by Bespoke Investment Group
2011 has sure seen its ups and downs. Given the equity market's gyrations, we wanted to see which past years (if any) have had the most similar trading patterns to this year for the S&P 500. To do this we ran a correlation of the daily closing prices of the S&P 500 through June 29th of this year and every other year since 1928.
After running the analysis, we found that 2011 has been relatively unique in its pattern. Of the 83 years we analyzed, there were only two years (1965 and 1930) that had a correlation coefficient of more than +0.60. To put this in perspective, when we last did this comparison in late May, there were ten years with correlation coefficients of more than 0.70.
Below we highlight the S&P 500's annual charts of 1930, 1965, and 2011. A shown, 1930 and 1965 saw divergent paths in the back half of the year (to put it mildly). In 1965 (which has a correlation coefficient of 0.69), the S&P 500 rebounded and finished the year up more than 9%. In 1930 (which had a correlation coefficient of 0.67), the S&P 500 continued to trade lower with a total loss on the year of 28%.
No comments:
Post a Comment