Dec

14

Going back to 1960, S&P 500 returns on a yearly basis:

Avg. 8.2%
Std 15.8%
Count 47
t 3.5
%Pos 72%

There have been two instances of exactly 4 consecutive positive years, in the following year:

Avg. 17.1%
Std 3.5%
Count 2
t 7
%Pos 100%

And 7 instances of 4 or more consecutive positive years, in the following year:

Avg. 8.4%
Std 13.8%
Count 7
t .9
%Pos 71%

After all positive years:

Avg. 7.5%
Std 13.4%
Count 34
t 3.3
%Pos 71%

After all negative years:

Avg. 10.0%
Std 21.1%
Count 13
t 1.7
%Pos 77%

I looked at multifarious combinations of runs and binned returns, but the only thing that the study suggests is that returns in the years following positive performances tend to have lower variance.

f-test on difference in variance: p-value = 0.04


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