If the month were to end today, November would be the 7th worst performing month for the S&P 500 since 1980. Below we highlight months where the S&P 500 has been down 5% or more along with the index's performance over the next month and three months. Overall, the median % change of the index in the month following declines of at least 5% is 0.45%, with gains 53.85% of the time. Over the next three months, the index has been up 70% of the time with a median change of 3.11%.
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Ok, after big declines, the median change the following month is +0.45%. But what is the median return for all months since 1980? Is it more or less than +0.45%? We need to know that for comparison. Same for the 3-month return of +3.11%. I suspect the 0.45% is less than average, and the 3.11% is more than average.
Posted by: Eric Peterson, PhD. | November 29, 2007 at 06:57 AM