sp500_drawdownanalysis
DESCRIPTION
Presentation showing the decline in the S&P 500 Index and the length of time to recover lost value.TRANSCRIPT
S&P 500 Drawdown and
Recovery Patterns since 1970
Draft
February 2009
Andreas Steiner
www.andreassteiner.net/performanceanalysis
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2.6
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S&P 500 Levels Jan 1950 - Feb 2009
Which investment strategy can survive this?
Equity is an asset class, but also a risk factor relevant to other asset classes!
S&P 500 Daily Returns Jan 1950 - Feb 2009
Who said "normal"?
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%0
2.0
1.7
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.01
.72
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.74
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.76
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.78
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.80
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.84
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.86
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.88
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.90
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.92
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.98
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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
The Twenty Largest S&P 500 Drawdowns Jan 1970 - Feb 2009
The "Lost Decade"
Recovery Patterns - Drawdown #1
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40
60
80
100
120
Two bubbles in a row
Recovery Patterns - Drawdown #2
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20
40
60
80
100
120
The oil decade
Recovery Patterns - Drawdown #3
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20
40
60
80
100
120
The 1987 Crash
Recovery Patterns - Drawdown #4
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20
40
60
80
100
120
Change in Macroeconomic Regimes, Reagan, Volcker
Recovery Patterns - Drawdown #5
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20
40
60
80
100
120
The End of the Vietnam War, Bretton Woods, OPEC
Recovery Patterns - Drawdown #10
84
86
88
90
92
94
96
98
100
102
Change in Macroeconomic Regimes, Reagan, Volcker