S&P 500 average monthly returns

[bart]

S&P 500 average monthly returns during various time periods



Very different pictures, depending on whether its a bull or bear or a combination. All data excludes dividend returns.



http://www.nowandfutures.com/images/sp500_avg_monthly_returns.png






http://www.nowandfutures.com/images/sp500_avg_monthly_returns2.png





http://www.nowandfutures.com/images/sp500_avg_monthly_returns3.png






http://www.nowandfutures.com/images/sp500_avg_monthly_returns4.png

[metalman]

'sell in may and go away'? well... not always! thanks, bart.

[bart]

You got it, and my pleasure metal man.

Its opposite, buy in September, has a much better track record from a probabilities view.

[WDCRob]

Bart... it'd be interesting to know how many of the 59 years you looked were above and below the annual change month-by-month.

Or more generally... are the monthly averages driven by a consistent trend, or a handful of years for each month?

[bart]

Bart... it'd be interesting to know how many of the 59 years you looked were above and below the annual change month-by-month.

Or more generally... are the monthly averages driven by a consistent trend, or a handful of years for each month?

Interesting question... and I have little clue on how to answer it graphically. Perhaps a chart showing the average, the mean, the high and the low for the entire period would help?

The patterns are highly dependent on whether the general market is in bull or bear mode too.

[WDCRob]

Maybe a two vertical bars for each month showing the number of times above and times below the annual change?

January: 38 times above, 21 times below
February: 24 times above, 35 times below
etc...

[bart]

That was a lot easier than what I thought you might come up with. ;)


http://www.nowandfutures.com/images/sp500_avg_monthly_returns5

[WildspitzE]

[graphs]



Sweet graphs dude. Buy in September.

Have you ever done this for our favorite commodities?

[bart]

Sweet graphs dude. Buy in September.

Thanks. :)
That September data & buy point sure is more consistent than any other.

Have you ever done this for our favorite commodities?

Very little, mostly because there are many sites with seasonal commodity charts and also because they're very time consuming to set up and calculate... but I did do a few more a while back (from my futures trading and miners pages).




Gold, overall and only during bull markets - read the "only during bull market" data on the right hand scale on all charts.

http://www.nowandfutures.com/images/gold_seasonal_with_bull.png




Same with the HUI miners index - the HUI has only been around since 1996

http://www.nowandfutures.com/images/hui_seasonal_with_bull.png




Same with the XAU miners index - it has only been around since 1983.


http://www.nowandfutures.com/images/xau_seasonal_with_bull.png



The granddaddy of all miner indexes - the BGMI or Barron's Gold Mining Index which goes all the way back to 1938.


http://www.nowandfutures.com/images/bgmi_seasonal_with_bull.png








Last is one showing the Dow seasonal vs the S&P 500 seasonal for the entire period 1966-2006 (no separate data for bull market periods only). I was just curious to see how closely they tracked.

http://www.nowandfutures.com/images/dow_sp500_seasonal_with_bull.png

[nitroglycol]

I seem to recall seeing a kind of chart where you have the mean, and a range (either absolute, or some set confidence interval) shown for each bar. It looks kind of like a candlestick chart (http://en.wikipedia.org/wiki/Candlestick_chart), but with the mean instead of open and close. Unfortunately I can't remember what it's called.

[bart]

I seem to recall seeing a kind of chart where you have the mean, and a range (either absolute, or some set confidence interval) shown for each bar. It looks kind of like a candlestick chart (http://en.wikipedia.org/wiki/Candlestick_chart), but with the mean instead of open and close. Unfortunately I can't remember what it's called.

Here's a list of available chart types in Excel. Do any look familiar?

http://office.microsoft.com/en-us/excel/HA010346071033.aspx

[WDCRob]

Thank you Bart!

Are those monthly bars relative to the annual performance of the S&P for the same year, or relative to the monthly average across the 59-year time frame? Guessing maybe it's the latter?

Either way, thanks again for humoring me...

[bart]

Thank you Bart!

Are those monthly bars relative to the annual performance of the S&P for the same year, or relative to the monthly average across the 59-year time frame? Guessing maybe it's the latter?

Either way, thanks again for humoring me...

You're welcome, and you're right on the latter one - the numbers are relative to the month itself across the years.