I have extracted the nominal prices of the S&P500 index from Professor Shller's data. His prices are monthly averages.
I have also extracted the values of P/E10 from his data.
Both the index value and P/E10 turn out to be considerably less volatile than I had thought.
I have attached tables with the January values of each year through 2003, the highs and lows during each year and the ratio of the high to the low.
Have fun.
John R.
S&P500 volatility
Moderator: hocus2004
S&P500 (nominal) index values
Year, January Price, High Price, Low Price, High Price/Low Price
Have fun.
John R.
Year, January Price, High Price, Low Price, High Price/Low Price
Code: Select all
1871 4.44 4.86 4.44 1.09
1872 4.86 5.18 4.86 1.07
1873 5.11 5.15 4.04 1.27
1874 4.66 4.80 4.46 1.08
1875 4.54 4.65 4.30 1.08
1876 4.46 4.52 3.58 1.26
1877 3.55 3.55 2.73 1.30
1878 3.25 3.52 3.18 1.11
1879 3.58 4.93 3.58 1.38
1880 5.11 5.84 4.77 1.22
1881 6.19 6.58 6.01 1.09
1882 5.92 6.24 5.68 1.10
1883 5.81 5.87 5.34 1.10
1884 5.18 5.32 4.34 1.23
1885 4.24 5.24 4.24 1.24
1886 5.20 5.79 5.02 1.15
1887 5.58 5.90 5.20 1.13
1888 5.31 5.38 5.01 1.07
1889 5.24 5.50 5.18 1.06
1890 5.38 5.62 4.60 1.22
1891 4.84 5.41 4.77 1.13
1892 5.51 5.62 5.48 1.03
1893 5.61 5.61 4.08 1.38
1894 4.32 4.57 4.25 1.08
1895 4.25 4.82 4.19 1.15
1896 4.27 4.45 3.81 1.17
1897 4.22 4.98 4.06 1.23
1898 4.88 5.65 4.57 1.24
1899 6.08 6.48 6.02 1.08
1900 6.10 6.87 5.80 1.18
1901 7.07 8.50 7.07 1.20
1902 8.12 8.85 8.05 1.10
1903 8.46 8.46 6.26 1.35
1904 6.68 8.25 6.48 1.27
1905 8.43 9.54 8.43 1.13
1906 9.87 10.03 9.06 1.11
1907 9.56 9.56 6.25 1.53
1908 6.85 9.03 6.60 1.37
1909 9.06 10.30 8.80 1.17
1910 10.08 10.08 8.64 1.17
1911 9.27 9.67 8.67 1.12
1912 9.12 9.86 9.04 1.09
1913 9.30 9.30 8.04 1.16
1914 8.37 8.48 7.35 1.15
1915 7.48 9.48 7.38 1.28
1916 9.33 10.21 9.07 1.13
1917 9.57 9.57 6.80 1.41
1918 7.21 8.06 7.21 1.12
1919 7.85 9.51 7.85 1.21
1920 8.83 8.83 6.81 1.30
Code: Select all
1921 7.11 7.31 6.45 1.13
1922 7.30 9.26 7.30 1.27
1923 8.90 9.43 8.03 1.17
1924 8.83 10.16 8.47 1.20
1925 10.58 12.46 10.28 1.21
1926 12.65 13.49 11.48 1.18
1927 13.40 17.46 13.40 1.30
1928 17.53 23.15 17.32 1.34
1929 24.86 31.30 21.40 1.46
1930 21.71 25.46 15.51 1.64
1931 15.98 17.53 8.44 2.08
1932 8.30 8.30 4.77 1.74
1933 7.09 11.23 6.23 1.80
1934 10.54 11.32 8.88 1.27
1935 9.26 13.04 8.41 1.55
1936 13.76 17.36 13.76 1.26
1937 17.59 18.11 11.02 1.64
1938 11.31 13.07 9.89 1.32
1939 12.50 12.90 10.83 1.19
1940 12.30 12.30 9.67 1.27
1941 10.55 10.55 8.76 1.20
1942 8.93 9.52 7.84 1.21
1943 10.09 12.35 10.09 1.22
1944 11.85 13.10 11.77 1.11
1945 13.49 17.33 13.49 1.28
1946 18.02 18.70 14.69 1.27
1947 15.21 15.80 14.34 1.10
1948 14.83 16.82 14.10 1.19
1949 15.36 16.54 13.97 1.18
1950 16.88 19.87 16.88 1.18
1951 21.21 23.48 21.21 1.11
1952 24.19 26.04 23.73 1.10
1953 26.18 26.18 23.27 1.13
1954 25.46 34.97 25.46 1.37
1955 35.60 45.37 35.60 1.27
1956 44.15 48.78 44.15 1.10
1957 45.43 48.51 40.33 1.20
1958 41.12 53.49 41.12 1.30
1959 55.62 59.74 54.77 1.09
1960 58.03 58.03 53.73 1.08
1961 59.72 71.74 59.72 1.20
1962 69.07 70.29 55.63 1.26
1963 65.06 74.17 65.06 1.14
1964 76.45 85.44 76.45 1.12
1965 86.12 92.15 84.91 1.09
1966 93.32 93.32 77.13 1.21
1967 84.45 95.81 84.45 1.13
1968 95.04 106.50 89.09 1.20
1969 102.00 104.60 91.11 1.15
1970 90.31 90.31 75.59 1.19
1971 93.49 103.00 92.78 1.11
1972 103.30 117.50 103.30 1.14
1973 118.40 118.40 94.78 1.25
1974 96.11 97.44 67.07 1.45
1975 72.56 92.49 72.56 1.27
1976 96.86 105.50 96.86 1.09
1977 103.80 103.80 93.74 1.11
1978 90.25 103.90 88.82 1.17
1979 99.71 108.60 98.23 1.11
1980 110.90 135.70 103.00 1.32
Code: Select all
1981 133.00 134.40 118.30 1.14
1982 117.30 139.40 109.40 1.27
1983 144.30 167.70 144.30 1.16
1984 166.40 166.40 151.10 1.10
1985 171.60 207.30 171.60 1.21
1986 208.20 248.60 208.20 1.19
1987 264.50 329.40 241.00 1.37
1988 250.50 277.40 250.50 1.11
1989 285.40 348.60 285.40 1.22
1990 339.97 360.39 307.12 1.17
1991 325.49 389.40 325.49 1.20
1992 416.08 435.64 407.36 1.07
1993 435.23 465.95 435.23 1.07
1994 472.99 472.99 447.23 1.06
1995 465.25 614.57 465.25 1.32
1996 614.42 743.25 614.42 1.21
1997 766.22 962.37 766.22 1.26
1998 963.36 1190.05 963.36 1.24
1999 1248.77 1428.68 1246.58 1.15
2000 1425.59 1485.46 1330.93 1.12
2001 1335.63 1335.63 1044.64 1.28
2002 1140.21 1153.79 854.63 1.35
2003 895.84 1080.64 837.03 1.29
John R.
P/E10 of the S&P500
Year, January P/E10, High P/E10, Low P/E10, (High P/E10) / (Low P/E10)
Have fun.
John R.
Year, January P/E10, High P/E10, Low P/E10, (High P/E10) / (Low P/E10)
Code: Select all
1881 18.47 19.03 15.96 1.19
1882 15.68 16.08 14.33 1.12
1883 15.27 15.95 14.76 1.08
1884 14.43 14.81 12.91 1.15
1885 13.13 16.82 13.13 1.28
1886 16.69 18.97 16.69 1.14
1887 17.51 18.08 15.46 1.17
1888 15.36 15.99 14.81 1.08
1889 15.80 17.35 15.80 1.10
1890 17.22 17.79 14.44 1.23
1891 15.43 18.21 15.05 1.21
1892 19.02 19.94 18.01 1.11
1893 17.66 17.66 14.35 1.23
1894 15.74 17.43 15.74 1.11
1895 16.52 18.20 16.33 1.11
1896 16.58 17.83 15.70 1.14
1897 17.03 19.37 16.70 1.16
1898 19.25 21.40 17.60 1.22
1899 22.93 23.28 18.51 1.26
1900 18.67 20.74 17.34 1.20
1901 20.98 25.24 20.98 1.20
1902 22.34 23.17 19.63 1.18
1903 20.32 20.32 15.25 1.33
1904 15.86 18.16 15.02 1.21
1905 18.46 19.90 18.46 1.08
1906 20.13 20.13 17.66 1.14
1907 17.22 17.22 10.59 1.63
1908 11.90 14.58 11.55 1.26
1909 14.76 15.42 14.17 1.09
1910 14.55 14.55 12.34 1.18
1911 14.05 15.33 13.00 1.18
1912 13.79 13.98 13.39 1.04
1913 13.15 13.15 11.07 1.19
1914 11.64 11.91 10.17 1.17
1915 10.36 12.88 10.33 1.25
1916 12.54 12.54 11.41 1.10
1917 10.99 10.99 6.41 1.71
1918 6.64 6.78 6.13 1.11
1919 6.10 7.05 6.10 1.16
1920 5.99 5.99 4.78 1.25
Code: Select all
1921 5.12 6.11 5.12 1.19
1922 6.29 8.43 6.29 1.34
1923 8.15 8.70 7.32 1.19
1924 8.07 9.31 7.90 1.18
1925 9.69 11.15 9.48 1.18
1926 11.34 13.01 10.40 1.25
1927 13.19 18.65 13.19 1.41
1928 18.81 25.30 18.81 1.35
1929 27.08 32.56 21.17 1.54
1930 22.31 25.84 16.06 1.61
1931 16.71 18.58 9.31 2.00
1932 9.31 9.41 5.57 1.69
1933 8.73 13.75 7.83 1.76
1934 13.03 13.93 10.91 1.28
1935 11.50 16.16 10.40 1.55
1936 17.09 21.50 17.09 1.26
1937 21.62 22.24 13.01 1.71
1938 13.51 16.15 11.79 1.37
1939 15.60 16.82 13.92 1.21
1940 16.38 16.38 12.84 1.28
1941 13.90 13.90 10.09 1.38
1942 10.10 10.10 8.51 1.19
1943 10.15 11.77 10.15 1.16
1944 11.05 11.74 10.94 1.07
1945 11.96 15.02 11.96 1.26
1946 15.62 16.04 11.11 1.44
1947 11.47 11.95 10.68 1.12
1948 10.42 11.58 10.00 1.16
1949 10.25 10.53 9.07 1.16
1950 10.75 11.66 10.54 1.11
1951 11.90 12.44 11.62 1.07
1952 12.53 12.93 12.13 1.07
1953 13.01 13.01 11.14 1.17
1954 12.00 15.79 12.00 1.32
1955 15.99 18.94 15.99 1.18
1956 18.29 19.37 17.12 1.13
1957 16.72 16.87 13.67 1.23
1958 13.79 17.36 13.78 1.26
1959 17.98 19.09 17.76 1.07
1960 18.34 18.34 16.61 1.10
1961 18.47 22.04 18.47 1.19
1962 21.20 21.45 16.74 1.28
1963 19.26 21.04 19.26 1.09
1964 21.63 23.23 21.63 1.07
1965 23.27 23.93 22.30 1.07
1966 24.06 24.06 18.83 1.28
1967 20.43 22.22 20.43 1.09
1968 21.51 22.28 19.93 1.12
1969 21.19 21.19 17.33 1.22
1970 17.09 17.09 13.73 1.25
1971 16.46 17.92 15.64 1.15
1972 17.26 18.65 17.26 1.08
1973 18.71 18.71 13.49 1.39
1974 13.53 13.53 8.29 1.63
1975 8.92 11.01 8.92 1.23
1976 11.19 11.81 11.19 1.06
1977 11.44 11.44 9.68 1.18
1978 9.24 10.02 8.93 1.12
1979 9.26 9.26 8.52 1.09
1980 8.85 9.65 7.84 1.23
Code: Select all
1981 9.26 9.26 7.58 1.22
1982 7.39 8.47 6.64 1.27
1983 8.76 10.01 8.76 1.14
1984 9.89 9.89 8.87 1.12
1985 10.00 11.69 10.00 1.17
1986 11.72 14.09 11.72 1.20
1987 14.92 18.33 13.39 1.37
1988 13.90 14.81 13.90 1.07
1989 15.09 17.73 15.09 1.18
1990 17.05 17.82 14.82 1.20
1991 15.61 18.51 15.61 1.19
1992 19.77 20.45 19.28 1.06
1993 20.32 21.17 20.32 1.04
1994 21.41 21.41 19.91 1.08
1995 20.22 25.03 20.22 1.24
1996 24.76 27.72 24.76 1.12
1997 28.33 33.03 27.59 1.20
1998 32.86 38.82 32.86 1.18
1999 40.58 44.20 40.40 1.09
2000 43.77 43.77 37.28 1.17
2001 36.98 36.98 27.67 1.34
2002 30.28 30.29 21.95 1.38
2003 22.89 26.63 21.21 1.26
John R.