Last Updated on June 19, 2022 by Quantified Trading
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 the 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 are unchanged. Even though SPY managed to gain 9.2% per year, 45% of the trading days are negative (!).
- The average up day is 0.76%. The average down day is minus 0.81%. The 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 of more than 1%. 258 days with losses of more than 2%.
- From the top in May 2008 to the bottom in early March 2009, the S&P 500 lost about 50% of its value. There were 99 up days and 104 down days during this period.
- The average up day from May 2008 to March 2009 was 1.79%. The 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 a rise >1%, 30 days with a 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:
If you like this article we recommend reading the anatomy of a bear market.