Sunday, February 10, 2008

Historical S&P 500 Annual Return and Trading Range 1950-2007 and Volatility Ahead

From 1950 to 2007, the S&P 500 (500 of the Largest and most influential US companies) returned 9.2% annually (excluding dividends).

However, the 9.2% gain was not achieved by the S&P 500 going up in a straight line.

On any given year, from 1950 to 2007, the S&P 500 had an annual average trading range of 24.26%. This means that on average, from a year to year basis, the range from the lowest to the highest S&P 500 index value has a range of 24.26%.

The least volatile year during this period was around 10%. The most volatile, around 49%.

The Future

Over the last four years, the annual trading range was 14.1% (2004), 11.75% (2005), 16.75% (2006), and 14.97% (2007). For the last four years, the volatility has been very much under average.

Over the next several years, we expect this volatility to increase after four years of below average volatility.

S&P 500 Historical Annual Returns and Annual Trading Range

Research by: techfarm.blogspot.com









Year S&P 500 Start Return Annual Low Annual High Trading Range
1950 16.66 22.63% 0.00% 22.63% 22.63%
1951 20.77 14.44% -0.39% 14.83% 15.21%
1952 23.8 11.64% -2.98% 11.72% 14.71%
1953 26.54 -6.52% -14.43% 0.45% 14.88%
1954 24.95 44.21% -0.60% 44.21% 44.81%
1955 36.75 23.76% -5.90% 26.29% 32.19%
1956 45.16 3.34% -4.54% 9.92% 14.46%
1957 46.2 -13.44% -15.63% 6.34% 21.97%
1958 39.99 38.06% 0.00% 38.06% 38.06%
1959 55.44 8.03% -3.35% 9.51% 12.86%
1960 59.91 -3.00% -12.87% 0.80% 13.67%
1961 57.57 24.28% 0.00% 26.18% 26.18%
1962 70.96 -11.08% -27.64% 1.41% 29.04%
1963 62.69 19.67% -0.59% 20.21% 20.80%
1964 75.43 12.36% -0.81% 15.07% 15.88%
1965 84.23 9.74% -4.16% 10.77% 14.92%
1966 92.18 -12.86% -21.59% 2.76% 24.34%
1967 80.38 20.02% -1.18% 22.31% 23.49%
1968 96.11 <8.06% -9.76% 13.80% 23.56%
1969 103.93 -11.42% -15.29% 2.70% 17.99%
1970 93 -0.91% -26.23% 1.34% 27.57%
1971 91.1512.00% -1.99% 15.85% 17.84%
1972 101.67 16.11% -0.79% 17.82% 18.61%
1973 119.1 -18.09% -23.55% 2.22% 25.77%
1974 97.68 -29.81% -37.59% 3.45% 41.04%
1975 70.23 28.42% -2.25% 37.52% 39.77%
1976 90.9 18.22% -1.20% 19.60% 20.80%
1977 107 -11.12% -15.88% 0.91% 16.79%
1978 93.82 2.44% -7.86% 15.17% 23.02%
1979 96.73 11.59% -1.56% 15.95% 17.51%
1980 105.76 28.37% -10.90% 34.23% 45.13%
1981 136.34 -10.11% -19.18% 2.92% 22.10%
1982 122.74 14.58% -16.73% 17.61% 34.35%
1983 138.34 19.22% -0.19% 24.80% 24.99%
1984 164.04 1.95% -10.23% 3.88% 14.11%
1985 165.37 27.76% -1.22% 28.85% 30.07%
1986 209.59 15.54% -3.34% 21.60% 24.94%
1987 246.45 0.26% -12.17% 37.10% 49.27%
1988 255.94 8.51% -6.16% 10.94% 17.11%
1989 275.31 28.36% -0.54% 30.92% 31.47%
1990 359.69 -8.19% -18.12% 2.81% 20.93%
1991 326.45 27.77% -5.24% 28.14% 33.38%
1992 417.26 4.42% -5.96% 6.08% 12.04%
1993 435.38 7.14% -1.95% 8.25% 10.20%
1994 465.44 -0.92% -6.36% 3.74% 10.10%
1995 459.11 34.16% -0.42% 35.67% 36.09%
1996 620.73 19.33% -3.78% 22.78% 26.55%
1997 737.01 31.67% -1.01% 33.82% 34.83%
1998 975.04 26.07% -6.38% 27.68% 34.06%
1999 1228.1 19.64% -1.84% 19.95% 21.79%
2000 1455.22 -9.27% -13.82% 6.71% 20.53%
2001 1283.27 -10.53% -26.38% 7.80% 34.18%
2002 1154.67 -23.80% -33.43% 1.93% 35.36%
2003 909.03 22.32% -13.22% 22.39% 35.60%
2004 1108.48 9.33% -4.31% 9.82% 14.13%
2005 1188.05 5.07% -4.37% 7.39% 11.75%
2006 1268.8 11.78% -3.90% 12.85% 16.75%
2007 1416.6 3.65% -3.71% 11.26% 14.97%


Average S&P 500 Annual Return (1950-2007) (excluding dividends): 9.22%

Average Annual Trading Range 24.26%
Trading Range Low 10.10%
Trading Range High 49.27%

S&P 500 PE Ratio, Dividend Yield, Total Annual Return (includes dividends)

4 comments:

Adam said...

Significant problem with this return data.

It shows only the "Capital Return", not the "Income Return" and "Total Return"

Total Return = Capital Return + Income Return.

For example, your charge shows a return of 3.49% for 2007, when in fact, this is only the "Capital" portion.

You have neglected to include the "Income return" of 1.89% for a total return for 2007 of 5.39%

Historically, the S&P 500 Total return has been 10.3%, not 9.2%.

This page:

http://rubyurl.com/KrQ4

Shows the Total Return historical of the S&P 500 index.

techfarmer said...

Good point.

The information above does not include dividend reinvestment.

The data I was using to determine was misleading in saying the adjusted close includes dividends and splits.

In any case, the information above is still useful as long as you know that dividends are not reinvested.

techfarmer said...

adam:

I created a new post which takes total return into consideration:

Historic S&P 500 PE Ratio, Dividend Yield and Annual Total Return

stock market said...

It was a great post. Though I'm still new in the business, I'm not yet that well educated about stocks but your article provided me insight also through other comment. Thanks for sharing it.