I received the following email this morning:
I recently came across your blog, and enjoyed the read. I’m trying to do some research on the top-10 worst performing months for the S&P, and how the markets performed 1 month and 6 months after each of those months.
Do you have any further info and data pertaining to this?
I didn’t have the information readily-available but I did have all the data required to make the calculation, so I spent some time this morning running the numbers. Here is what I found out:
October 2008 is shaping up to be in the top ten worst months in S&P history. As of yesterday’s close, the S&P 500 Index had a return of -18.05%, which would put it at number nine in the 10 worst months in S&P history. Of course we have no way of knowing what will happen over the next six months, but if history is any guide, it may not be as bad as we think:
Only twice in those ten results did the S&P have a negative return over the following six months. Interesting…
One thing that does bug me about these numbers is the fact that most of them are clustered around the 1930s. I even expanded the results to include the 30 worst months and found 22 of them occured in 1940 or earlier. In other words, I wouldn’t use this information as a crystal ball.
I’ll work on a follow-up to this post and include the 50 worst months to see if the results change any.