Archives For S&P 500 Index

It’s September, folks.

Did you know…

September is the ONLY month with an average NEGATIVE total return since 1926?

It’s true. The average total return for the month of September is -.67%. Of the 87 Septembers I have data for, 42 of them were negative and 45 were positive.

I found this interesting and decided to investigate a little more. I looked at the January-August YTD total returns for all years and then see what happened in the following September. The findings, which you can see in the chart below (click on it to see a larger version), were interesting.

September is the only month with an average negative return

This year, the S&P is up 16.15% YTD through August. Of the 11 times the S&P has had a return in that range, it averaged a 1.04% in the following September. We shall see what that means (if it means anything at all) for this September.

One thing I found interesting was when the S&P had a 20% to 25% YTD total return. Notice that it happened 12 times. Ten of those times were followed with a positive September return (an average of 2.24%, which is very high).

Let me clear: this is an exercise in fun. I’m not sure how useful this information is real life.

Carry on.

One of my readers asked for S&P 500 rolling returns based on the calendar year instead of all the months. It does simplify things as it takes each report down to two pages instead of 19.

So, here are the results:

S&P 500 5-Year Calendar Period Rolling Returns

S&P 500 10-Year Calendar Period Rolling Returns

After the June hiccup, the S&P 500 and other indices I follow here on AFM kept on marching. The S&P 500 had a total return of 5.09% in July. In the 53 months since February of 2009, which marked the beginning of the current bull market, the S&P has had 38 up months and 15 down months (a 151.97% total return in those 53 months).

It still bothers me the way the price of oil is moving in tandem with the stock market (the price of crude is up 115.62% since February 2009).

Index Performance - July 2013

Two people in the last couple of days emailed me, asking for an update on the S&P 500 5 and 10-Year Rolling Total Returns reports.

Here they are:

Each report has a cover sheet with some summary information. Please email me if you have any questions (JLP – at –

S&P 500 5-Year Rolling Period Total Returns with CPI (1926 – June 2013)

S&P 500 10-Year Rolling Period Total Returns with CPI (1926 – June 2013)

UPDATE: I’m aware of the typo on the 10-year report that says “5-Year period” on each page. I’ll fix and repost asap. Fixed.

I came across 10 Years Later: Where in the World is Equal Weight Indexing Now? (PDF) this morning.

In the study was the following chart (I took the information and made my own spreadsheet):

S&P 500 vs. S&P 500 Equal Weight

Of course, that only tells part of the story. Here are the risk-adjusted returns:


The study’s author mentions that the returns for the equal-weighted (“EW”) index will be buoyed during up markets due to the fact that smaller cap stocks will be weighted more heavily than in the market cap-weighted index. The author also said that the EW index will lag during down markets. You can see from the above returns, that isn’t always true.

One thing that’s important to know is that equally-weighting indexes requires more trading, which will increase costs. The Guggenheim Investments Equally-Weighted S&P 500 Index ETF (formerly Rydex) has a .40% expense ratio.

Here is your total return update:

S&P 500, MidCap 400, SmallCap 600, & Other Indexes Performance (01-2011 – 05-2013)

This May’s 2.34% total return for the S&P 500 broke a 3 year losing streak for the month of May.

I know the stock market has little to do with who happens to be the President but it’s still interesting to look at. I’m no fan of Obama but the S&P 500 has performed nicely since he has taken office (yes, it pains me to write that) as illustrated by this chart that I put together:

S&P 500 TR Since Obama Took Office