Oct

2

The calendar quarter just ended saw the SP500 lose 14.4%. Since 1951 there have been 17 quarters with SP500 return less than -10%. The subsequent quarters had mean return of 5%, though not significantly different from all quarters 1951-2011:

Two-sample T for next Q vs all Q

           N    Mean   StDev  SE Mean
nxt Q   17  0.0495  0.0985    0.024  T=1.2
all Q  245  0.0209  0.0779   0.0050

Date            qtr ret    nxt Q
Sep-10    -0.119     0.107
Jun-09    -0.117     0.152
Mar-09    -0.226    -0.117
Dec-02    -0.176     0.079
Sep-02    -0.137    -0.176
Dec-01    -0.150     0.103
Jun-01    -0.121     0.055
Dec-98    -0.103     0.209
Dec-90    -0.145     0.079
Mar-88    -0.232     0.048
Dec-81    -0.115     0.055
Dec-75    -0.119     0.075
Dec-74    -0.261     0.079
Mar-74    -0.100    -0.037
Sep-70    -0.189     0.159
Sep-62    -0.213     0.028
Dec-57    -0.104    -0.057


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