Friday, August 23, 2019

The S&P500 since 1871

I've been working on long times series history for the USA.  We have several key series back to the first world war, and some even  further back.  But first, I had to rewrite some of my own programs, which took a while.  My programs are mostly written in APL with some VBA, and read and write to Excel files.  However, Excel doesn't handle dates before 1900.  So I had to do some coding in APL to allow for this.  Anyway, one of the first of my long term series is the S&P500, which I have got a monthly average for back to 1871.  And here's its chart (as usual, click to enlarge).  By the way, the software which produces this is written in APL.



Note that because this is plotted on a log scale, the same percentage move takes up the same space on the chart.  So even though in the Great Depression, the market only fell 17 or 18 points, it was by far the largest percentage fall.  Also, see how from 1871 to the early 1940s, the trend growth rate of the market (which would be a straight line because it's a log scale) was appreciably lower than the trend growth rate since then.  Notice also how the 1987 crash, which seemed so huge at the time is just a blip on this chart.

Fascinating.

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