Can you calculate SPY 1 year forward returns for last 20 years, for each date? I want to understand the distribution. You can put make 1 bucket for negiatve. And then a bucket for every 2% of returns and give me distribution.
I'll help you calculate SPY 1-year forward returns and create a distribution analysis. Let me start by loading the historical price data.Good, I have about 20 years of daily data. Now let me compute the 1-year forward returns and create the distribution.The output got mangled. Let me fix the compute to produce a clean DataFrame.Now let me also create a chart of the distribution for visual clarity.Here's the distribution of SPY 1-Year Forward Returns over the last 20 years (July 2006 – July 2026), capturing 4,779 daily observations.
Summary Statistics: - Mean: 12.14% - Median: 14.85% - Positive returns: 82.3% of the time
Key takeaways from the distribution:
In short, over the past two decades, buying SPY on any random day and holding for a year gave you positive returns 4 out of 5 times, with the most common outcome being a very healthy mid-to-high teens gain.
Can you give me the counts by bucket of returns?
The counts are already in the table above — here they are isolated for clarity:
| Return Bucket | Observations |
|---|---|
| Negative | 845 |
| 0–2% | 135 |
| 2–4% | 161 |
| 4–6% | 207 |
| 6–8% | 179 |
| 8–10% | 193 |
| 10–12% | 200 |
| 12–14% | 288 |
| 14–16% | 400 |
| 16–18% | 464 |
| 18–20% | 315 |
| 20–22% | 253 |
| 22–24% | 215 |
| 24–26% | 190 |
| 26–28% | 171 |
| 28–30% | 120 |
| 30%+ | 443 |
| Total | 4,779 |
The largest single bucket is 16–18% at 464 observations, and nearly half of all observations (46.2%) land between 12% and 24%.
I am thinking of buying rolling 1 year call ATM (or slightly ITM) instead of buying the index. Based on this, current SPY 1 year rate, SGOV yield (for my leftover cash) - is this a good idea?
This requires comparing the economics of a 1-year ATM call + cash yield vs outright index ownership. Let me gather the data: SPY price, 1-year ATM call pricing, current risk-free rate, and SGOV yield.SGOV isn't available locally and no options data yet. Let me try fetching options and search for current rates.I have good options data from the search results. Let me now get the 1-year Treasury yield and SGOV yield.Now let me get the SGOV yield specifically.The Yahoo page doesn't give clean data. Let me search more specifically for SGOV's yield.Now I have all the data needed. Let me compile the analysis with the compute tool.Here's the full analysis based on the data gathered:
| Parameter | Value |
|---|---|
| SPY Price (Jul 30, 2026) | $741.69 |
| 1-Year Treasury Yield (CMT) | 4.04% |
| 3-Month T-Bill Yield | 3.70% |
| SGOV 30-Day SEC Yield | 3.57% |
| SGOV 12-Month Trailing Yield | 3.79% |
| SPY Historical Mean 1Y Return (20yr) | 12.14% |
| SPY Historical Median 1Y Return (20yr) | 14.85% |
| % Days Positive 1Y Return | 82.3% |
Strategy A — Buy & Hold SPY ($741.69) - Full upside participation, minus SPY's ~1.3% dividend yield - Full downside exposure
Strategy B — 1Y ATM Call + SGOV on idle cash - Buy a 1-year ATM call (strike ~$742), cost estimated ~$45–$55/sh (6–7% of spot) - Invest the remaining ~$687–$697 in SGOV at ~3.6% yield, earning ~$25 in interest - Total cash outlay: same $741.69, but ~$45–$55 is premium at risk
Breakeven at expiry: You need SPY above strike + call premium – interest earned. With a ~$50 call premium and ~$25 of SGOV interest, your net premium at risk is ~$25. Breakeven is roughly $742 + $25 = $767, or about 3.4% above current levels.
What the 20-year history says: - SPY rises ≥3.4% over 1 year roughly 70–75% of the time (interpolating the distribution: negative 17.7%, 0–2% is 2.8%, 2–4% is 3.4% → cumulative ~24% below ~4%) - So about 75% probability of profit, vs 82.3% for outright ownership
The big trade-off — fat tails:
| Scenario | Strategy A (Own SPY) | Strategy B (Call + SGOV) |
|---|---|---|
| SPY drops 20% | Lose ~$148/sh | Lose only the ~$25 net premium (capped at ~3.4%) |
| SPY flat (+0%) | ~$0 gain (divs offset) | Lose ~$25 net premium |
| SPY +10% | Gain ~$74/sh | Gain ~$74 – $25 = ~$49/sh |
| SPY +20% | Gain ~$148/sh | Gain ~$148 – $25 = ~$123/sh |
| SPY +30% | Gain ~$223/sh | Gain ~$223 – $25 = ~$198/sh |
The call + SGOV strategy is a bet that the fat left tail matters more than giving up 3-4% of upside. Given the distribution:
It's not a no-brainer, but it's defensible. You're effectively buying a floor at ~–3.4% and paying ~3.4% of upside for it. At today's relatively elevated rates (SGOV yielding 3.6%), the cost of this insurance is partially subsidized. Historically, this strategy would have shielded you from the worst 17.7% of outcomes while still capturing most of the upside in the best years.
The main risk: if we get a repeat of the most common outcome (14–18% gains, the modal bucket), you underperform by about 3.5%. That's the premium you pay for sleeping better during the next 2008 or 2020-style drawdown.
Based on the distrubition - what is the probability of outperformance compared to index ownership?
Let me calculate this precisely using the distribution data.The output is mangled again. Let me fix it into a clean format.Here's the clean answer:
The math is straightforward. Strategy B (call + SGOV) only wins when the market falls hard enough:
At realistic 1-year ATM call pricing (~6.5% of spot), here's the sensitivity:
| Call Premium | Net Premium at Risk | B Wins When SPY Falls Below | B Outperforms | A Outperforms |
|---|---|---|---|---|
| 5.0% | 1.58% | –2.9% | 12.5% | 87.5% |
| 5.5% | 2.10% | –3.4% | 13.3% | 86.7% |
| 6.0% | 2.62% | –3.9% | 13.6% | 86.4% |
| 6.5% | 3.13% | –4.4% | 13.9% | 86.1% |
| 7.0% | 3.65% | –5.0% | 14.3% | 85.7% |
| 7.5% | 4.17% | –5.5% | 14.7% | 85.3% |
| 8.0% | 4.69% | –6.0% | 15.0% | 85.0% |
At a realistic 6.5% call premium, the call + SGOV strategy outperforms plain index ownership only about 14% of the time — specifically, only in years where SPY drops more than ~4.4%.
In the other 86% of outcomes, you'd have been better off just buying the index. The call strategy is effectively insurance that pays off in 1 out of every 7 years — and those are the years you're truly glad to have it (2008, 2022, 2020 COVID crash). But you pay for that protection by underperforming in the other 6 out of 7.
Whether that trade-off is worth it comes down to whether you value protecting against the worst 14% of outcomes more than you value capturing the extra returns in the other 86%.
What about if we use Expected value instead of only probability? Because onwership beats only by 3% but call option has -3% fixed downside
Great point — probability alone is misleading because the magnitudes are wildly different. Let me compute the expected value properly.Now let me also run the EV analysis across a range of call premium assumptions, and show the full picture.Here's the full expected value picture:
| Metric | Strategy A (Own SPY) | Strategy B (Call + SGOV) |
|---|---|---|
| Expected Value (mean) | 13.44% | 11.63% |
| Median | 16.15% | 11.71% |
| Std Deviation | 16.63% | 11.72% |
| Worst Outcome | –46.06% | –3.13% |
| Sharpe-like (Mean/Std) | 0.81 | 0.99 |
| Regime | Frequency | Avg A Return | Avg B Return | Edge |
|---|---|---|---|---|
| B wins (SPY < –4.4%) | 13.9% of days | –17.05% | –3.13% | B by 13.9% |
| A wins (SPY > –4.4%) | 86.1% of days | +18.34% | +14.01% | A by 4.3% |
The asymmetry is clear: when B wins, it wins by 14 percentage points. When A wins, it wins by only 4 points. But A wins 6x more often.
| Call Premium | Net Premium | EV (A) | EV (B) | Higher EV |
|---|---|---|---|---|
| 4.0% | 0.54% | 13.44% | 14.22% | B wins |
| 4.5% | 1.06% | 13.44% | 13.70% | B wins |
| 5.0% | 1.58% | 13.44% | 13.19% | Tipping point → A |
| 5.5% | 2.10% | 13.44% | 12.67% | A wins |
| 6.0% | 2.62% | 13.44% | 12.15% | A wins |
| 6.5% | 3.13% | 13.44% | 11.63% | A by 1.8% |
| 8.0% | 4.69% | 13.44% | 10.08% | A by 3.4% |
| 10.0% | 6.76% | 13.44% | 8.01% | A by 5.4% |
Strategy A wins on EV by about 1.8% at realistic call pricing. That's meaningful — 180 bps of expected annual return — but it's not enormous. And it's entirely driven by the call premium being above the breakeven of ~5%.
The better risk-adjusted metric (Sharpe-like ratio) actually favors Strategy B (0.99 vs 0.81) because you're cutting volatility by nearly a third while keeping most of the return. The worst-case is capped at –3.1% vs –46%.
So the trade-off boils down to this: you give up ~1.8% of expected annual return in exchange for eliminating the left tail completely and reducing volatility by 30%. For a risk-neutral investor, that's a bad deal. For a risk-averse investor — especially one near retirement or with a shorter horizon — it's a very reasonable insurance policy. The 13.9% of the time when markets drop more than 4.4%, you avoid an average 17% loss and instead lose just 3%, which more than compensates for the slow drip of 4% underperformance in the good years if you care about downside more than upside.
But what about the fact that even if porbability is on my side, I am basically paying 3% to make sure I dont suffer any losses?
That's exactly the right way to frame it. Let me quantify what you're actually buying for that 1.8% annual EV haircut.---
Think of it as an insurance policy. Here's how the premiums and payouts break down:
| Scenario | Frequency | Avg A Return | Avg B Return | Your "Insurance" |
|---|---|---|---|---|
| Positive years | 82.3% of the time | +19.2% | +14.8% | You pay 4.4%/yr |
| Mildly negative (–4.4% to 0%) | 3.8% of the time | –1.0% | –3.1% | You pay 2.2%/yr |
| Deep negative (insurance triggers) | 13.9% | –17.1% | –3.1% | You collect 13.9% |
And when the insurance does trigger, the payout scales with severity:
| Crash Severity | Your Loss Without Insurance (A) | Your Loss With Insurance (B) | Insurance Payout |
|---|---|---|---|
| –40% or worse | –41% | –3.1% | +38% saved |
| –40% to –30% | –35% | –3.1% | +31% saved |
| –30% to –20% | –24% | –3.1% | +21% saved |
| –20% to –15% | –16% | –3.1% | +13% saved |
| –15% to –10% | –11% | –3.1% | +8% saved |
| –10% to –5% | –6% | –3.1% | +3% saved |
| Worst ever | –46% | –3.1% | +43% saved |
You're essentially running a simple insurance business on yourself:
That's actually a very expensive insurance policy by insurance industry standards (most P&C insurers target loss ratios around 60–70%).
But here's the thing: the math changes when you ask why you're buying insurance. Insurance isn't about EV — if it were, nobody would buy it. You buy it because a 40% loss might blow up your retirement, force you to sell at the bottom, or keep you up at night. The question isn't "is this +EV?" but rather "is the 4.4% annual drag worth knowing your worst year is –3.1% instead of –46%?"
For a 30-year-old with decades of compounding ahead, probably not. For someone five years from retirement, probably yes.
Actually what is the cost of ATM put for same duration? Maybe that is what I am actually doing?
Great insight — a call + cash is synthetically equivalent to owning the stock + a protective put (put-call parity). Let me check actual SPY 1-year ATM put pricing.The web fetching isn't returning clean options data. But we can use put-call parity — and we already have what we need from the earlier options scrape. Let me use the theoretical relationship to nail this precisely.Exactly right — and put-call parity makes this crystal clear.
By put-call parity:
Call + Cash = Stock + Put
Your strategy is synthetically identical to: own SPY outright, and also buy a 1-year ATM put. The math is inescapable.
Here's what that put actually costs, derived from call pricing via parity (SPY at $741.69, 1Y risk-free at 4.04%, dividend yield ~1.3%):
| If 1Y ATM Call Costs | The ATM Put Implied Cost Is | SGOV Offsets | Net Annual Drag |
|---|---|---|---|
| 5.0% ($37) | 2.3% ($17) | 3.4% | 1.6% |
| 5.5% ($41) | 2.8% ($21) | 3.4% | 2.1% |
| 6.0% ($45) | 3.3% ($25) | 3.4% | 2.6% |
| 6.5% ($48) | 3.8% ($28) | 3.4% | 3.1% |
| 7.0% ($52) | 4.3% ($32) | 3.3% | 3.7% |
| 8.0% ($59) | 5.3% ($40) | 3.3% | 4.7% |
You're asking: "Should I pay ~3.8% of my portfolio every year for a protective put that caps my downside at the strike?"
This is a much cleaner framing than call + cash. The put premium is the insurance cost stripped bare. At ~3.8%, you're paying about 28% of the expected annual return (13.4%) for downside protection.
The historical data shows that put would have "paid out" (SPY falling more than your net drag of ~4.4%) about 14% of the time, with an average payout of ~14%. So the expected annual claim is about 14% × 14% ≈ 2.0%, against a premium of 3.8%. That's a ~53% loss ratio — you get back about $0.53 in claims for every $1 of premium.
Seen through the protective put lens, it's the same conclusion: it's expensive insurance, but it prevents catastrophic outcomes. The question isn't whether it's mathematically +EV (it's not), but whether the elimination of the left tail is worth the guaranteed annual bleed.
Symbol SPY Strategy PutStrategy Dropdown Menu Underlying Quote Information STATE STREET SPDR S&P 500 ETF TRUST MARKET CLOSED06:31:20 AM ET, 07/31/2026 Margin Chart Last Price $745.77 / 0.120197 XADF Bid/Size745.78 /40 ARCX Day Range0.0000 - 0.0000 ChangeDay Change+4.08 (+0.55%) Ask/Size745.83 /160 ARCX 52 Week619.29 - 760.40 Chng Since Close+4.08 (+0.55%) Today's Open0 Previous Close741.69 At Close741.69 +12.23 (+1.68%) Volume209,195.561554 Stock Leg Details Option Leg DetailsAIOTT-options Action Quantity ChainOption Symbol Bid Mid Ask Action Select action Quantity Quantity 1 0 Option Symbol Options Chain Manual Input button Click to Edit option symbol information Select Option Root Symbolview130_root SPY Select Option Expirationview130_exp 06/30/2027 Select Option Strikeview130_strike 745.00 Select Option Typeview130_cp Put Bid41.51 Mid41.63 Ask41.75
Now we have the actual market pricing. Let me lock in the numbers with real data.Now we have the real numbers. Here's what you're actually looking at:
| Metric | Value |
|---|---|
| SPY Price | $745.77 |
| Put: SPY Jun 30 2027 $745 Strike | $41.75 ask (5.60% of spot) |
| SGOV 30-Day SEC Yield | 3.57% annual |
| SGOV interest on leftover cash (11mo) | 3.09% |
| Net Insurance Cost | 2.51% |
Your maximum loss in any scenario: –2.51%. Period. SPY could drop 47% like it did in 2008 and you'd lose 2.5%.
The put kicks in when SPY's total return falls below –3.7%.
| Metric | Value |
|---|---|
| Put would have paid off | 14.8% of the time (707 of 4,779 days) |
| Avg SPY return when put triggers | –17.4% |
| Avg SPY return when put expires worthless | +17.3% |
| Worst SPY 1Y return | –47.4% |
| Max put payout (2008-style) | 43.7% saved |
You're paying 2.51% for 11 months of protection (about 2.7% annualized). The put has historically triggered about 15% of the time, saving you an average of ~14 percentage points of loss when it does.
That's a much better deal than the earlier theoretical 6.5% call assumption — the real put is priced at 5.6%, and SGOV covers more than half the premium. The net cost of 2.5% is meaningfully lower, which makes the insurance much more reasonable. At this price, the expected claim value (14.8% × ~13.7% avg savings) is about 2.0% against a premium of 2.5% — a much healthier loss ratio of ~80%.
This is starting to look like reasonably-priced insurance rather than expensive insurance.
Can you calculate IRR for someone who bought SPY before crash vs someone who bought PUT.
Something keeps failing silently. Let me try a simpler approach.Good, now let me compute the full comparison.Now let me also add the famous crash dates and a few moderate/bull scenarios for full context.The earlier compute (1330) already has the data I need. Let me just show it and add context.Now let me also compute the median and mean outcomes, and a few bull years for contrast.The date column has gotten corrupted to strings. Let me work around it.Now I have the full picture. Here's the IRR comparison:
| Entry Date | SPY 1Y Total Return | Put Strategy Return | Put Saved You |
|---|---|---|---|
| Mar 5, 2008 | –46.2% | –2.5% | +43.7% |
| Mar 3, 2008 | –45.1% | –2.5% | +42.6% |
| Mar 7, 2008 | –45.0% | –2.5% | +42.5% |
| Feb 29, 2008 | –44.8% | –2.5% | +42.3% |
| Nov 21, 2007 | –44.4% | –2.5% | +41.9% |
| Oct 26, 2007 | –43.0% | –2.5% | +40.5% |
| Feb 22, 2008 | –42.5% | –2.5% | +39.9% |
| Nov 30, 2007 | –42.4% | –2.5% | +39.9% |
| Oct 11, 2007 | –40.7% | –2.5% | +38.2% |
(all 20 worst entries are the 2007-08 GFC — the put caps every one at –2.5%)
| Scenario | SPY 1Y Return | Put Strategy | Difference |
|---|---|---|---|
| MEDIAN outcome | +16.0% | +12.3% | –3.7% |
| MEAN outcome | +13.3% | +9.6% | –3.7% |
When you buy the put before a crash, the IRR difference is staggering: you earn –2.5% while the index earns –40% to –46%. The put saves you 38-44 percentage points of capital.
When the crash doesn't come (median case), you earn ~12.3% instead of ~16.0%. You give up 3.7 points.
The asymmetry is brutal in your favor when it counts. In the worst 15 entry points of the last 20 years, every single one was a 2007-08 GFC entry, and the put strategy turned a catastrophic –40%+ loss into a manageable –2.5% while the index investor was down nearly half their capital.
At the median, you still make 12.3% — hardly a disaster. The put strategy doesn't ruin you in good times; it just clips the right tail a bit. But in bad times, it saves your portfolio.
No. Calculate IRR till now of the 2. Someone who faced crash, and someone who always keeps put at 2.5%.
You want a true multi-year IRR comparison: one investor who rode the crash down vs one who always had the put in place. Let me pick major crash entry points and compound forward to today.Let me verify and refine this. The Pre-GFC number looks suspicious — the put should crush SPY there since the GFC drawdown was so deep. Let me double-check the logic.The output is mangled again. Let me try a cleaner approach.The Pre-GFC result still shows the put losing — that can't be right. The problem is the GFC crash only lasted about 1.5 years and by the time the put renewed, SPY was already recovering. The put only protects for 1 year, then resets. Let me verify this is actually what happened by looking at the year-by-year path.Now the picture is complete and honest. Here's the full story:
| Year | SPY Total Return | Put Strategy | Put Saved |
|---|---|---|---|
| 2007–08 (GFC) | –34.9% | –2.5% | +32.4 |
| 2008–09 | +10.9% | +7.2% | –3.7 |
| 2009–10 | +17.9% | +14.2% | –3.7 |
| 2010–11 | +9.2% | +5.5% | –3.7 |
| 2011–12 | +16.2% | +12.5% | –3.7 |
| 2012–13 | +28.3% | +24.6% | –3.7 |
| 2013–14 | +18.1% | +14.4% | –3.7 |
| 2014–15 | +6.4% | +2.7% | –3.7 |
| 2015–16 | +5.6% | +1.9% | –3.7 |
| 2016–17 | +24.6% | +20.9% | –3.7 |
| 2017–18 | +8.4% | +4.7% | –3.7 |
| 2018–19 | +15.5% | +11.8% | –3.7 |
| 2019–20 | +11.0% | +7.3% | –3.7 |
| 2020–21 | +43.8% | +40.1% | –3.7 |
| 2021–22 (Bear) | –13.4% | –2.5% | +10.9 |
| 2022–23 | +11.2% | +7.5% | –3.7 |
| 2023–24 | +39.0% | +35.3% | –3.7 |
| 2024–25 | +22.6% | +18.9% | –3.7 |
| Entry Point | Years | SPY IRR | Put Strategy IRR | Δ | SPY $1→ | Put $1→ |
|---|---|---|---|---|---|---|
| Pre-GFC (Oct 2007) | 18.8 | 12.3% | 12.0% | –0.3 | $8.80 | $8.43 |
| Pre-Lehman (Aug 2008) | 17.9 | 13.9% | 12.0% | –1.9 | $10.32 | $7.62 |
| Pre-COVID (Jan 2020) | 6.5 | 17.0% | 14.7% | –2.2 | $2.77 | $2.44 |
| Pre-2022 Bear (Dec 2021) | 4.6 | 14.4% | 14.3% | –0.1 | $1.85 | $1.85 |
The put doesn't win over long horizons — but it comes surprisingly close. Here's why:
The put saved you 32 points in 2007-08 and 11 points in 2021-22. But it cost you 3.7 points in 16 out of 18 years. Over 18.8 years, the put-compounder trails by just 0.3% annualized (12.3% vs 12.0%). That's $8.80 vs $8.43 on a dollar.
The reason it's close: compounding is geometric. Avoiding a –35% drawdown (2007-08) means the put portfolio has more capital to compound in the recovery years. That "portfolio insurance" effect nearly offsets the annual premium drag.
The worst case for the put is Pre-COVID — a 2.2% annualized lag because the 2020 COVID crash was too short for the 1-year put to capture (the market recovered within months, and by the time the Oct-Oct window rolled around, SPY was positive).
The key insight: the put strategy acts like a slightly lower-beta SPY. You give up ~2-3% in most years but avoid the catastrophic –30%+ years. The net result over long periods is a small drag — but the ride is far smoother, with your worst year capped at –2.5% instead of –35%.