S&P 500 daily returns heatmap

This article concerns the daily returns for the S&P 500 Index from 1950.

Average daily returns

The following table shows the average return since 1950 of the S&P 500 Index for each day of the year. For example, over the last 65 years the average daily return for the S&P 500 Index on 2 January has been 0.29%.

In the table, positive average daily returns are coloured green, while negative average returns are coloured red. Daily returns are highlighted dark green (red) for large positive (negative) returns. (See below for the definition of large.)

Average daily returns heatmap - S&P 500

Observations:

  • The day with the greatest number of large positive average returns is the 1st of the month followed by the 15th.
  • Two days of the month, 7th and 8th, have no large positive average returns.
  • The month with the greatest number of large positive average daily returns is Novermber, while February and June have none at all.
  • There appears to be a concentration of large negative average daily returns from the 20th to 25th of months.
  • The longest period of the year with no large negative average daily returns is 15 Dec to 7 Jan.
  • The month with the greatest number of large negative average daily returns is September.

Positive daily returns

The following chart is similar to the above, except this shows the proportion of positive returns for each day of the year. For example, since 1950 61% of the S&P 500 Index returns on 2 January have been positive.

Positive daily returns heatmap - S&P 500

Definition of large

Values are highlighted as large if they are more than 1 standard deviation from the average. For example, for the daily returns in the first chart the average daily return (for all days) is 0.04% and the standard deviation 0.16, so values are highlighted if they are above 0.20% (0.04 + 0.16) or below -0.12% (0.04 – 0.16).


Other daily return heatmaps.

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