G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research

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Return Charts

Click here to see the annual stock returns, 1802-2025 in PDF format.

Click here to see the monthly stock returns, 1885-2025 in PDF format.

Click here to see the histogram of monthly stock returns, 1802-2025 and subperiods in PDF format.

• Note that the histograms for the subperiods look more like the "normal" distribution, because the volatility within the subperiods are more homogeneous than when all of the periods are considered together.

Click here to see the bar chart of means and standard deviations of monthly stock returns by month, 1802-2025 in PDF format.

• Note that the standard deviations are similar across months, as are the mean returns, except for September, which is negative.

Click here to see the bar chart of means and standard deviations of monthly S&P composite stock returns by month, 1885-2025 in PDF format.

• Similar to the longer period, note that the standard deviations are similar across months, as are the mean returns, except for September, which is negative.

Click here to see the bar charts of means of monthly stock returns by month, 1802-2025 and subperiods in PDF format.

• Consistent with the high volatility of returns from 1926-45, there are several large positive and negative mean returns in this period. September is the only month with negative mean returns in each of the non-overlapping subperiods.

Click here to see the bar chart of means of monthly CRSP value-weight and equal-weight stock returns by month, 1926-2024, in PDF format.

• Note that the mean return for January is much larger for the equal-weighted portfolio than for the value-weighted portfolio. This is the "January effect" for small stocks. The mean returns for both portfolios are negative in Septemeber.

Click here to see annual dividend yield on US stocks, 1871-2025 in PDF format.

• Note that aggregate dividend yield has trended downward since about 1950.

Click here to see the daily levels of the Dow Jones Industrial Average from 1885-2025 in PDF format.

• The general upward trend of this graph shows a positive average price return, with the exception of the notable drop during the Great Depression, 1929-40.

Click here to see the daily changes in the Dow Jones Industrial Average from 1885-2025 in PDF format.

• The obvious feature of this plot is that the size of price changes increases as the level of the index rises. This illustrates the foolishness of comparing absolute changes in the index with historical benchmarks.

Click here to see the daily returns to the Dow Jones Industrial Average from 1885-2025 in PDF format.

• In contrast with the prior plot, the size of returns is much more homogeneous through time. Thus, it is more reasonable to compare the percent changes in prices across different time periods.

Click here to see the fifty largest increases and decreases in the Dow Jones Industrial Average from 1885-2025 in PDF format. Large daily changes in 2025 are highlighted.

• Seven of the largest absolute drops in the DJIA and five of the largest increases in the DJIA have occurred in the first four months of 2025 (12% of the largest changes in the index level).

Click here to see the fifty largest percent gains and losses in the Dow Jones Industrial Average from 1885-2025 in PDF format. Large daily returns in 2025 are highlighted.

• Only one of the largest percent increases and none of the largest percent deccreases have occurred in the first four months of 2025 (1% of the largest percent changes in the index level).

Click here to see the daily levels of the Standard & Poor's composite index from 1926-2025 in PDF format.

• Similar to the graph of the DJIA above, the general upward trend of the S&P index shows a positive average price return, with the exception of the notable drop during the Great Depression, 1929-40.

Click here to see the daily changes in the Standard & Poor's composite index from 1926-2025 in PDF format.

• Similar to the graph of the DJIA above, the size of price changes increases as the level of the S&P index rises. This illustrates the foolishness of comparing absolute changes in the index with historical benchmarks.

Click here to see the daily returns to the Standard & Poor's composite index from 1926-2025 in PDF format.

• Similar to the graph of the DJIA above, the size of S&P returns is much more homogeneous through time. Thus, it is more reasonable to compare the percent changes in prices across different time periods.

Click here to see the fifty largest increases and decreases in the Standard & Poor's composite index from 1926-2025 in PDF format. Large daily changes in 2025 are highlighted.

• Ten of the largest absolute drops in the S&P index and nine of the largest increases in the S&P index have occurred in the first four months of 2025 (19% of the largest changes in the index level).

Click here to see the fifty largest percent gains and losses in the Standard & Poor's composite index from 1926-2025 in PDF format. Large daily returns in 2025 are highlighted.

• Only one of the largest percent decreases and one of the largest percent increases occurred in the first four months of 2025 (2% of the largest percent changes in the index level).

Volatility Charts

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2025 in PDF format.

• Note that the volatility of US stock returns increases after 1834 when railroads and some industrial stocks began to be traded. Most of the stocks traded before that time were for banks and insurance companies.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2025 in PDF format. War periods indicated in red.

• The volatility of US stock returns does not seem to be noticeably different in War periods versus non-War periods.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2025 in PDF format. Recession periods indicated in red.

• The volatility of US stock returns increases and is higher during Recessions.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2025 in PDF format. Republican presidents' terms indicated in red.

• The volatility of US stock returns does not seem to be related to the political party of the President.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2025 in PDF format. Republican senate majorities' terms indicated in red.

• The volatility of US stock returns does not seem to be related to the political party of the Senate.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2025 in PDF format. Republican house majorities' terms indicated in red.

• The volatility of US stock returns does not seem to be related to the political party of the House.

Click here to see the monthly estimates of stock volatility from the daily returns in the month, 1885-2025 in PDF format.

• Since each data point is based on nonoverlapping samples of daily returns (unlike the rolling samples of monthly returns in prior graphs), this plot is not as smooth as prior plots.

Click here to see the annualized standard deviation from daily returns to the Dow Jones Industrial Average from 1885-2019 in PDF format..

Click here to see the annualized standard deviation from daily returns to the Standard & Poor's composite index from 1926-2025 in PDF format as well as the CBOE implied volatility series (VIX) from 1986-2025.

• Note that the implied volatility series, VIX, which is derived from put and call options' prices, is generally higher than the volatility estimates based on past stock returns.

Click here to see the annualized standard deviation from 15-minute returns to the Standard & Poor's composite index and from futures contracts on the S&P; index from 1982-2020 in PDF format.

Click here to see the annualized standard deviation for the Standard & Poor's 100 index from the Implied Volatility series from the CBOE (VXO) 1986-2025 and the annualized standard deviation for the Standard & Poor's 500 index from the Implied Volatility series from the CBOE (VIX) 1990-2025 in PDF format.

Click here to see the 3-month (VIX3M) and 6-month (VIX6M) annualized standard deviation forecast for the Standard & Poor's 500 index from the Implied Volatility series from the CBOE compared with the 1-month annualized standard deviation forecast (VIX) from 2007-2025 in PDF format.

• Note that the longer maturity implied volatility series, VIX3M and VIX6M, are generally higher than the one month horizon VIX.

Click here to see the volatility of the Implied Volatility series from the CBOE (VVIX) from 2007-2025 in PDF format.

Click here to see the annualized standard deviation for the Nasdaq Composite index from the Implied Volatility series from the CBOE (VXN) 1995-2025 in PDF format.

Click here to see the annualized standard deviation for the Nasdaq Composite index from the Implied Volatility series from the CBOE (VXN) relative to the annualized standard deviation for the Standard & Poor's 100 index from the Implied Volatility series from the CBOE (VIX) 1995-2025 in PDF format.

• From 1995-2008 VXN was substantially higher than VIX, but since 2008 it has been only about 25% higher than VIX.

Click here to see the annualized standard deviation from daily returns to the Nasdaq Composite index from 1949-2025 in PDF format.

• Note that since 1995, but particularly in the 1998-2001 period, the volatiltiy of NASDAQ stocks has been unusually high, reflecting the increased role of technology stocks in the NASDAQ market.

Click here to see the annualized standard deviation for the Nasdaq Composite index compared with the Implied Volatility series from the CBOE (VXN) 1995-2025 in PDF format.

• Note that the implied volatility series, VXN, which is derived from put and call options' prices, is generally higher than the volatility estimates based on past stock returns.

Foreign Markets

Click here to see the level of the FTSE All Shares index from 1968-2025 and the FTSE 100 index from 1984-2025 in PDF format.

• Similar to the graphs of the DJIA and S&P index above, the general upward trend of the FTSE indexes shows a positive average price return, with the exception of the notable drop during the 1973-74 OPEC I oil crisis.

Click here to see the daily returns to the FTSE All Shares index from 1968-2025 in PDF format.

Click here to see the annualized standard deviation from daily returns to the FTSE All Shares index from 1968-2025 in PDF format.

Click here to see the annualized standard deviation from monthly returns to the FTSE All Shares index from 1695-2025 in PDF format.

Click here to see the daily level of the Nikkei 225 index from 1950-2025 and the Topix index from 1951-2025 in PDF format.

• Note the change in slope of the price level graphs in the mid-1980s. Stock prices in Japan since then have been relatively "stagnant."

Click here to see the monthly level of the Nikkei 225 index from 1914-2025 and the Topix index from 1914-2025 in PDF format.

• Price levels from 1914 through the end of World War II were flat. From the mid-1940s through the mid-1980s, Japanese stock prices rose at a rapid rate. Since the mid-1980s, they have been relatively flat again.

Click here to see the daily returns to the Nikkei 225 index from 1950-2025 and the Topix index from 1951-2025 in PDF format,

Click here to see the annualized standard deviation from daily returns to the Nikkei 225 index from 1950-2025 and the Topix index from 1951-2025 in PDF format.

Click here to see the annualized standard deviation from daily returns in dollars to the Nikkei 225 index from 1950-2025 and the Topix index from 1951-2025 in PDF format.

Click here to see the annualized standard deviation from monthly returns to the Nikkei 225 index from 1915-2025 and the Topix index from 1915-2025 in PDF format.

Industry Volatility

Click here to see the annualized standard deviation from daily returns to Datastream index of US technology stocks and other technology indexes from 1973-2025 in PDF format.

• Note the high volatility during the 1998-2001 "NASDAQ bubble."

Click here to see the annualized standard deviation from daily returns to Datastream index of finance industry stocks and the S&P Financials index from 1973-2025 in PDF format.

• Note the high volatility during the 2008-2009 "Financial Crisis."

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Publicity about Volatility Research

March 26, 2000, article in The Economist on volatility.

June 12, 2000, article in Fortune on volatility.

June 12, 2000, report on volatility from the Securities Industry Association in PDF format.

January 6, 2008, article on volatility from the New York Times in PDF format.

November 18, 2008, article on volatility from the Times of London in PDF format.

September 3, 2008, Power Point presentation for Incoming Simon MBA Students on stock market volatility in PDF format.

October 17, 2008, Power Point presentation for Simon Alumni Council on stock market volatility in PDF format.

September 9, 2009, Power Point presentation for Incoming Simon MBA Students on stock market volatility in PDF format. <

October 21, 2009, Power Point presentation for Financial Management Association Keynote Speech on stock market volatility in PDF format. [Reno, NV]

June 25, 2010, Power Point presentation for European Financial Management Association Keynote Speech on stock market volatility in PDF format. [Aarhus, Denmark]

July 18, 2011, Power Point presentation for New York MBA students on stock market volatility in PDF format

September 23, 2011, Power Point presentation for Laser Lab employees on stock market volatility in PDF format

October 28, 2011, Power Point presentation for Rivers Run on stock market volatility in PDF format

October 3, 2016, Power Point presentation for Simon Spotlight on stock market volatility in PDF format

Septermber 21, 2018 Jason Zweig column in The Wall Street Journal on seasonality in PDF format

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© Copyright 1998-2025, G. William Schwert

Last Updated on 5/6/2025