S&P 500 Daily Price Change Frequency Distribution

People are getting nervous about this late stage Bull market, so when the market opened down this morning and the S&P 500 reached negative 0.5%, I got a worried call about how significant that would be.

First, in and itself, as an isolated day price change, it really doesn’t have any particular significance, but in response I put together this frequency distribution of daily Close-to-Close price changes for the S&P 500 since January 2, 1964 (the beginning of my daily data); and also for the MSCI Emerging Markets stocks index from February 7, 1996 (and for the S&P 500 for the same period for comparison with emerging markets).

The short answer was that price change throughout the day for the S&P 500 has been between approximately the 20th and 30th percentile, based on 54 years of history (and between the same for 27 years of history).

The emerging markets, however, experienced larger drop varying between the 13th and 8th percentile; possibly showing greater sensitivity to the increase in US 10-year Treasury rates, or reaction to the currency management talk at Davos.

Here is the distribution in 5 percentile increments for the S&P 500 index and the MSCI Emerging Markets index, which you may find useful for future reference:

Related Securities: SPY, VOO, IVV, VFINX, EEM, VWO

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