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.

 

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FTSE 100 daily returns heatmap

This updates a previous article with the latest figures for the average daily change and positive daily returns of the FTSE 100 Index.

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

FTSE 100 average daily returns heat map [2015]

 Positive daily returns

FTSE 100 positive daily returns [2015]


Other daily return heatmaps.

 

 

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Nikkei 225 daily returns heatmap

This article concerns the daily returns for the Nikkei 225 from 1984.

Average daily returns

The following table shows the average return since 1984 of the Nikkei 225 Index for each day of the year. For example, over the last 30 years the average daily return for the Nikkei 225 on 4 January has been 0.38%.

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 - Nikkei 225

OBSERVATIONS:

  • The day with the greatest number of large positive average returns is the 25th of the month.
  • Five days of the month have no large positive average returns: 11th, 16th, 18th, 22nd, 24th
  • The month with the greatest number of large positive average daily returns is March.
  • The month with the greatest number of large negative average daily returns is September; while December is the only month with no large negative average daily returns.
  • The longest period of the year with no large negative average daily returns is 20 November to 7 Jan.

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 1984 67% of the Nikkei 225 Index returns on 4 January have been positive.

Positive daily returns heatmap - Nikkei 225

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 0.02% and the standard deviation 0.33, so values are highlighted if they are above 0.35% (0.02 + 0.33) or below -0.31% (0.02 – 0.33).


Other daily return heatmaps.

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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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FTSE 100 daily returns heatmap

This article concerns the daily returns for the FTSE 100 Index from 1984.

Average daily returns

The following table shows the average return since 1984 of the FTSE 100 Index for each day of the year. For example, over the last 31 years the average daily return for the FTSE 100 Index on 2 January has been 0.37%.

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 - FTSE 100

Observations:

  1. The periods of greatest relative strength for daily returns (i.e. clusters of dark green cells in the table) would appear to be the first couple of days of each month, and the second part of December.
  2. Conversely, the period of greatest relative weakness for daily returns (i.e. clusters of dark red cells in the table) would appear to be the five-days of 20th to 24th of each month (except December).
  3. The day of the month with the greatest number of large positive returns is the 1st; while the greatest number of large negative returns is the 22nd.

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 1984 56% of the FTSE 100 Index returns on 2 January have been positive.

Positive daily returns heatmap - FTSE 100

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 0.03% and the standard deviation 0.24, so values are highlighted if they are above 0.27% (0.03 + 0.24) or below -0.21% (0.03 – 0.24).


Other daily return heatmaps.

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