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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 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