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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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