October 2008: Worst Month Ever?

from The Big Picture by Barry Ritholtz

Interesting observation earlier this week from Dan Greenhaus, with the Equity Strategy Group of Miller Tabak + Co:

Prior to yesterday's big rally, October 2008 saw the S&P down 27.22%. The boys at Bespoke pointed out that this was the 4th deepest selloff without a 20% rally.

"It is worth noting that dating back to 1920, there are only 4 comparable months I could find. September 1931 was down 29.94%, October 1987 was down 21.76%, May 1940 was down 23.95% and March 1938 was down 25.04% which would mean that right now, October 2008 is the single worst month in history."

After Tuesday's pop, the SPX is now down ~19% for the month. October '08 may be spared the ignomy of being one of the worst ever months . . . 

Here's an interesting question: What month contained the worst losses? Not as of the 31st, but simply the worst peak-to-trough fall intra-month. Any ideas? 

~~~

Update: Mike Panzner sends along these data points:

Biggest intra-month losses (high close to low close):

Month	Date of High Close	Date of Low Close	Number of Days	High-Low Loss
October-29	10-Oct-29	29-Oct-29	19	-33.69%
October-87	5-Oct-87	19-Oct-87	14	-31.47%
September-31	1-Sep-31	30-Sep-31	29	-30.24%
October-08	1-Oct-08	27-Oct-08	26	-26.88%
May-32	6-May-32	31-May-32	25	-26.60%
March-38	1-Mar-38	31-Mar-38	30	-25.83%
May-40	3-May-40	21-May-40	18	-24.59%
November-29	4-Nov-29	13-Nov-29	9	-22.81%
October-37	1-Oct-37	18-Oct-37	17	-21.57%
September-32	7-Sep-32	19-Sep-32	12	-21.16%
July-33	18-Jul-33	21-Jul-33	3	-20.90%
April-30	2-Apr-30	24-Apr-30	22	-20.53%
October-32	3-Oct-32	10-Oct-32	7	-20.35%