UnThreaded | Threaded | Whole Thread (9) | Ignore Thread Prev | Next
Author: Rayvt Big gold star, 5000 posts Top Favorite Fools Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 75375  
Subject: S&P500 distribution of returns Date: 9/20/2013 4:09 PM
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Recommendations: 1
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
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (9) | Ignore Thread Prev | Next

Announcements

The Retire Early Home Page
Discussion on accelerating retirement day.
Post of the Day:
Value Hounds

Not Cheering the Shire Deal
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Community Home
Speak Your Mind, Start Your Blog, Rate Your Stocks

Community Team Fools - who are those TMF's?
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and "#1 Media Company to Work For" (BusinessInsider 2011)! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.
Advertisement