Bull Markets Since 1871: Duration andMagnitude
April 17, 2013 by Tobias Carlisle
Butler|Philbrick|Gordillo and Associates have an interesting post calledWhat the Bull Giveth, the Bear Taketh Awayon theduration and magnitude of all bull and bear market periods in U.S. stocks since 1871.
For the purpose of the study below, we examined the S&P 500 price series fromShiller’s publicly available databaseto understand the duration and magnitude of all bull and bear market periods in U.S. stocks since 1871. We defined a bear market as a drop in prices of at least 20% from any peak, and which lasted at least 3 months. Bull markets were then defined as a rise of at least 50% from the bottom of a bear market, over a period lasting at least 6 months.
Chart 1 and Table 1 describe every bull market since 1871 in the S&P, including duration and magnitude information. The lesson from this analysis is uninspiring for equity bulls, as we will see. The core hurdle is that the current bull market has (through end of February) already delivered 105% of gains, against the median 124% bull market run through history (using monthly data). Of course, this means that, should this bull market deliver an average surge, investors can hope for less than 20% more growth from this cycle. Further, given that the median bull market has historically lasted 50 months, and we are currently in our 49th bull month, we are about due for a wipeout.
Chart 1. Bull Markets since 1871
Source: Shiller (2013)
Table 1. Bull Markets since 1871 – Statistics
Source: Shiller (2013)
The current bull market has already delivered 85 percent of the gains, and lasted about as long, as the median historical bull market.
ReadWhat the Bull Giveth, the Bear Taketh Awayfor the bear market equivalents of the preceding bull table and chart.Butler|Philbrick|Gordillo and Associatesdemonstrate that, if it follows the median bear market, it will wipe out 38 percent of all prior gains.
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Posted in About, Austrian Economics, Behavioral economics, Contrarian investment, Strategy | Tagged Bull Market, Butler|Philbrick|Gordillo and Associates | 20 Comments
20 Responses
on January 23, 2017 at 11:01 am | Reply It’s the economy, stupid! – Hitting Bregma
[…] picture is a bit clearer when it comes to stock market gains. The mean bull market since 1871 is67 months with 178% in gains. The median is 50 months and 123.8% gains. We’re longer than […]
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on May 18, 2015 at 3:01 am | Reply HSBC’s Chief Economist – “The Second Great Depression Only Postponed, Not Avoided” | RIELPOLITIK
[…] who follow quantitative market probability note that bullish stock market environments last, on average, 67 months. The current bullish economic environment, depending on where you call the low point, is […]
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on August 4, 2014 at 9:16 am | Reply Bull Markets 1871 to July 2014: Duration and Magnitude (Update) | Greenbackd
[…] little wobble in the market last week made me think of a post I ran in April last year on theduration and magnitude of all bull and bear market periods in U.S. stocks since 1871 using charts from Butler|Philbrick|Gordillo and Associates’What the Bull Giveth, the Bear […]
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on June 5, 2014 at 9:12 pm | Reply Marcus A. Boechat
Signs of a peak everywhere nevertheless we will now do the inevitable blow off top regardless of fundamentals it is the bull market way!
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on April 3, 2014 at 7:53 am | Reply 3 Reasons For A Stock Market Crash This Year | stocks and startups
[…] Bull Market is about 4 years(or maybe it’s 3.2 years, or 5 years 7 months) – Apparently there isn’t exact agreement on what the length of the average bull market […]
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on March 26, 2014 at 11:33 am | Reply Why And How To Buy Corporate Bonds In A Likely Increasing Interest Rate Environment.
[…] in US equities is now five years old. The median bull market since 1871 has historically lasted 50 months (about 4.17 years). The median bull market has delivered 124% gains. Using the SPDR S&P 500 […]
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on January 26, 2014 at 4:57 pm | Reply atl9pd
Here is the problem with this analysis… it uses median and averages… when has anything equaled a median or average? A median is the middle of a group of numbers; an average is the sum of all numbers divided by the number of items used. We see some bull markets — in fact 3 — lasting 150+ months – that is more than a decade… we also see some lasting 2 years or less… we only see one lasting ~50 months… I would bet this lasts for 10 years or more, meaning we haven’t even hit the middle… 2020 is when I dump stocks or long term investing. This actually goes hand in hand with USA energy and industrial resurgence… which likely won’t be felt in a significant way until 2015 or 2016. The market is always ahead. BTW I love the doom and gloomers… if it wasn’t for them 2013 would likely have been a bad year! Keep it up, and short short short!! (your time will come… but after you decide to throw in the towel).
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on September 2, 2013 at 4:43 am | Reply Aktienmärkte in den USA: Warum sich Anleger für einen Crash wappnen sollten | Kiss Canaries
[…] am Aktienmarkt gibt es eine durchschnittliche Lebenserwartung von Bullen- oder Bärenmärkten. Im Schnitt klettern die Kurse etwas mehr als vier Jahre, ehe es zu einer markanten Trendwende […]
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on June 12, 2013 at 1:47 pm | Reply Jacob
Here’s something really scary!!
If you divide the percent bull market gain by the months of the duration of the bull market to get an average monthly return. There are only 2 times in the history that the average monthly return exceeds the current monthly return. It’s not the TECH BUBBLE only 3.37% It’s not the housing bubble of 07′ only 1.47%, its the 8 year period leading up to the great depression 1921-1929 an earth shattering 6.53% the 2nd is the bounce back in 1932-34 of 6.52%. The current market top S&P 1687 on May 24, 2013 divided by the bottom on March 6th, 2009 of 666 yields a whopping 253% divide that by the current 51 months and you get 4.96%. The really scary part is the average is less than 3% even the 95th percentile is less than 3%. So if the market is over-inflated by 86.5%, average market return of 2.66% subtracted from 4.96% = 2.3% divided by 2.66% = 86.5% the only other time in history this has ever happened was during the Great Depression where it was 145.5% 6.53%-2.66%=3.87% divided by 2.66% = 145.5% Now that the market is approaching a territory we have only been to once before, and we know how that ended, where do you think we’re headed now? Just some facts for thought. By the way the best approach for the short term is cash or short etf’s anything else will lose you big time in the next 1-3 years. check out: TZA,FAZ, SQQQ, SDOW, or other short stocks, you can leverage or not but definitely short this market, you will be thanking me later! The other best strategy is to hold cash, and wait until the bottom and buy at bargain prices. How do you know when we’re at the bottom?
When we break the 50 day moving average by 1% when the market dips below the moving average by less than 1% you buy, when it hits 3% below sell always buy when we break moving average by 1% to the upside this strategy will save you all the big losses, and help to see most of the gains.LikeLike
on October 9, 2014 at 3:32 pm | Reply Daniel Loscher
How’s that shorting going for you after 1 year? if you speculate you get burned. Investing is ownership not gambling
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on October 10, 2014 at 11:29 am | Reply Jacob
All investments in the stock market are some form of speculation, If you read, I said the best strategy is to hold cash. Talk to me in a year or two. Long term the short play will be the best choice in the next 24 months. Send me another reply if I’m wrong. But I speculate not!
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on May 27, 2013 at 9:37 am | Reply Sectors to Avoid At Least for Now | Prudent Trader
[…] Bull Markets Since 1871: Duration and Magnitude (Greenbackd) […]
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on May 17, 2013 at 1:21 pm | Reply update: I’m still here! | The Trough
[…] Bull Markets Since 1871: Duration and Magnitude (greenbackd.com) […]
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on May 1, 2013 at 7:39 am | Reply Are the Stock Market Bears About to Be Proven Right? — State of Globe
[…] Bull Markets Since 1871: Duration and Magnitude […]
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on April 28, 2013 at 5:44 pm | Reply alex
Good analysis but this is flawed. Using April 1st in this case is very misleading, SPY already back to 800 vs 666 by then, giving a very large difference in returns from the low (~105% vs ~140%). By this logic then we have exceeded the median and are not too far off from the average.
It also gives this bull market more of an acceleration than most. Furthermore, the average is skewed by 1929 and 2000, which were blowoff secular bull market peaks, whereas we are in a midcycle bull market which should be of less strength.
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on April 20, 2013 at 6:01 am | Reply Weekend reading: Two early jobs that taught me independence
[…] Bull markets since 1871: Duration and magnitude – Greenbackd […]
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on April 18, 2013 at 11:01 am | Reply Chart o’ the Day: “Due for a Wipeout” | The Reformed Broker
[…] came across this chart on a blog called GestaltU thanks to a link on Greenbackd. Below you'll be looking at the current bull market versus all of the prior comparable bull […]
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on April 17, 2013 at 4:30 pm | Reply 10 Wednesday PM Reads | The Big Picture
[…] It Can Solve the Boston Bombings (Slate) • Bull Markets Since 1871: Duration and Magnitude (Greenbackd) • Gold crash is an instructive whodunit of financial markets (theguardian) see also Gold and […]
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on April 17, 2013 at 1:40 pm | Reply Wednesday links: chasing rainbows - Abnormal Returns | Abnormal Returns
[…] A look at bull markets since 1871. (Greenbackd) […]
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