the problem of determining the timing of investments: short investment horizons increase the cost of commissions due to the need to trade frequently, but, long-term investments is not always suitable due to the impossibility of stock market forecasting in long time horizons. Therefore, the purpose of this paper is to identify the return on the stock indices of different investment horizons.