S&P500 volatility

Research on Safe Withdrawal Rates

Moderator: hocus2004

Post Reply
JWR1945
***** Legend
Posts: 1697
Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida

S&P500 volatility

Post by JWR1945 »

I have extracted the nominal prices of the S&P500 index from Professor Shller's data. His prices are monthly averages.

I have also extracted the values of P/E10 from his data.

Both the index value and P/E10 turn out to be considerably less volatile than I had thought.

I have attached tables with the January values of each year through 2003, the highs and lows during each year and the ratio of the high to the low.

Have fun.

John R.
JWR1945
***** Legend
Posts: 1697
Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida

Post by JWR1945 »

S&P500 (nominal) index values

Year, January Price, High Price, Low Price, High Price/Low Price

Code: Select all

1871   4.44    4.86    4.44    1.09
1872   4.86    5.18    4.86    1.07
1873   5.11    5.15    4.04    1.27
1874   4.66    4.80    4.46    1.08
1875   4.54    4.65    4.30    1.08
1876   4.46    4.52    3.58    1.26
1877   3.55    3.55    2.73    1.30
1878   3.25    3.52    3.18    1.11
1879   3.58    4.93    3.58    1.38
1880   5.11    5.84    4.77    1.22
1881   6.19    6.58    6.01    1.09
1882   5.92    6.24    5.68    1.10
1883   5.81    5.87    5.34    1.10
1884   5.18    5.32    4.34    1.23
1885   4.24    5.24    4.24    1.24
1886   5.20    5.79    5.02    1.15
1887   5.58    5.90    5.20    1.13
1888   5.31    5.38    5.01    1.07
1889   5.24    5.50    5.18    1.06
1890   5.38    5.62    4.60    1.22
1891   4.84    5.41    4.77    1.13
1892   5.51    5.62    5.48    1.03
1893   5.61    5.61    4.08    1.38
1894   4.32    4.57    4.25    1.08
1895   4.25    4.82    4.19    1.15
1896   4.27    4.45    3.81    1.17
1897   4.22    4.98    4.06    1.23
1898   4.88    5.65    4.57    1.24
1899   6.08    6.48    6.02    1.08
1900   6.10    6.87    5.80    1.18
1901   7.07    8.50    7.07    1.20
1902   8.12    8.85    8.05    1.10
1903   8.46    8.46    6.26    1.35
1904   6.68    8.25    6.48    1.27
1905   8.43    9.54    8.43    1.13
1906   9.87   10.03    9.06    1.11
1907   9.56    9.56    6.25    1.53
1908   6.85    9.03    6.60    1.37
1909   9.06   10.30    8.80    1.17
1910  10.08   10.08    8.64    1.17
1911   9.27    9.67    8.67    1.12
1912   9.12    9.86    9.04    1.09
1913   9.30    9.30    8.04    1.16
1914   8.37    8.48    7.35    1.15
1915   7.48    9.48    7.38    1.28
1916   9.33   10.21    9.07    1.13
1917   9.57    9.57    6.80    1.41
1918   7.21    8.06    7.21    1.12
1919   7.85    9.51    7.85    1.21
1920   8.83    8.83    6.81    1.30

Code: Select all

1921    7.11     7.31     6.45    1.13
1922    7.30     9.26     7.30    1.27
1923    8.90     9.43     8.03    1.17
1924    8.83    10.16     8.47    1.20
1925   10.58    12.46    10.28    1.21
1926   12.65    13.49    11.48    1.18
1927   13.40    17.46    13.40    1.30
1928   17.53    23.15    17.32    1.34
1929   24.86    31.30    21.40    1.46
1930   21.71    25.46    15.51    1.64
1931   15.98    17.53     8.44    2.08
1932    8.30     8.30     4.77    1.74
1933    7.09    11.23     6.23    1.80
1934   10.54    11.32     8.88    1.27
1935    9.26    13.04     8.41    1.55
1936   13.76    17.36    13.76    1.26
1937   17.59    18.11    11.02    1.64
1938   11.31    13.07     9.89    1.32
1939   12.50    12.90    10.83    1.19
1940   12.30    12.30     9.67    1.27
1941   10.55    10.55     8.76    1.20
1942    8.93     9.52     7.84    1.21
1943   10.09    12.35    10.09    1.22
1944   11.85    13.10    11.77    1.11
1945   13.49    17.33    13.49    1.28
1946   18.02    18.70    14.69    1.27
1947   15.21    15.80    14.34    1.10
1948   14.83    16.82    14.10    1.19
1949   15.36    16.54    13.97    1.18
1950   16.88    19.87    16.88    1.18
1951   21.21    23.48    21.21    1.11
1952   24.19    26.04    23.73    1.10
1953   26.18    26.18    23.27    1.13
1954   25.46    34.97    25.46    1.37
1955   35.60    45.37    35.60    1.27
1956   44.15    48.78    44.15    1.10
1957   45.43    48.51    40.33    1.20
1958   41.12    53.49    41.12    1.30
1959   55.62    59.74    54.77    1.09
1960   58.03    58.03    53.73    1.08
1961   59.72    71.74    59.72    1.20
1962   69.07    70.29    55.63    1.26
1963   65.06    74.17    65.06    1.14
1964   76.45    85.44    76.45    1.12
1965   86.12    92.15    84.91    1.09
1966   93.32    93.32    77.13    1.21
1967   84.45    95.81    84.45    1.13
1968   95.04   106.50    89.09    1.20
1969  102.00   104.60    91.11    1.15
1970   90.31    90.31    75.59    1.19
1971   93.49   103.00    92.78    1.11
1972  103.30   117.50   103.30    1.14
1973  118.40   118.40    94.78    1.25
1974   96.11    97.44    67.07    1.45
1975   72.56    92.49    72.56    1.27
1976   96.86   105.50    96.86    1.09
1977  103.80   103.80    93.74    1.11
1978   90.25   103.90    88.82    1.17
1979   99.71   108.60    98.23    1.11
1980  110.90   135.70   103.00    1.32

Code: Select all

1981    133.00     134.40     118.30    1.14
1982    117.30     139.40     109.40    1.27
1983    144.30     167.70     144.30    1.16
1984    166.40     166.40     151.10    1.10
1985    171.60     207.30     171.60    1.21
1986    208.20     248.60     208.20    1.19
1987    264.50     329.40     241.00    1.37
1988    250.50     277.40     250.50    1.11
1989    285.40     348.60     285.40    1.22
1990    339.97     360.39     307.12    1.17
1991    325.49     389.40     325.49    1.20
1992    416.08     435.64     407.36    1.07
1993    435.23     465.95     435.23    1.07
1994    472.99     472.99     447.23    1.06
1995    465.25     614.57     465.25    1.32
1996    614.42     743.25     614.42    1.21
1997    766.22     962.37     766.22    1.26
1998    963.36    1190.05     963.36    1.24
1999   1248.77    1428.68    1246.58    1.15
2000   1425.59    1485.46    1330.93    1.12
2001   1335.63    1335.63    1044.64    1.28
2002   1140.21    1153.79     854.63    1.35
2003    895.84    1080.64     837.03    1.29
Have fun.

John R.
JWR1945
***** Legend
Posts: 1697
Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida

Post by JWR1945 »

P/E10 of the S&P500

Year, January P/E10, High P/E10, Low P/E10, (High P/E10) / (Low P/E10)

Code: Select all

1881   18.47    19.03    15.96    1.19
1882   15.68    16.08    14.33    1.12
1883   15.27    15.95    14.76    1.08
1884   14.43    14.81    12.91    1.15
1885   13.13    16.82    13.13    1.28
1886   16.69    18.97    16.69    1.14
1887   17.51    18.08    15.46    1.17
1888   15.36    15.99    14.81    1.08
1889   15.80    17.35    15.80    1.10
1890   17.22    17.79    14.44    1.23
1891   15.43    18.21    15.05    1.21
1892   19.02    19.94    18.01    1.11
1893   17.66    17.66    14.35    1.23
1894   15.74    17.43    15.74    1.11
1895   16.52    18.20    16.33    1.11
1896   16.58    17.83    15.70    1.14
1897   17.03    19.37    16.70    1.16
1898   19.25    21.40    17.60    1.22
1899   22.93    23.28    18.51    1.26
1900   18.67    20.74    17.34    1.20
1901   20.98    25.24    20.98    1.20
1902   22.34    23.17    19.63    1.18
1903   20.32    20.32    15.25    1.33
1904   15.86    18.16    15.02    1.21
1905   18.46    19.90    18.46    1.08
1906   20.13    20.13    17.66    1.14
1907   17.22    17.22    10.59    1.63
1908   11.90    14.58    11.55    1.26
1909   14.76    15.42    14.17    1.09
1910   14.55    14.55    12.34    1.18
1911   14.05    15.33    13.00    1.18
1912   13.79    13.98    13.39    1.04
1913   13.15    13.15    11.07    1.19
1914   11.64    11.91    10.17    1.17
1915   10.36    12.88    10.33    1.25
1916   12.54    12.54    11.41    1.10
1917   10.99    10.99     6.41    1.71
1918    6.64     6.78     6.13    1.11
1919    6.10     7.05     6.10    1.16
1920    5.99     5.99     4.78    1.25

Code: Select all

1921    5.12     6.11     5.12    1.19
1922    6.29     8.43     6.29    1.34
1923    8.15     8.70     7.32    1.19
1924    8.07     9.31     7.90    1.18
1925    9.69    11.15     9.48    1.18
1926   11.34    13.01    10.40    1.25
1927   13.19    18.65    13.19    1.41
1928   18.81    25.30    18.81    1.35
1929   27.08    32.56    21.17    1.54
1930   22.31    25.84    16.06    1.61
1931   16.71    18.58     9.31    2.00
1932    9.31     9.41     5.57    1.69
1933    8.73    13.75     7.83    1.76
1934   13.03    13.93    10.91    1.28
1935   11.50    16.16    10.40    1.55
1936   17.09    21.50    17.09    1.26
1937   21.62    22.24    13.01    1.71
1938   13.51    16.15    11.79    1.37
1939   15.60    16.82    13.92    1.21
1940   16.38    16.38    12.84    1.28
1941   13.90    13.90    10.09    1.38
1942   10.10    10.10     8.51    1.19
1943   10.15    11.77    10.15    1.16
1944   11.05    11.74    10.94    1.07
1945   11.96    15.02    11.96    1.26
1946   15.62    16.04    11.11    1.44
1947   11.47    11.95    10.68    1.12
1948   10.42    11.58    10.00    1.16
1949   10.25    10.53     9.07    1.16
1950   10.75    11.66    10.54    1.11
1951   11.90    12.44    11.62    1.07
1952   12.53    12.93    12.13    1.07
1953   13.01    13.01    11.14    1.17
1954   12.00    15.79    12.00    1.32
1955   15.99    18.94    15.99    1.18
1956   18.29    19.37    17.12    1.13
1957   16.72    16.87    13.67    1.23
1958   13.79    17.36    13.78    1.26
1959   17.98    19.09    17.76    1.07
1960   18.34    18.34    16.61    1.10
1961   18.47    22.04    18.47    1.19
1962   21.20    21.45    16.74    1.28
1963   19.26    21.04    19.26    1.09
1964   21.63    23.23    21.63    1.07
1965   23.27    23.93    22.30    1.07
1966   24.06    24.06    18.83    1.28
1967   20.43    22.22    20.43    1.09
1968   21.51    22.28    19.93    1.12
1969   21.19    21.19    17.33    1.22
1970   17.09    17.09    13.73    1.25
1971   16.46    17.92    15.64    1.15
1972   17.26    18.65    17.26    1.08
1973   18.71    18.71    13.49    1.39
1974   13.53    13.53     8.29    1.63
1975    8.92    11.01     8.92    1.23
1976   11.19    11.81    11.19    1.06
1977   11.44    11.44     9.68    1.18
1978    9.24    10.02     8.93    1.12
1979    9.26     9.26     8.52    1.09
1980    8.85     9.65     7.84    1.23

Code: Select all

1981    9.26     9.26     7.58    1.22
1982    7.39     8.47     6.64    1.27
1983    8.76    10.01     8.76    1.14
1984    9.89     9.89     8.87    1.12
1985   10.00    11.69    10.00    1.17
1986   11.72    14.09    11.72    1.20
1987   14.92    18.33    13.39    1.37
1988   13.90    14.81    13.90    1.07
1989   15.09    17.73    15.09    1.18
1990   17.05    17.82    14.82    1.20
1991   15.61    18.51    15.61    1.19
1992   19.77    20.45    19.28    1.06
1993   20.32    21.17    20.32    1.04
1994   21.41    21.41    19.91    1.08
1995   20.22    25.03    20.22    1.24
1996   24.76    27.72    24.76    1.12
1997   28.33    33.03    27.59    1.20
1998   32.86    38.82    32.86    1.18
1999   40.58    44.20    40.40    1.09
2000   43.77    43.77    37.28    1.17
2001   36.98    36.98    27.67    1.34
2002   30.28    30.29    21.95    1.38
2003   22.89    26.63    21.21    1.26
Have fun.

John R.
Post Reply