October 2008: Worst Month Ever?

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:

Biggest intra-month losses (high close to low close):
Month Date of High Close Date of Low Close Number of Days High-Low Loss
October-29 10-Oct-29 29-Oct-29 19 -33.69%
October-87 5-Oct-87 19-Oct-87 14 -31.47%
September-31 1-Sep-31 30-Sep-31 29 -30.24%
October-08 1-Oct-08 27-Oct-08 26 -26.88%
May-32 6-May-32 31-May-32 25 -26.60%
March-38 1-Mar-38 31-Mar-38 30 -25.83%
May-40 3-May-40 21-May-40 18 -24.59%
November-29 4-Nov-29 13-Nov-29 9 -22.81%
October-37 1-Oct-37 18-Oct-37 17 -21.57%
September-32 7-Sep-32 19-Sep-32 12 -21.16%
July-33 18-Jul-33 21-Jul-33 3 -20.90%
April-30 2-Apr-30 24-Apr-30 22 -20.53%
October-32 3-Oct-32 10-Oct-32 7 -20.35%
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