Answering the Question What is a Normal Monthly Performance for the SP500

Jul 29, 2013: 10:49 AM CST

What is a “Normal” monthly percentage performance for the SP500?  Is the current performance for July normal or not normal?  Is it totally unprecedented?

I had a member ask a question along these lines and I thought it would be interesting to try to answer the question what is “normal” for the SP500.

For that, I wanted to compare monthly performances and see what the data reveal, starting from 2009 to present.

Here’s the chart and we’ll discuss the simple statistics shortly:

SP 500 Monthly Performance Gains or Losses Statistics

We’ll take it step by step.

First, we see the S&P 500 index on a Monthly Chart using TradeStation data.

Second, I created an indicator that simply reveals the percentage gain or loss for the month (for TradeStation users, select “Custom Indicator” and type in “((Close-Open)/Open)*100” into the Input field of the Formula tab).

From there, I imported the data into Excel to reveal the Average (Mean) along with the Standard Deviation (a simple measure of volatility) of the performance.

In total, from January 2009 to June 2013 (NOT including the current month of July with three trading days remaining), we see that the Average Monthly Performance of the S&P 500 has been a gain of 1.65% with a Standard Deviation value of 4.75%.

In aggregate, the “normal” monthly performance of all months from 2009 to present is roughly a 1.65% gain.  Normal is of course a relative term.

I then wanted to see the average performance of months where the S&P 500 increased in value for the month.

Of the 54 total months from January 2009 to present, 34 months have shown gains in the S&P 500 (63% of months) and the average monthly gain of these months is 4.00% with a Standard Deviation of 2.78%.

From that metric, we can indeed say that the current performance of July 2013 – currently up roughly 4.75% – is indeed “normal” or slightly above average.

In fact, 11 months showed monthly percentage gains greater than 5.00% (20% of all 54 months).

Finally, I wanted to know the monthly percentage decline for months that showed a loss in the SP500.

Of the 54 total months since January 2009, 20 (37%) have seen monthly declines, and the average monthly decline has been -3.69% (Standard Deviation = 3.22%).

For a quick statistics summary:

  • Average Monthly Gain = 1.65% (SDev = 4.75%)
  • Average Gain of “Winning” Months:  4.00% (SDev = 2.78%)
  • Average Loss of “Losing” Months:  -3.69% (SDev = 3.22%)

Of the 54 months from January 2009 to present (our data set), 34 or 63% have been “winning” months while 20 or 37% have been “losing” months.

We can use this as a baseline comparison not only for the close of July, but subsequent months for the remainder of the year to assess their performance in terms of what’s “normal” or not.

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Corey Rosenbloom, CMT
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