dshort.com: Dow Moving Average Variance

Dow 12-month Moving Average Variance since 1900
August 3, 2009 updated

In response to my earlier chart of the S&P 500 12-month simple moving average variance since 1950, I received a request to chart the variance back to the Dow Crash of 1929 or even 1900. Problem is, I don't have access to the S&P Composite monthly closes prior to 1950. The charts I make of earlier time frames are based on the monthly averages of daily closes made available by Yale professor Robert Shiller.

So here's a chart that plots the variance based on the Dow, for which I have daily data since 1900. In the S&P chart we focused on the SMA variance below 25% — an arbitrary threshold, to be sure, but one that helps us compare the relative cliff-dives of the really nasty bears. Here are the results in reverse chronology:

The current bear has had three non-consecutive months of variance below -25% (Nov-2008, Jan & Feb-2009).
1937 had one month (November).
The Crash of 1929 was followed by 17 non-consecutive -25% months (Nov-1929, Nov-1930 to Jan-1931, May & Jun-1931, and Sep-1931 to Jul-1932).
There were two months at the end of 1914 (Dec-1914 and Jan-1915).
1907 had one month (January).

Of course, with the growth of the market, the Dow isn't as broad an index as it was during the first half of the 20th century. But even so, we can see that the sharp declines of the recent bear pale in comparison to the 1930s.

PS: The Dow July close was 3.8% above the 12-month SMA, the first positive variance since December 2007 — 19 months ago.