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  • SP500 DrawdownAnalysis

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    DivGrowth
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    This document analyzes drawdown and recovery patterns in the S&P 500 index since 1970. It identifies the 20 largest drawdowns, providing the start and end dates of each drawdown and recovery period, along with the duration of the down period, recovery period, and total time. Charts are included to illustrate the price patterns during some of the largest drawdowns and recoveries.

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    Presentation showing the decline in the S&P 500 Index and the length of time to recover lost value.

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    SP500_DrawdownAnalysis

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    This document analyzes drawdown and recovery patterns in the S&P 500 index since 1970. It identifies the 20 largest drawdowns, providing the start and end dates of each drawdown and recovery period, along with the duration of the down period, recovery period, and total time. Charts are included to illustrate the price patterns during some of the largest drawdowns and recoveries.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as pdf or txt
    780 views10 pages

    SP500 DrawdownAnalysis

    Uploaded by

    DivGrowth
    This document analyzes drawdown and recovery patterns in the S&P 500 index since 1970. It identifies the 20 largest drawdowns, providing the start and end dates of each drawdown and recovery period, along with the duration of the down period, recovery period, and total time. Charts are included to illustrate the price patterns during some of the largest drawdowns and recoveries.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as pdf or txt
    of 10

    S&P 500 Drawdown and

    Recovery Patterns since 1970

    Draft
    February 2009

    Andreas Steiner
    www.andreassteiner.net/performanceanalysis
    performanceanalysis@andreassteiner.net
    S&P 500 Levels Jan 1950 - Feb 2009

    Which investment strategy can survive this?


    1800
    1600
    1400
    1200
    1000
    800
    600
    400
    200
    0
    31.12.73
    31.12.75
    31.12.77
    31.12.79
    31.12.81
    31.12.83
    31.12.85
    31.12.87
    31.12.89
    31.12.91
    31.12.93
    31.12.95
    31.12.97
    31.12.99
    31.12.69
    31.12.71

    31.12.01
    31.12.03
    31.12.05
    31.12.07
    Equity is an asset class, but also a risk factor relevant to other asset classes!
    -20%
    -15%

    -25%
    -10%
    15%
    10%

    -5%
    0%
    5%
    02.01.70
    02.01.72
    02.01.74
    02.01.76
    02.01.78
    02.01.80
    02.01.82
    02.01.84
    02.01.86
    02.01.88
    02.01.90

    Who said "normal"?


    02.01.92
    02.01.94
    02.01.96
    S&P 500 Daily Returns Jan 1950 - Feb 2009

    02.01.98
    02.01.00
    02.01.02
    02.01.04
    02.01.06
    02.01.08
    The Twenty Largest S&P 500 Drawdowns Jan 1970 - Feb 2009

    The "Lost Decade"


    Drawdown Dates Duration [years]
    Start Low Recovery Down Period Recovery Period Total Duration
    1 -60.66% 27.03.00 24.02.09 #N/A 8.91 #N/A #N/A
    2 -49.63% 12.01.73 04.10.74 07.10.80 1.73 6.01 7.74
    3 -36.83% 26.08.87 07.12.87 05.06.90 0.28 2.49 2.78
    4 -28.31% 01.12.80 13.08.82 07.01.83 1.70 0.40 2.10
    5 -26.20% 06.01.70 27.05.70 25.01.71 0.39 0.66 1.05
    6 -20.35% 17.07.90 12.10.90 06.03.91 0.24 0.40 0.64
    7 -20.09% 20.07.98 09.10.98 24.12.98 0.22 0.21 0.43
    8 -19.94% 22.09.76 07.03.78 21.09.79 1.46 1.54 3.00
    9 -17.29% 14.02.80 28.03.80 15.07.80 0.12 0.30 0.42
    10 -14.83% 11.10.83 25.07.84 22.01.85 0.79 0.49 1.28
    11 -14.31% 16.07.75 17.09.75 13.01.76 0.17 0.32 0.49
    12 -14.24% 29.04.71 24.11.71 10.02.72 0.57 0.21 0.78
    13 -13.78% 13.09.78 15.11.78 16.08.79 0.17 0.75 0.93
    14 -13.75% 08.11.74 09.12.74 29.01.75 0.09 0.14 0.23
    15 -12.48% 19.07.99 18.10.99 06.12.99 0.25 0.13 0.38
    16 -11.09% 08.10.97 28.10.97 03.02.98 0.06 0.26 0.32
    17 -10.69% 10.10.89 31.01.90 04.06.90 0.31 0.34 0.65
    18 -10.37% 08.10.79 08.11.79 22.01.80 0.08 0.21 0.29
    19 -9.80% 19.02.97 14.04.97 06.05.97 0.15 0.06 0.21
    20 -9.62% 03.01.00 28.02.00 22.03.00 0.15 0.07 0.22
    Recovery Patterns - Drawdown #1

    120

    100

    80

    60

    40

    20

    Two bubbles in a row


    Recovery Patterns - Drawdown #2
    120

    100

    80

    60

    40

    20

    The oil decade


    Recovery Patterns - Drawdown #3

    120

    100

    80

    60

    40

    20

    The 1987 Crash


    Recovery Patterns - Drawdown #4
    120

    100

    80

    60

    40

    20

    Change in Macroeconomic Regimes, Reagan, Volcker


    Recovery Patterns - Drawdown #5

    120

    100

    80

    60

    40

    20

    The End of the Vietnam War, Bretton Woods, OPEC


    Recovery Patterns - Drawdown #10
    102

    100

    98

    96

    94

    92

    90

    88

    86

    84

    Change in Macroeconomic Regimes, Reagan, Volcker

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