Oct

2

… and as leaves drop from the stem at least in the northern hem (ahem) People worry about October and other months:

A study of big intra-month declines. Using SP500 daily closes since 1980, at the end of each month we look back and check the minimum of the last 10 days, and the max of the first 10. For each month the ratio min/max is a measure of severity of historic decline. This series was sorted to check on the worst such declines, over 5%, then count months:

Stem-and-Leaf Display: bigaldrops

Stem-and-leaf of bigaldrops N = 64

Leaf Unit = 0.10

7   1     0000000
12  2     00000
17  3     00000
22  4     00000
28  5     000000
30  6     00
(7) 7     0000000
27  8     000000
21  9     0000000
14  10    0000000
7   11    00000
2   12    00

The distribution looks quite even, with the possible exceptions of lower risk Junes and Decembers. And worst months in terms of big declines are tied: January, July, September, and October.

In fairness now look at equivalent big increases: Max of last half of each month/Min of first half, and note months with gains >5%:

Stem-and-Leaf Display: hichairpops

Stem-and-leaf of hichairpops N = 75

Leaf Unit = 0.10

11  1    00000000000
15  2    0000
22  3    0000000
29  4    0000000
(9) 5    000000000
27  6    000000
31  7    00
29  8    00000
24  9    000
21  10   000000
15  11   000000000
6   12   000000

Large intra-month increases are less uniformly distributed, and occur most in January, may and November, with October still well represented.


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