E-mini S&P 500, by the numbers

CAGR Shape Classifier

Classifies the 1-yr CAGR (short-end) and 10-yr CAGR (long-end) each into HOT / MID / COLD based on each horizon’s own quintile bands. The pair produces one of five named shapes: ALL HOT (extended uptrend), ALL COLD (grinding bear), ROTATING HOT (pullback within an uptrend, short cold, long hot), ROTATING COLD (early recovery, short hot, long cold), or MIXED. The table shows, for every shape, the forward 12-month ES return distribution across every day in history that matched it. Today’s shape is highlighted. This is a complement to C8 (which does the same analog analysis on a single horizon’s decile); C9 asks the question across two horizons at once.

C1

CAGR Percentile Ribbon

The ribbon spans every trailing-12-mo CAGR reading over the last 10 years. The black diamond is today. Dotted lines mark 5th / 25th / 50th / 75th / 95th percentiles. Reader learns at a glance whether today’s return is unusual by the market’s own standard.

C2

CAGR Horizon Grid

Each row is a different lookback window. The faint gray bar is the full historical range; the mid-blue band is the 5th–95th percentile; the dark-blue block is the IQR (25th–75th); the white tick is the median. The diamond is today’s reading, color-coded by which quintile band it falls in. Reader sees, in one row, the value, the distribution, and the position; and across rows, whether short-horizon return is consistent with long-horizon return.

C4

CAGR Regime Timeline

The dotted lines mark the 20th / 40th / 60th / 80th percentiles of all readings in the window, the band boundaries. Each day of CAGR history is dot-colored by which band it falls in. Streaks of one color = sustained regime; alternating colors = chop. The eye can read regime history without squinting at the number itself.

C5

Current vs Forward CAGR

The scatter is the empirical joint distribution of trailing-12-mo CAGR (what the market has done) vs. forward-12-mo CAGR (what it then did next). Today’s trailing CAGR is drawn as a vertical line. The dots along that line are the historical forwards from similar starting conditions. If the dots cluster below zero, this starting condition historically led to negative forward years.

C7

CAGR Streak Counter

A one-sentence rhythm metric. If a market has been outperforming its own long-run median CAGR for 400+ days, that’s rare and worth stating in plain English. The sparkline is the trailing-12 CAGR vs. its 10-yr median; the color flips when the streak flips.

C8

Forward-return Odds Table

The whole history is bucketed into 10 equal-population deciles of trailing-12-mo CAGR. For each decile, we compute the forward-12-mo distribution. Today’s decile is highlighted. This is the empirical answer to the question ‘if conditions have been like this before, what came next?’

Drawdown Clock

Rankable scalar across markets. Reads in plain English. When the counter approaches the market’s prior worst-case duration, that’s a meaningful signal.

D1

Drawdown Depth with Percentile Lines

The classic underwater equity curve, enriched with horizontal lines marking the depths of the median / 75th-worst / 95th-worst drawdowns in the market’s own history. The reader learns at a glance ‘today’s drawdown is already deeper than X% of all drawdowns since 1988’.

D3

Rolling Max Drawdown

Rolling window of the worst drawdown reached. Lets the reader answer ‘is this the worst drawdown in a year? three years? five years?’ without hunting through history. A dip in the 5-year line is a serious event.

D5

Pain Index

The Ulcer Index: the root-mean-square drawdown over the trailing year. Unlike max-DD, the Pain Index rewards markets that recover fast and penalizes markets that stay underwater. A single number for ‘how much actual pain the holder has lived through this year’.

D8

Peak Memory

Prose summary + a table of the five deepest drawdowns on record. The point is to give the reader a plain-English answer to the question ‘how bad is this historically?’