Visualizing the Bear
19Apr12
I’m loving these stats on S&P 500 declines since 1928 (h/t Abnormal Returns).
Here’s another look at the same data. Below I’ve colored red all declines in the S&P 500 of 20%, 10%, and 5% or more. Click on images to zoom.
Key takeaway? Declines happen…often.
[growth of $10, logarithmically-scaled, click to zoom]
[growth of $10, logarithmically-scaled, click to zoom]
[growth of $10, logarithmically-scaled, click to zoom]
Happy Trading,
ms
Geek note: I’ve used the S&P 500 price-only index to measure declines, but used dividend-adjusted data in all charts above.
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Filed under: Random Stuff | 6 Comments
Michael, interesting analysis. Thanks.
Any thoughts on using GARCH models to predict volatility (VIX), by trading the VXX but only take trades in the direction appropriate for the term structure?
Steve
Hello Steven – unfortunately no. Not the way I approach the problem, but I see no reason why it wouldn’t bear fruit. michael
Last summer, Using Shiller’s monthly Stock Market data, I went back to 1871 to determine the frequency that a set, 10-year annualized, return was achieved. I set the thresholds at 0%, 5%, 10% and 15%.
http://www.valeofinancial.com/2011/06/u-s-equity-performance-over-10-year-periods-since-1871/
Hello, thanks for your research. Do you mean calendar days or trading days ? Have a nice journey !