Interesting observation earlier this week from Dan Greenhaus, with the Equity Strategy Group of Miller Tabak + Co:
Prior to yesterday’s big rally, October 2008 saw the S&P down 27.22%. The boys at Bespoke pointed out that this was the 4th deepest selloff without a 20% rally.
"It is worth noting that dating back to 1920, there are only 4 comparable months I could find. September 1931 was down 29.94%, October 1987 was down 21.76%, May 1940 was down 23.95% and March 1938 was down 25.04% which would mean that right now, October 2008 is the single worst month in history."
After Tuesday’s pop, the SPX is now down ~19% for the month. October ’08 may be spared the ignomy of being one of the worst ever months . . .
Here’s an interesting question: What month contained the worst losses? Not as of the 31st, but simply the
worst peak-to-trough fall intra-month. Any ideas?
Update: Mike Panzner sends along these data points:
|Month||Date of High Close||Date of Low Close||Number of Days||High-Low Loss|