Some Performance Facts About S&P 500

By looking at some potential strategies for S&P 500 I found some very interesting facts that I wouldn’t guess beforehand. I used the ETF SPY as a proxy for S&P 500. My dataset starts at 1. January 1994 and ends yesterday, 25th of October 2018. The data is adjusted for dividends and taken from Yahoo!.

Here are some interesting numbers:

  • Return is about 9.2% per year (CAGR).
  • Of 6250 trading days, 3370 are up days, 2831 are down days and 48 unchanged. Even though SPY managed to gain 9.2% per year, 45% of the trading days are negative (!).
  • Average up day is 0.76%. Average down day is minus 0.81%. Average gain per day is 0.042% (over the whole period).
  • 865 days with gains bigger than 1%. 212 days with gains bigger than 2%.
  • 801 days with losses more than 1%. 258 days with losses more than 2%.
  • From the top in May 2008 to the bottom in early March 2009, S&P 500 lost about 50% of its value. There were 99 up days and 104 down days during this period.
  • Average up day from May 2008 to March 2009 was 1.79%. Average down day was minus 2.32%. In other words, down days were brutal.
  • From May 2008 to early March 2009, it was 51 days with rise >1%, 30 days with rise >2%, 76 days with losses >1% and 45 days with losses >2%.

Volatility explodes during bear markets (this is of course no surprise). Below is the graph showing a 25 day moving average of the absolute values in the daily changes from close to close:

In the midst of the recession in 2008 S%P 500 had daily swings of 4.5%! (This period was, by far, my best time as a daytrader).