Aug

16

If you divide S&P500 cash daily closes into non-overlapping 20 day periods, there are 724 of them since 1950. If you then check the low close of the recent 20 days and the high of the prior 20 days, these drops can be compared against each other. (This finds drops as short as two days and as long as 40.) As of this morning, the current decline is -10%, which ranks 51/724 worst, which is in the bottom 7%.

Not that many sigma after all. Here are the 51 worst 20/20 declines:

Date              decline
10/19/87        -0.332
11/16/87        -0.306
08/14/02        -0.218
09/27/74        -0.214
06/28/62        -0.214
09/28/01        -0.209
05/21/70        -0.199
05/31/62        -0.195
10/10/02       -0.193
04/03/01        -0.182
07/17/02        -0.179
08/29/74        -0.176
12/12/73        -0.173
08/23/90        -0.168
09/18/98        -0.166
06/18/70        -0.163
04/14/80        -0.157
08/01/74       -0.154
07/20/50        -0.140
10/21/57        -0.138
10/14/81        -0.137
10/25/74        -0.137
09/13/66        -0.137
12/23/74        -0.136
12/15/87        -0.133
05/02/01        -0.128
09/21/90       -0.126
03/06/03        -0.123
10/16/98        -0.122
09/10/75        -0.122
10/26/01        -0.119
09/16/81        -0.119
12/07/78        -0.118
11/08/78        -0.116
01/11/74        -0.111
03/14/80        -0.110
09/23/57        -0.109
08/06/69        -0.109
03/09/82        -0.108
10/25/55        -0.106
08/20/98        -0.104
11/07/00        -0.104
10/11/66        -0.103
07/01/82        -0.103
01/05/01        -0.103
11/19/79        -0.102
02/02/90        -0.102
05/07/74        -0.102
03/06/01        -0.102
08/17/50        -0.101
08/16/07        -0.100


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