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Kim Zussman
10/20/2005
It Was the Best of Times, It Was the Worst of Times, by
Kim Zussman
Using SPY (adjusted closes) since 1993, I defined large declines as 5-day returns below -5%. By month (the following notation was used in lieu of month number so double digit months don't exaggerate):
JJJJJJ FF MMMMMM AAAAA M J JJJJJJJ AAAA SSSSSSSSSSSSSS OOOOOOOOOOOO NN DD
Looks pretty bad for September and October.. until one checks months with 5-day return >+5%:
JJJ MMMMMMMMMM AAAAAAA MMM JJJ JJJJ AAAAA SSS OOOOOOOOOOOOOO NNNNN DDD
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