Jun

12

Curious whether June (or any month) in particular has historically hosted big sell-offs, I checked S&P500 index daily returns (1952-present). I found the low close of the last 10 days of each month and compared this to the high close of the 1st 10 days of the same month.

The ratio min/max for each month was then ranked, and the worst 10% of the declines noted. Here they are (69 months): 1st column = month, 2nd = count of months, 3rd = mean min/max drop, standard deviation, and 95% CI:

Individual 95% CIs For Mean Based on Pooled StDev

Mon  N   Mean   StDev
1      6  -0.085  0.013
2      2  -0.086  0.016
3      3  -0.105  0.031
4      4  -0.088  0.022
5      9  -0.094  0.037
6      7  -0.084  0.019
7      6  -0.099  0.047
8      7  -0.112  0.032
9    10  -0.089  0.026
10    8  -0.117  0.082
11    6  -0.088  0.017
12    1  -0.084  *

-0.160 -0.120 -0.080 -0.040

The count of 7 for June was close to mean count for all (5.75), and the mean drop (-8.4%) tied December (the only one in the sample) near the top of "least worst." 


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