John Kuran points us to a study on Stock Market Extremes and Portfolio Performance.
click for larger graphic
Graphic courtesy Towneley Market Timing Study
While one frequently hears T-Heads mentioning how performance drops if/when investors miss the best periods in the market, one rarely hears mention of missing the worst. I recall Tom Dorsey (of DWA) discussing this some years ago.
Note that same market index performance of 12% per year (discussed prior via Jeremy Siegel) requires a very long duration to assure that level of performance.
Stock Market Extremes and Portfolio Performance
Professor H. Nejat Seyhun, University of Michigan
(commissioned by Towneley Capital Management)