TRACKING THE S&P 500: SOME SUMMARIES AND STOCHASTIC VERSUS DETERMINISTIC TRENDS

This investigation provides decade-by-decade “rate of return” statistics on a common index for stocks. Four variations of the S&P 500 are considered: the S&P 500 index, the S&P 500 with reinvested dividends, and each of... [ view full abstract ]

This investigation provides decade-by-decade “rate of return” statistics on a common index for stocks. Four variations of the S&P 500 are considered: the S&P 500 index, the S&P 500 with reinvested dividends, and each of those indexes adjusted for inflation as measured by the Consumer Price Index. Also included is a comparison of deterministic versus stochastic trends fitted to monthly data. Selected forecast profiles are provided as well. The paper documents very different returns by decade, including the current (unfinished) decade’s strong performance.