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URL:  http://boards.fool.com/distributions-of-sp500-returns-30615891.aspx

Subject:  Distributions of S&P500 returns Date:  3/31/2013  5:34 PM
Author:  Rayvt Number:  71605 of 80001

[Spun off from the 7702 thread.]

Whenever the topic of annual floors and caps comes up, the question arises of: What do the returns look like? How many times is the annual return of the S&P500 below the XX% floor, and how many times is it above the YY% cap?

I computed the rolling 12-month returns of the S&P500 index (excluding dividends) beginning Jan 1975 and ending Dec 2012. That's 37 years, and 456 rolling annual periods.

The worst 12-month loss was -45%.
The best 12-month gain was +53%.

Here's the table of the distribution of the returns. (Explanations following.)
Gain	Cnt	Pct	Cum pct	Weighted	Floor/Cap
-45% 7 1.5% 1.5% -0.6140
-35% 1 0.2% 1.8% -0.0713
-30% 5 1.1% 2.9% -0.3015
-25% 11 2.4% 5.3% -0.5428
-20% 14 3.1% 8.3% -0.5373
-15% 14 3.1% 11.4% -0.4145
-12% 10 2.2% 13.6% -0.2412
-10% 7 1.5% 15.1% -0.1458
-9% 4 0.9% 16.