Stock market statistics, sourced and dated

Berkshire compound return since 196519.7% a year Bitcoin against stocks Central bank gold buying Commodities vs stocks Correlation forecasts Dividends in total return Drawdown by equity weight Equity premium error The factor zoo and replication GDP growth vs equity returns Gold geometric return since 19284.78%Probability of a positive day Housing returns US house prices since 1987+417% nominal Highest annual US inflation17.4% in 1917 Global diversification Kelly and over betting Long run returns S&P 500 annualised return since 19289.79%Decade by decade index returns Momentum and its crashes Rebalancing and drawdowns REIT total return 2025+2.3%The size premium Stocks over the long run Survivorship bias in market data Value premium since 1927+4.0% a year Volatility targeting

S&P 500 total return 2025+17.88%Best calendar year on record1954, +52.56%Dow Jones total return 2025+12.97%Nasdaq 100 total return 2025+20.17%Russell 2000 2026 year to date+18.5%

Day of week average returns Election cycle year 3+10.2%Sell in May, winter window+7.0% annualised Sell in May January barometer accuracy84.5%January effect Monday effect Pre-holiday returns Santa Claus rally Santa Claus rally average+1.3%Best month of the yearNovember, +1.82%

Circuit breaker trigger days in history5 GARCH against realised The HAR model Implied against realised Intraday volatility shape Jumps in variance 1% move days in 202556 of 252 Trading halts per year by reason Correlation of stocks in a crash Realised vs implied volatility spread VIX curve in contangoover 80% of the time The VIX calculation Highest VIX close ever82.69 Volatility long memory Implied volatility skew

Best days that fell in a bear market48%Best day in S&P 500 history15 Mar 1933, +16.61%Worst day in S&P 500 history19 Oct 1987, -20.47%Distribution of daily returns vs normal Missing the 10 best days$35,866

After hours trading How much is algo Laundering fines Laundering rules Anomalies after costs Liquidity coverage Benchmark fines Benchmark register Benchmark tiers Beta and announcements Bund futures CCP breaches CCP disclosures Skin in the game The circuit breaker clockcutoff 15:25 Circuit breakers The closing auction The closing auction9.44% of notional Marking the close Pledged vs eligible CPI day Bitcoin around the clockweekend share 16%What data releases do to price+49bp before the FOMC When the day's high and low happen49% in the first hour Critical providers Incident rules Register quality Fee per supervised bank E-mini expiry E-mini spread Reporting quality 203 fields Restated notional End-of-day reversal The euro rate switch EU green bonds What Euribor is Collateral haircuts Before and after the bell0.38% of shares overnight The 2010 flash crash-9.2% intraday Futures and cash Margin in stress The overnight futures sessionabout 20% of volume Price limits The London New York overlapno hourly profile published FX turnover by instrument and centre$9.6tn a day The London gold auction10:30 and 15:00 When trading halts happen16.9% in fifteen minutes Algorithmic trading Institutional costs Intraday momentum The half hour that repeatsweakened by about 75%Intraday volume, the U shapetrough 12:45 K-factor table How many firms Latency arbitrage Reports to cases A layering case LULD halts Outflow rates Loan fee anomaly Announcement days Release second The margin spike Anti procyclicality Market abuse fines Market abuse fines Market data revenue Micro contracts The midday lullvolume bottoms 12:48 Momentum net of costs Momentum overnight Month-end Treasuries Nasdaq 2018 default One member default Nikkei 225 contracts Odd lots The oil settlement windowtwo minutes to 14:30 On the run premium Opening auction Opening gaps and how often they fill60.3% filled by the close The opening hourlow set 40.4% of days Order flow impact Order to trade limits Beta flips overnight Overnight drift Overnight momentum Overnight versus intraday returns+7.2% a year overnight Pre-announcement drift Quarter-end repo Pass-through, euro area Repo haircuts Retail data fees Retail option results Retail order flow Price improvement September 2019 repo Fail penalties Fail rates Settlement fails Penalties and T+1 Short horizon reversal The 2008 short ban Spoofing cases Spoofing, measured Spreads by market cap Spread estimators Square root impact law Stop orders Suspicious reports Supervisor budgets 2026 T plus one Settlement rate Settlement outages Payment outages Euro payments Large value payments Tick size pilot Who trades Tokyo Auction cycle The basis trade Treasury liquidity Treasury by maturity Treasury month-end Exchange outages Year-end funding Yield curve signal Zero days to expiry options59% of SPX volume

Analyst forecast accuracy Analyst buy ratings, S&P 50059.4%Bail-in record Electronic bond trading March 2020 bonds Bond trading costs Bond transparency Buffett indicator, market cap to GDP235.6%CAPE and horizons Shiller CAPE, current40.62 Bond factors The US corporate bond market Corporate default rates Corporate profits as a share of GDP Buffer rates Credit premium Credit spread puzzle High yield credit spread2.79%Default rate chaos Unreadable register What schemes hold Deposit guarantee Deposit payouts Dividend yield, current1.08%Q2 2026 blended earnings growth+37.9%Companies beating EPS estimates86%The equity risk premium debate Equity risk premium over time EU bond issuance EU borrowing Insolvency index Federal funds rate3.5% to 3.75%2020 provisions No staging rule Stage two share Insurer failures Market risk parameters Delayed two years Mortgage rules MREL calibration Loss capacity gap No insurance scheme Bad loan rules Bad loan ratio Trailing P/E, current28.63 Aggregate index profit margins13.1%Rating shares Ratings counted Resolution fund Five per cent skin STS register Systemic risk buffers 10 year Treasury yield4.44%Yield curve as a recession signalFed research

Equal weight vs cap weight 1H 2026+12.1 vs +10.2%Top 10 weight in the S&P 50038.5%The S&P 500 index effect Average tenure in the S&P 500about 15 years Magnificent 7 weight33.4%Constituents beating the index 1H 202646.3%Sector returns S&P 500 facts

Aggregate earnings Announcement premium Earnings date moves What a stock does on earnings daysix times a normal day Earnings straddles The 52 week high effect+0.45% a month Friday earnings Low volatility and betting against betaSharpe 0.78 Post-earnings drift Post earnings announcement driftdead since 2006 The odds of a permanent loss44% never recover The gap between the best and worst stock630 points apart How long a listed company lastsmedian 6.8 years Most stocks lose to Treasury bills42.6% beat T-bills

Anomaly decay Backtest overfitting How many backtests it takes to fool you10 tries gives Sharpe 1.57 Discounting a Sharpe for the number of tries200 tests, 60% haircut Drawdown maths Predicting the premium The haircut Liquidity anomalies Machine learning Track record length The t statistic hurdle3.78, not 1.96 Replication rates How long before a Sharpe means anythingSharpe 0.5 needs 10.83 years What happens after publication0.582% to 0.264% a month Technical timing VaR in practice Out of sample, and the ways it leaksPBO 55%

Account switching Active funds beaten over 20 years92.89%AIF leverage Fund liquidity gap Authentication rules Autocalls Notes in circulation Basic accounts The behaviour gap Binary options Cash at the till The 2018 leverage cap CFD loss rates Consumer credit Who gets copied Copy leaderboards Copy track records Copied trade returns Copying and risk Commission vs claims Charges before the rule Crowdfunding limits Managed futures net Conversion mark-up Day trading odds Disposition effect Long term funds Who holds US corporate equities ESG fund costs Sustainable and ESG funds Global ETF assets$21.91tn Funds in March 2020 Fund lending income Tracking difference Cash share How stock exchanges make money The French FTT The Italian FTT Active vs passive cost Fund fees Average equity fund expense ratio0.40%Fund name rules Notification flows Cross border funds Fund persistence Fund size and alpha Fund survivorship and persistence Database biases Hedge funds against the index High frequency trading Household equity allocation47.1%Index fund assets$20.82T Index providers Indian retail derivatives India's 2024 measures Individual investors Training breaches Interchange caps Investor payouts 20,000 euro Capping leverage Loan fund rules Loss rate gradients Money market fund assets$7.85tn Off exchange share of volume50.6%Ombudsman caseloads Binding or not The passive share Payment for order flow, 2025about $4.4bn Payment fraud Empty register Disclosed costs Risk 1 to 7 Private equity against public equity Prop firm legality Prop firm pass rates Did the rules stick How retail investors actually do Retail share of trading volumeabout 20%US retirement assets$47.6tn The crowd portfolio Scheme fees Securities lending US settlement cycleT+1 since May 2024 Not labels Disclosure counts Active funds beaten, global H1 202554%Active funds in Europe Americans who own stock62%Note markups The Swedish tax Trading costs and the tick size US equity average daily volume12.2bn shares Who paid the Swedish tax Turbo certificates UK stamp duty Cost of reclaiming Refund deadlines

Algo rules and you Hang Seng annual returns Branch closures Bank returns Borrower limits The consolidated tape Currency hedged vs unhedged returns Dark trading caps Trade weighted dollar index MSCI EM 15 year annualised5.60%European micros Bank count European close FDAX and FESX DAX annual returns The listing gap European venues Expiry day effects Global dividends paid, 2024$1.75tn Largest exchange by market cap Global fixed income outstanding$145.1tn Sell in May, Europe Insolvency by country The ISK flat rate Krone and macro news Largest company in the worldNVDA, $4.77tn Market cap to GDP, world average69.95%MiFID II ticks Nikkei 225 1989 peak Nordic brokers Nordic market size Nord Pool volumes OMXS30 contracts Research unbundling National resolution funds State ownership of equities Swedish portfolios Instant payments Swedish LTV cap Swedish pass-through Swedish share ownership Internaliser share Ticks and the close Global trading hours map Global equity market cap$151.94T

Allowances withheld Carbon and power prices Carbon reserve rules Carry crash risk The currency carry tradeSharpe 0.40 to 0.99 Commodity basis Commodity inventory Position limits Commodity seasonality Crude oil premium Pegs, floats and everything between92 soft pegs How much currencies actually move0.25% to 11.09%Carbon auctions Carbon positioning EU carbon volatility The euro since 1999high 1.5990 Negative power prices European power forwards FX fix and costs The 4pm fix and what happened to itone minute to five When central banks intervene¥11.7tn in one month FX momentum FX sessions The gas price cap Gas storage filling Target softened Gold and real rates Grain volatility The index roll Month-end FX fix Natural gas carry The natural gas storage yearrecord 360 Bcf draw US oil inventories and the weekly number404.5m barrels OPEC, OPEC+ and the quota11 members Weather and power prices Purchasing power parityhalf life 3 to 5 years What central banks holddollar 57.13%Roll return Safe haven currencies The day the franc floor wentSNB lost CHF 23.3bn TTF after the shock

What a crypto bear looks likeaverage -71.97%The halving, testedfour observations Crypto carry Crypto venue structure Cross-venue spreads When the exchange fails3,721 days to repayment Perpetual funding and the basis-279.6% annualised, once Crypto momentum Unsupported crypto claims Crypto volatility clock How much crypto actually moves29.62% annualised Crypto wash trading Tokenisation regime Crypto thresholds Zero issuers Tokenised volumes

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