Monday, 18 March 2013

Sensex Rolling Retuns - Some observations

I was doing some data analysis on Sensex data from BSE. I have taken the Sensex value for March end (or very close to it) for every year since Sensex was constituted in 1979. It put my mind to rest on the need to keep focussed on the long term and ignore short term market gyrations.

Some interesting observations:-
  1. The worst crash in Sensex came not in 2008 but in 1993 courtesy Harshad Mehta. Down 45% in 1993 vs 35% in 2009.
  2. The highest return for a year has been 252% in 1992!!! Again, courtesy Harshad bhai. The man giveth and he taketh away!!!
  3. So, between 1992 & 1993, investors actually did not lose a lot money if they had stayed invested. Sensex was down 10% over the 2 year period, not a catastrophe.
  4. Negative returns for over rolling 5 years starts to become lower and lower and by 12 years, it becomes zero. i.e, there has been no case historically, where an investor has lost money by being invested for 12 years or more.
  5. For a period of 3 years or more, the median return is relatively good - 14% or more.


Summary of Observations

Returns (%)
Date
Sensex
1 Year
3 Years
5 Years
7 Years
10 Years
12 Years
15 Years
Apr-79
124







Apr-80
129
3.92






Apr-81
173
34.47






Apr-82
221
27.34
21.18





Apr-83
213
-3.76
18.12





Apr-84
247
16.06
12.46
14.73




Apr-85
353
43.05
16.91
22.30




Apr-86
582
64.91
39.90
27.40
24.70



Apr-87
524
-9.92
28.56
18.87
22.18



Mar-88
398
-24.03
4.11
13.38
12.61



Apr-89
724
81.71
7.53
24.01
18.48
19.28


Apr-90
783
8.16
14.30
17.27
20.47
19.76


Apr-91
1203
53.63
44.54
15.62
25.39
21.37
20.83

Apr-92
4238
252.34
80.24
51.88
42.63
34.37
33.78

Apr-93
2311
-45.46
43.45
42.14
21.77
26.95
24.08

Mar-94
3779
63.49
46.46
39.17
32.60
31.37
26.70
25.57
Apr-95
3317
-12.23
-7.85
33.47
35.36
25.11
25.73
24.17
Apr-96
3418
3.04
13.92
23.23
24.82
19.36
24.49
21.98
Apr-97
3558
4.10
-1.99
-3.44
24.14
21.10
21.23
20.35
Apr-98
4072
14.46
7.08
11.99
19.03
26.17
17.60
21.75
Apr-99
3686
-9.47
2.55
-0.50
-1.97
17.68
17.65
19.75
Apr-00
5053
37.07
12.41
8.79
11.82
20.50
23.58
19.41
Apr-01
3605
-28.66
-3.98
1.07
-0.67
11.60
14.32
12.92
Apr-02
3463
-3.94
-2.06
-0.54
0.62
-2.00
13.19
13.41
Apr-03
3151
-9.00
-14.56
-5.00
-1.15
3.15
8.36
14.78
Apr-04
5788
83.68
17.10
9.44
7.20
4.36
2.63
14.87
Apr-05
6605
14.11
24.02
5.50
7.15
7.13
9.14
15.28
Apr-06
11564
75.08
54.25
26.25
17.74
12.96
9.77
16.29
Apr-07
12625
9.17
29.69
29.52
13.98
13.50
11.78
7.55
Apr-08
15833
25.41
33.83
38.11
23.54
14.54
13.63
13.69
Apr-09
10349
-34.64
-3.63
12.32
16.93
10.87
9.31
6.95
Apr-10
17693
70.96
11.91
21.78
27.95
13.35
13.02
11.81
Apr-11
19420
9.77
7.05
10.92
18.88
18.34
14.85
12.28
Apr-12
17597
-9.39
19.36
6.87
15.03
17.65
10.96
11.25
Mar-13
19570
11.21
3.42
4.33
7.81
20.04
15.14
11.03
Yearly Rolling Returns

34
32
30
28
25
23
20
Negative Returns

11
6
4
3
1
0
0


Summary since 03 Apr 1979


1 Year
3 Years
5 Years
7 Years
10 Years
12 Years
15 Years

Yearly Rolling Return Observations
34
32
30
28
25
23
20

Negative Return Observations
11
6
4
3
1
0
0

Loss Probability (%)
32
19
13
11
4
NIL
NIL

Median Return (%)
10
14
15
19
18
15
15

Average Return (%)
24
18
17
17
17
17
16

Max Return (%)
252
80
52
43
34
34
26

Minimum Return (%)
-45
-15
-5
-2
-2
3
7

Standard Deviation (%)
53
20
14
11
9
7
5
 

4 comments:

  1. very good data.

    If you r invested for 10 years no chance of loss and avg returns of 17% much higher than fd.

    ReplyDelete
    Replies
    1. That is true Gaurav. The only caveat is that this is historical and no one really knows how the next 10-12 years will pan out. This can be a good study to understand the market background. I did look at the last 80 years data on DJIA and saw very similar patterns, although there were 4 steep falls (over 50%) in the last 100 years in DJIA.

      Delete
  2. Really interesting compilation of the raw data.

    ReplyDelete
  3. HDFC MF have made this dynamic, I really use this from time to time.

    http://www.hdfcfund.com/Calculators/SensexRollingReturnsCalculator.aspx?ReportID=C208C983-C4A5-41B4-B245-CB77C8D2EDC3

    ReplyDelete