The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Retirement Investing

URL:  http://boards.fool.com/sp500-distribution-of-returns-30880188.aspx

Subject:  S&P500 distribution of returns Date:  9/20/2013  4:09 PM
Author:  Rayvt Number:  73126 of 76237

S&P500 distribution of returns

Presented as base data for any future discussions where floors and caps are a consideration of investment strategies.

Statistics for all rolling 12-month returns of S&P500 index (excluding dividends)
Jan 1950 to Jan 2013 744 annual periods

Return Occurs Avg Median
> 0% 72% 16.3% 13.8%
< 0% 28% -11.8% -9.7%

< 2% 31% -10.4% -8.2%
< 3% 33% -9.5% -7.2%

> 10% 49% 21.6% 19.5%
> 11% 46% 22.2% 20.3%
> 12% 43% 22.9% 21.1%
> 16% 32% 26.1% 25.0%
> 25% 16% 32.2% 30.8%
> 35% 4% 40.7% 38.6%

Range Occurs Avg Median
0% - 12% 29% 6.2% 6.7%
3% - 11% 21% 7.2% 7.0%
2% - 10% 20% 6.2% 6.5%
All 100% 8.5% 9.7%


Reading the above, for 0% floor, 12% cap
28% of the time you avoided a loss averaging -9.7%
29% of the time you got a gain averaging 6.7%
43% of the time you got a 12% gain but missed out on an additional 9.1%

Note: Because there is an 11 month overlap in the rolling periods, the figures may not actually have the importance that is implied. For example, one really really bad (or good) month will effect 12 annual periods. So it's not that 12 years are bad, it's that 1 month effects 12 annual periods. When there are a lot of occurrances, this is washed away, but when there are only a small number of occurrance, one outlier will have an unwarranted weight.


****** Losses *****
Loss Occurs Avg Median Occurs 1 year in...
> 0% 28% -11.8% -9.7% 4
> 5% 20% -15.1% -13.1% 5
> 10% 13% -19.0% -15.7% 8
> 20% 4% -28.9% -26.1% 25
> 25% 3% -32.5% -30.8% 33

Loss range Occurs Avg Median Occurs 1 year in...
0% - 5% 8% -2.8% -2.7% 13
0% - 10% 14% -5.0% -4.9% 7
5% - 10% 7% -7.4% -7.1% 14

Copyright 1996-2014 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us