Monday, July 29, 2013

August Historical S&P 500 and Sector Analysis


If, in the past, you have ever felt like Wall Street feels like a ghost town in the middle of August, then you may find comfort in the fact that the numbers support that feeling.  The fact is, August has been a challenging month for the market over the last twenty-five years.  After removing the high and low returns for statistical analysis I found that the S&P 500 TR has experienced a negative mean return of -.39% over the last twenty-five months of August.  The trend is choppy at best as the S&P 500 TR returned to a positive return of .07% for the trailing twenty months of August, before slipping back into negative territory with a mean return of -.26% for the trailing fifteen year period.  Rounding out my analysis is another positive mean return for the S&P 500 TR over the last ten years.

Based on the broad-based market weakness in the month of August over the last twenty-five years it should not be surprising that the best performing and most consistent performing sectors are defensive in nature.  Only three sectors have been able to achieve a positive mean return for every time period that I examined, and finished as top half performers versus the others sectors and the S&P 500 TR.  Those three sectors were the health care, consumer staples and real estate sectors.  Of the three, the clearest strength was seen in real estate, as it finished as a top three performer for every time period researched. 

So where did the majority of the weakness come from during the last twenty-five months of August?  The numbers indicate that the telecom and industrial sectors have had extreme trouble in August.  In fact, they finished as the bottom two performing sectors for three of the four time periods.  Industrials were unable to achieve a positive mean return for any of the researched periods of time.  Duration has not helped with industrials suffering a mean return of -1.11% for the month of August over the last twenty-five years. 

Technology stock investors may consider increasing their exposure.  Though the sector was not as consistent (higher volatility and of course a higher standard deviation) as the previously mentioned winners, it has showed signs of strength in August especially over the last twenty years where it was the leading sector.

August
Cons Disc
Health Care
Energy
Financials
Cons Staples
Technology
1988
-2.90%
-2.74%
-1.13%
-0.46%
-0.06%
-6.20%
1989
3.09%
1.76%
3.09%
4.39%
-1.54%
2.61%
1990
-11.80%
-6.81%
-1.25%
-9.35%
-7.29%
-12.83%
1991
4.02%
3.21%
2.84%
5.40%
3.98%
4.90%
1992
-1.38%
-2.58%
1.56%
-3.24%
-0.44%
-2.80%
1993
6.98%
2.19%
6.13%
3.94%
4.78%
7.15%
1994
4.96%
9.85%
-2.42%
2.68%
6.36%
9.90%
1995
0.63%
2.36%
2.36%
4.67%
-0.17%
1.14%
1996
3.94%
5.89%
5.99%
4.88%
-3.18%
5.44%
1997
-2.61%
-2.61%
4.19%
-3.21%
-3.70%
-0.11%
1998
-14.83%
-16.36%
-22.25%
-20.56%
-12.18%
-19.33%
1999
-5.14%
2.70%
3.64%
-4.89%
-3.24%
5.24%
2000
0.34%
10.63%
13.76%
8.88%
1.54%
15.69%
2001
-5.73%
-1.59%
-6.85%
-3.98%
3.15%
-12.90%
2002
1.10%
-1.42%
2.48%
1.83%
1.26%
-3.11%
2003
4.27%
-1.53%
7.71%
0.06%
1.84%
7.54%
2004
-1.29%
0.99%
-1.94%
2.75%
0.66%
-4.37%
2005
-4.25%
0.99%
7.45%
-1.72%
-1.54%
-0.76%
2006
2.79%
2.68%
-4.32%
1.17%
3.52%
6.26%
2007
1.27%
2.97%
-1.40%
0.65%
2.63%
2.26%
2008
6.36%
0.45%
-2.37%
0.25%
1.79%
1.74%
2009
3.95%
2.08%
0.43%
8.13%
1.68%
2.06%
2010
-4.38%
-2.20%
-5.24%
-7.09%
-2.13%
-4.54%
2011
-6.52%
-6.11%
-9.45%
-9.22%
-2.11%
-7.67%
2012
4.09%
1.84%
2.43%
3.09%
0.85%
4.45%
# Of Up Years
14
15
14
15
13
14
Mean
-0.23%
0.54%
0.61%
0.03%
0.10%
0.23%
Standard Deviation
4.49
3.60
4.56
4.62
2.83
6.08
Trailing 10yr Mean
0.81%
0.66%
-0.62%
-0.11%
0.73%
0.89%
Trailing 15 yr Mean
-0.73%
0.14%
-0.57%
-0.69%
0.49%
-0.29%
Trailing 20 Yr Mean
0.21%
1.09%
0.49%
0.22%
0.42%
1.10%
August
Telecom
Nat Resources
Real Estate
Utilities
Industrials
S&P 500 TR
1988
-2.86%
-3.25%
-0.33%
-0.31%
-5.45%
-3.39%
1989
0.65%
4.53%
-0.11%
-0.32%
4.62%
1.95%
1990
-8.53%
-3.34%
-5.62%
-5.54%
-13.94%
-9.04%
1991
3.05%
1.22%
0.09%
2.72%
0.27%
2.37%
1992
-1.37%
-0.33%
0.87%
-0.17%
-3.58%
-2.05%
1993
6.64%
4.75%
2.57%
3.44%
3.60%
3.79%
1994
4.19%
1.01%
0.90%
0.91%
4.60%
4.10%
1995
2.11%
0.69%
1.43%
1.22%
-1.47%
0.25%
1996
2.98%
5.59%
4.47%
1.81%
1.95%
2.11%
1997
-2.89%
2.03%
-0.52%
-2.93%
-1.12%
-5.60%
1998
-17.17%
-19.09%
-10.07%
-7.16%
-16.67%
-14.46%
1999
-4.04%
2.33%
-1.55%
-2.98%
-3.48%
-0.49%
2000
5.60%
11.98%
-2.82%
6.87%
3.95%
6.21%
2001
-12.09%
-3.65%
2.99%
-3.93%
-3.89%
-6.26%
2002
1.99%
3.14%
0.12%
2.23%
-1.00%
0.66%
2003
3.60%
6.99%
0.84%
1.17%
4.37%
1.95%
2004
-1.46%
-1.27%
6.94%
2.61%
-0.35%
0.40%
2005
-0.50%
7.46%
-3.43%
1.55%
-1.80%
-0.91%
2006
3.42%
-3.36%
3.49%
2.29%
-0.16%
2.38%
2007
-0.25%
-1.86%
4.58%
1.24%
-0.43%
1.50%
2008
0.57%
-3.90%
2.00%
-1.73%
1.98%
1.45%
2009
-0.47%
0.35%
12.97%
1.47%
4.79%
3.61%
2010
-2.33%
-3.62%
-1.16%
-0.13%
-7.32%
-4.51%
2011
-4.53%
-8.72%
-5.95%
-1.48%
-9.04%
-5.43%
2012
2.39%
3.03%
0.14%
-1.51%
2.26%
2.25%
# Of Up Years
12
14
15
13
10
15
Mean
-0.47%
0.43%
0.43%
0.07%
-1.11%
-0.39%
Standard Deviation
4.09
3.97
3.03
2.29
4.58
3.57
Trailing 10yr Mean
0.17%
-0.46%
1.68%
0.58%
-0.18%
0.56%
Trailing 15 yr Mean
-1.05%
-0.24%
0.48%
-0.06%
-1.15%
-0.26%
Trailing 20 Yr Mean
-0.10%
0.61%
0.84%
0.29%
-0.41%
0.07%

 

25 Year
20 Year
15 Year
10 Year
1
Energy
Technology
Cons Staples
Real Estate
2
Health Care
Health Care
Real Estate
Technology
3
Real Estate
Real Estate
Health Care
Cons Disc
4
Nat Resources
Nat Resources
Utilities
Cons Staples
5
Technology
Energy
Nat Resources
Health Care
6
Cons Staples
Cons Staples
S&P 500 TR
Utilities
7
Utilities
Utilities
Technology
S&P 500 TR
8
Financials
Financials
Energy
Telecom
9
Cons Disc
Cons Disc
Financials
Financials
10
S&P 500 TR
S&P 500 TR
Cons Disc
Industrials
11
Telecom
Telecom
Telecom
Nat Resources
12
Industrials
Industrials
Industrials
Energy

 

Jon R. Orcutt is the founder of Allocation For Life, Author of The Allocation For Life Investment Newsletter, Author of "Master The Markets With Mutual Funds: A Common Sense Guide To Investing Success" and manager/creator of the AFL Models available to Allocation For Life subscribers at Folio Investing.