50th Anniversary of the S&P 500

We normally never do press releases — I find they are pretty worthless, and given the sheer ignorant laziness of the PR flacks who send us outrageously off topic garbage, they all get deleted (99% of them unread).

But there were so many interesting details in this one that we succumbed to its numerological charms.

Here now, some fascinating trivia about the S&P500:

The S&P 500 was launched on March 4th, 1957.

Closing price on March 5, 1957 = 44.42

Average closing price since 1957 = 377.69

Average point change since 1957 = 0.11

Average percentage change since 1957 = 0.03%

S&P 500 closed up 6,608 days; average gain = 2.71 or 0.63%

S&P 500 closed down 5,900 days; average loss = -2.80 or -0.64%

73 days of no change in the price of the S&P 500

Best one day point gain = March 16, 2000, +66.33

Worst one day point loss = March 14, 2000, -83.95

Best one-day percentage gain = October 21, 1987, +9.10%

Worst one-day percentage loss = October 19, 1987 -20.47%

Average yield = 3.19% (currently 1.73%)

Average P/E on GAAP 17.37 (currently 17.74)

Average payout 49.64% (currently 30.58%)

First closed at or over 100 on June 4, 1968

First closed at or over 200 on November 2, 1985

First closed at or over 500 on March 24, 1995

First closed at or over 1,000 on February 2, 1998

First closed at or over 1,500 on March 22, 2000

Highest close = 1527.46 on March 24, 2000

Best year = 1958, 38.06%

Worst year = 1974, -29.72%

Best quarter = Q1 1975, +21.59%

Worst quarter = Q3 1974, -26.12%

Best month = October 1974, 16.30%

Worst month = October 1987, -21.76%

Estimated shares traded for the underlying issues is 4,287,212,318,580

Estimated value: $1.2 trillion is directly invested in the index.

10.83% total return, of which 32.87% is from reinvested dividends

Best stock Altria (formerly Phillip Morris), $1 invested now worth $8,400+

86 issues are still in the index since 1957

On the aside, why would S&P release "30 Interesting Data Points" on the S&P500′s 50th anniversary? 50 Would have been ideal, while 25 more workable. The only significant numerical correlation I can think of for the number 30 is thats how many stocks there are in the Dow Industrials . . .


S&P Celebrates 50th Anniversary of the S&P 500
February 28, 2007

Category: Index/ETFs, Investing, Markets

The Value of Fundie Analysts?

Category: Data Analysis, Earnings, Investing, Psychology

Blame the professors: Just as the option backdating scandal started with academic researchers noting mathematical anomalies, so too might the next brewing scandal: the I/B/E/S Analyst ratings back dating scandal.

According to a Barron’s article by Bill Alpert (buried on page 39), several professors have discovered what they describe as 54,729 non-random, ex-post changes out of 280,463 observations — a little over 19.5% of analyst recs (abstract below):

"The professors found
almost 55,000 changes that had been made in the I/B/E/S database of
stock-analyst recommendations maintained by Thomson, the Stamford,
Conn., firm that is a leading vendor of financial data. The alterations
made Wall Street’s record of recommendations look more conservative –
hiding Strong Buy recommendations and adding Sell recommendations from
1993 to 2002. That is a period for which Wall Street has drawn heat and
government sanctions for touting Internet bubble stocks.

As a result of the changes, the stock picks shown in
the database would have created annual gains that were 15% to 42%
better than the originally recorded recommendations, using a trading
strategy based on analysts’ recommendations."

The firms were the most significant participants in the data backdating were also the firms who had the closest relationship between banking and research and were the hardest hit by the Spitzer enforced settlement.

From page four of the academic working paper notes exactly how significant this was:

"Why do the historical data now look different than they once did? The contents of the database changed at some point between September 2002 and May 2004, a period that not only coincided with close scrutiny of Wall Street research by regulators, Congress, and the courts, but also saw a substantial downsizing of research departments at most major brokerage firms in the U.S.

The paper outlines four types of data changes: 1) non-random removal of analyst names from historic recommendations (€œanonymizations€); 2) the addition of new records not previously part of the database; 3) the removal of records that had been in the data; and 4) alterations to historical recommendation levels.

The net result of this was to make many specific trading strategies appear better in retrospect than they actually were.  Buying top rated stocks and shorting lowest rated stocks, based on the changed data, now perform 15.9% to 42.4% better on the 2004 revised data than on the 2002 tape, the professors state.

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