S&P 500 daily returns heatmap

This updates a previous article with the latest figures for the average daily change and positive daily returns of the S&P 500.

The table formatting and analysis is largely as before; except the charts now use a smoother gradient of colours to indicate number magnitude.

Average daily returns

S&P 500 average daily returns heat map [2015]

Positive daily returns


Other daily return heatmaps.

 

Social Share Toolbar

2015 2Q performance – international markets

Equity and commodity markets

The following chart shows the returns on a range of international stock markets and commodities in the second quarter of 2015.

2015 2Q International market returns

NOTES

  1. The Euro markets, Germany, Italy, France and Netherlands, after a strong first quarter all saw negative returns in the second quarter.
  2. Apart from India, a strong quarter for the BRICs.
  3. A weak quarter for metals.
  4. Despite falling back steadily in May and June, the strongest performer here was Brent Oil on the back of a very strong April.

Currency markets

The following chart shows a sample of currency moves against the British pound in 2Q 2015. For example, the British pound strengthened 5.8% against the US Dollar, and 1.0% against the Russian Ruble.

2015 2Q Pound sterling performance

As can be seen, in the last quarter sterling strengthened against all currencies in this sample.

Equity and commodity markets (sterling)

The following chart shows the returns on the same markets as in the first chart, but this time in sterling terms (i.e. showing the currency-adjusted returns for a UK investor).

2015 2Q International market returns (GBP)

NOTES

  1. Over the second quarter UK investors saw their returns on international markets pared back due to the strength of sterling. (In fact, of the 22 sample markets here, UK investors would have seen positive returns in only four.)

Equity and commodity markets (dollar)

The following chart shows the returns on the same markets as in the first chart, but this time in US dollar terms (i.e. showing the currency-adjusted returns for a US investor).

2015 2Q International market returns (USD)

Social Share Toolbar

2015 1Q market review – international markets

Equity and commodity markets

The following chart shows the returns on a range of international stock markets and commodities in the first quarter of 2015.

2015 1Q International market returns

Notes

  1. The Euro markets, Germany, Italy, France and Netherlands, dominate the top of the performance chart this last quater.
  2. At the bottom are the commodities (gold, oill and platinum), and US stocks.

Currency markets

The following chart shows a sample of currency moves against the British pound in 2015 1Q. For example, the British pound strengthened 14.5% against the Brazilean Real, and fell 8.8% against the Russian Ruble.

2015 1Q Pound sterling performance b

Equity and commodity markets (sterling)

The following chart shows the returns on the same markets as in the first chart, but this time in sterling terms (i.e. showing the currency-adjusted returns for a UK investor). The order of the markets has been kept the same as in the first chart, to highlight the effect of the currency moves.

2015 1Q International market returns (GBP)

Notes

  1. Over the first quarter sterling strengthened against the Euro (thus diminishing the effective returns from Euro markets), and weakened against the US dollar.
  2. A major positive impact for UK investors was the weakness of sterling against the ruble which boosted returns on Russian equity exposure.
  3. Conversely, the weakness of the Brazilian Real  acted to reduce returns on Brazil equities.
  4. While oil fell 4.0% in dollar terms in the quarter, UK investors saw a small positive return of 0.8%.

Equity and commodity markets (dollar)

The following chart shows the returns on the same markets as in the first chart, but this time in US dollar terms (i.e. showing the currency-adjusted returns for a US investor).

2015 1Q International market returns (USD)

Social Share Toolbar

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.

Social Share Toolbar

2014 1Q market review – international markets

Equity and commodity markets

The following chart shows the returns on a range of international stock markets and commodities in the first quarter of 2014.

International market returns 2014 1QNotes-

  1. Italy!
  2. FTSE 100 was the second weakest equity market in the G7
  3. Apart from India, the BRIC’s 2013 weakness continued into the first quarter.

Currency markets

The following chart shows a sample of currency moves against the British pound in 2014 1Q. For example, the British pound strengthened 7.9% against the Russian Ruble, and fell 4.6% against the New Zealand Dollar.

Pound sterling performance 2014 1QEquity and commodity markets (sterling)

The following chart shows the returns on the same markets as in the first chart, but this time in sterling terms (i.e. showing the currency-adjusted returns for a UK investor). The order of the markets has been kept the same as in the first chart.

International market returns 2014 1Q (GBP)Notes-

  1. As GBP strengthened a small amount against USD and EUR in the period this had the effect of reducing (marginally) the gains in US and Euro denominated markets in sterling terms.
  2. Sterling-adjusted, the Indian equity market jumped over gold to be the second strongest market in the period.
  3. Although the Brazil equity market fell in the period, sterling investors would have seen a gain due to the weakness of GBP against BRL.

(Similar analysis for 2012, 1H 2013, 2013.)

 

Social Share Toolbar

Comparative performance of FTSE 100 and S&P 500

The following chart shows the average monthly out-performance of the FTSE 100 Index over the S&P 500 Index for the period 1984-2013. For example, the FTSE 100 Index has out-performed the S&P 500 Index by an average of -0.6 percentage points in January.

COMPARATIVE MONTHLY RETURNS OF FTSE 100 V S&P 500 [1984-2013]NOTES

  1. Although since 1984 the S&P 500 has overall greatly out-performed the FTSE 100 (+1021% against +575%), there are months in the year when the FTSE 100 fairly consistently out-performs the S&P 500.
  2. The five months that are relatively strong for the FTSE 100 are: February, April, July, August and December. For example, the FTSE 100 has out-performed the S&P 500 in February in 13 of the past 15 years.
  3. The greatest monthly difference in performance is seen in May, when the S&P 500 on average beats the FTSE100 by 1.3 percentage points each year.

Data

The table below shows the monthly out-performance of the FTSE 100 Index over the S&P 500 Index since 1984. For example, in January 1984, the FTSE100 increased 6.3%, while the S&P 500 fell -0.9%; the out-performance of the former over the latter was therefore 7.2 percentage points.

The cells are highlighted if the number is negative (i.e. the S&P 500 out-performed the FTSE 100).

 FTSE 100 v S&P 500(£)

The following chart is similar to the above except the S&P 500 monthly returns have been currency-adjusted into sterling returns.

COMPARATIVE MONTHLY RETURNS OF FTSE 100 V S&P 500(£) [1984-2013]An effect of adjusting for currency moves is to amplify the out-performance of the FTSE 100 index in certain months (April, July, and December). Conversely, the FTSE 100 under-performance is amplified in January, May and November.

Whereas before the relatively strong FTSE 100 months were February, April, July, August and December, we can see that the currency-adjusted strong months are just April, July, and December.

 

Social Share Toolbar

2013 market review – international markets

Equity and commodity markets

The following chart shows the returns on a range of international stock markets and commodities in 2013.

International markets returns 2013

A few notes-

  1. Japan was easily the strongest market in this selection in 2013 (+56.7%)
  2. The FTSE 100 was the weakest of the G7 markets here.
  3. Not a good year for the BRICS.

Currency markets

The following chart shows a sample of currency moves against the British pound in the year. For example, the British pound increased 25.4% against the South African Rand, and fell in value 2.1% against the Euro.

Pound sterling performance 2013Equity and commodity markets (sterling)

The following chart shows the returns on the same range of markets shown in the first chart, but this time in sterling terms (i.e. showing the currency-adjusted returns for a UK investor). The order of the markets has been kept the same as in the first chart.

International markets returns 2013 (GBP)Some notes-

  1. UK investors would have seen a return in the Nikkei 225 of 26.6% (down from 56.7% after adjusting for the large fall in the yen against sterling).
  2. The strongest sterling-adjusted market in 2013 in this selection was Nasdaq (+35.7%).
  3. The second strongest market was the FTSE 250.
  4. In domestic currency terms the Australian market rose 15.1% in 2013, but UK investors would have experienced a loss of 3.1% in this market as sterling increased 18.8% against the Aussie dollar.
  5. Except for China, the losses in the BRIC markets were exacerbated by the strength of sterling against their currencies. For example, a domestic currency loss of 15.5% in the Brazilian market became a 28.0% loss for UK investors in that market…
  6. …and the same for gold and silver as sterling appreciated against the US dollar in the year.

(Similar analysis for 2012, 1H 2013.)

 

Social Share Toolbar

Performance of international markets 1H 2013

The following chart shows the performance of a selection of equity and commodity markets for the first six months of 2013.

And the following chart plots the same markets but for returns in sterling.

 

Social Share Toolbar

International markets in 2012

Equity and commodity markets

The following chart shows the returns on a range of international stock markets and commodities in 2012.

Notes-

  1. The German market was the strongest (+29.1%), followed by the Asian markets of India, Japan, and Hong Kong.
  2. The FTSE 100 was ranked 22 out of the 25 markets appearing here.
  3. Over half the markets increased by more than 10% in 2012.

Currency markets

The following chart shows a sample of currency moves against the British pound in the year. For example, the British pound increased 16.5% against the Japanese Yen, and fell in value 6.7% against the Polish Zloty.

Equity and commodity markets (sterling)

The following chart shows the returns on the same range of markets shown above, but this time in sterling terms (i.e. showing the returns for a UK investor).

Notes-

  1. The German market remains the strongest for 2012, with its returns reduced from 29.1% to 26.4% due to the slight appreciation of GBP against EUR over the year.
  2. A big difference is the return for the Nikkei Index in sterling terms – falling from 22.9% to 5.5%.
  3. In sterling terms the FTSE 100 climbs from 22nd position to 15th.
  4. And in sterling terms the FTSE 250 Index climbs to 2nd position.
Social Share Toolbar