Paul,
Anyone have average annual return over that period?
If you call it six years, and using your numbers, the average return is 20.45%. If you use 5 years 10 months, it is 21.1%. At the 1553 peak in March, 5 years and 3 months after the December '94 start, it was at 27%.
As these things go, one calculation leads to another. I calculated the annualized (12x) monthly returns for SPX for the 10/00 high of 1455 relative to all prior monthly highs back to 1970. Not that it makes a huge difference when you go back a ways, but the peak to peak rate is likely a more meaningful measure of the market trend than a low to high. The average rate from January 1970 and April 1971 is the lowest of those, at a bit less than 9%. From any month through November 1973, the rate is below 10%. Then for months through September 1981, the rate varies from 10% to 13%. Starting in August 1990 it ranges between 11% and 14%, then climbs to 19.8% from December 1994. After that point, it has been seriously down hill, falling to below 9% again compared to July 1998. Measured against the few months following that, it pops up reflecting the dramatic decline in the fall of 1998, but since December 1998 it has been consistently below 9%, and typically a LOT smaller than that, with several negatives. Compared to any month since December 1999, the SPX October peak is negative compared to prior months, except February, from which it is up 1% annualized.
So yes, the rate of return since the cusp in December 1994 is unsustainable over the long term, and the market is well into the process of proving that. Since January 1999, a regression line from the monthly peak to the October high on a log plot has a smaller slope than the most shallow line for any prior month going back to January 1970. We may not have returned to historical valuations, but SPX is well into rolling over to a historical (sustainable?) rate of return.
Dan |
