Risikozyklus — SPY

Drawdown & Volatility · Seasonal Risk Patterns · Presidential Cycle Risk

What does this page show? — The risk side of the seasonal cycle: when during the year do the largest pullbacks (drawdowns) typically occur? How high is rolling volatility throughout the year? And does the risk profile differ by presidential cycle phase? Sidebar: set the period and vol window — all sections update automatically.
Methodology

Drawdown Analysis

  • Normalization: Each year starts at 100. Daily returns compound: value = 100 × exp(Σ log_return)
  • Interpolation: Each annual curve is interpolated to 365 calendar days
  • Definition: DD = (Price − Peak since year start) / Peak × 100
  • Avg Drawdown Progression: Drawdown calculated per year, then averaged across all years
  • KPIsKPIs: Avg Max DD, Worst DD, Current DD

Volatility Analysis

  • Rolling Vol: Annualised std of log returns over a rolling window (√252 annualisation)
  • Cross-Year: The rolling calculation concatenates all years so that January values correctly draw on prior-December data
  • Percentile: "In what % of years was vol lower on the same day than today?"
  • Colour Coding: Red > avg + 1σ (elevated), Green < avg − 1σ (low)

Presidential Cycle

  • Mapping: Mapping: 1 = Post-Election, 2 = Midterm, 3 = Pre-Election, 4 = Election Year
  • Formel: Formula: ((year − 1) % 4 + 4) % 4 + 1
  • Pro Zyklusphase: Per cycle phase: Avg Max DD, best and worst year

Data Source

  • Supabase (Yahoo Finance / Stooq)