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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 12month 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 12month loss was 45%. The best 12month gain was +53%. Here's the table of the distribution of the returns. (Explanations following.) Gain Cnt Pct Cum pct Weighted Floor/Cap 