S&P 500 Total Return Index History Drawdowns of Greater ...

[Pages:6]S&P 500 Total Return Index Level 6,000

5,500 5,000

412.0% 2,238 Trading Days

S&P 500 Total Return Index History Drawdowns of Greater Than 5% Since Index Pre-Crisis Peak

10/9/2007 ? 2/9/2018

1/26/2018 -10.10% 8+ / ?

4,500

4,000

3,500

3,000

2,500 10/9/2007

1,129 Trading Days to Previous Peak

-6.27% 17 / 28

2,000

1,500 1,000

-55.25% 355 Day Drawdown / 774 Day Recovery

-7.76% 19 / 21

-5.58% 9 / 8 -6.95% 19 / 6

-7.02% 13 / 13 -15.16% 56 / 86

4/2/2012

-18.64% 108 / 85

-9.64% 19 / 27

-9.58% 42 / 53

-7.31% 42 / 31

-5.48% 23 / 12

-5.66% 12 / 14

-7.28% 19/ 12

-12.96% 143 / 45

-5.52% 13 / 8

Source: Bloomberg

1

S&P 500 Annualized Total Return 25%

S&P 500 Total Return Index History S&P 500 Annualized Total Return Performance Over 2,603 Trading Days

10/9/2007 ? 2/9/2018

20%

21.07%

15%

10%

18.29%

15.36%

11.95%

7.39%

5% 3.22%

0%

-5% Less 20

Worst Days

Source: Bloomberg

Less 15 Worst Days

Less 10 Worst Days

Less 5 Worst Days

All Trading Days 2,603*

Less 5 Best Days

*Excludes Holidays and Weekends

0.53%

Less 10 Best Days

-1.60%

Less 15 Best Days

-3.55% Less 20 Best Days

2

S&P 500 Total Return Index Level 6,000 5,000 4,000 3,000 2,000 1,000

0

Source: Bloomberg

S&P 500 Total Return Index History (Y1) Relative to VIX Index History (Y2)

10/9/2007 ? 2/9/2018

VIX Index Level 90 80 70 60 50 40 30 20 10 0

3

Source: Bloomberg

Drawdown Start

1/3/1990 7/17/1990 4/18/1991 11/14/1991 1/16/1992 9/15/1992 2/3/1994 8/31/1994 6/6/1996 2/19/1997 8/7/1997 10/8/1997 12/8/1997 7/20/1998 4/13/1999 5/14/1999 7/19/1999 1/3/2000 3/27/2000 9/5/2000 2/21/2007 7/20/2007 10/10/2007 4/3/2012 9/17/2012 5/22/2013 1/6/2014 9/19/2014 7/21/2015 6/9/2016 1/29/2018 Average

Drawdown Trading Days

20 62 20 11 59 19 41 70 34 37 17 14 23 31 5 10 64 38 15 529 9 19 355 42 42 23 12 19 143 13 8+ 60

Cumulative Drawdown Return -10.04% -19.18% -5.29% -5.46% -5.58% -5.14% -8.47% -5.69% -7.41% -9.38% -6.21% -10.75% -5.56% -19.19% -5.08% -6.25% -11.80% -9.09% -11.14% -47.41% -5.77% -9.27% -55.25% -9.58% -7.31% -5.58% -5.72% -7.28% -12.96% -5.52% -10.10% -11.28%

S&P 500 Total Return Index History Trading Day Drawdowns of Greater Than 5%

1/1/1990 ? 2/9/2018

Drawdown Conclusion 5/21/1990 2/11/1991 5/31/1991 12/23/1991 5/11/1992 11/19/1992 8/29/1994

2/2/1995 9/13/1996 5/5/1997 10/2/1997 12/5/1997 1/29/1998 11/23/1998 4/22/1999 6/30/1999 11/16/1999 3/21/2000 9/1/2000 10/23/2006 4/16/2007 10/5/2007 4/2/2012 8/6/2012 1/2/2013 7/11/2013 2/24/2014 10/31/2014 4/18/2016 7/8/2016

-

Recovery Trading Days

77 84 11 16 22 29 102 38 36 16 23 28 13 59 3 23 22 17 97 1,017 29 36 774 53 31 12 14 12 45 8 92

4

16%

S&P 500 Annualized Total Return 14.88%

14%

13.86%

12.72%

12%

10%

11.39%

8%

6%

4%

S&P 500 Total Return Index History S&P 500 Annualized Total Return Performance Over 7,088 Trading Days

1/1/1990 ? 2/9/2018

9.69%

8.10%

7.02%

6.09%

5.24%

2%

0% Less 20

Worst Days

Source: Bloomberg

Less 15 Worst Days

Less 10 Worst Days

Less 5 Worst Days

All Trading Days 7,088*

Less 5 Best Days

*Excludes Holidays and Weekends

Less 10 Best Days

Less 15 Best Days

Less 20 Best Days

5

S&P 500 Total Return Index Level 6,000 5,000 4,000 3,000 2,000 1,000

0

Source: Bloomberg

S&P 500 Total Return Index History (Y1) Relative to VIX Index History (Y2)

1/1/1990 ? 2/9/2018

VIX Index Level 90 80 70 60 50 40 30 20 10 0

6

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