Follow-up: Declines of 30% or more from a peak were fantastic buying opportunities in the past, written in March 2020, updated June 2022

 6/14/22: I wrote the following in March 2020 to put the 32.1% decline in the S&P 500 from its peak in historical perspective.  This is how the market looked (using the S&P 500 ETF (SPY)): 

Scary, right?  Well here is what happened over the next two years: 

Point 1 on the far left is where I wrote that "declines of 30% or more from a peak" were "fantastic buying opportunities in the past." 

By point 2, 1 year later, the market had risen a whopping 83%. 

By point 3, almost 2 years later, the market had surged 126% from those dark days in March 2020 when the New York Times solemnly declared that we were in bear market territory, whatever that means. 

As I write this (on 6/14/22), the S&P 500 is down 20% from point 3, and - you guessed it - the New York Times is telling its readers that we are in a bear market. 

I cannot guarantee that history will repeat yet again or that it will be as dramatic as in the past 2 years, but at some point in the future, we will look back and ask ourselves why we didn't see what a fantastic buying opportunity was right in front of us! 

Declines of 30% or more from a peak were fantastic buying opportunities in the past  

On March 20, 2020, the stock market as measured by the S&P 500 closed 32.1% of its high set in on February 12.  Pundits declared that the market is melting down and investors should sell stocks in anticipation of a financial Armageddon.  

There might be such an Armageddon but in the 75 years since World War II every time the market was down this much from a peak, it roared back, solidly outperforming over the next 1, 2, 3, 6, and 12 months, as well as 10 and 20 years.   This doesn't mean that it did not continue to fall for a bit, only that such sharp declines have historically represented tremendous long-term buying opportunities on average.  

First, some historical perspective.  

I created a total return S&P 500 index reflecting reinvested dividends to easily calculate period total returns.  Before knowing whether a month, 3 months, 6, or 12 are "good" we must know what average returns have been.  

The average month has risen 0.66%, 0.94% when dividends are included.  

63.5% of the 901 months since 1945 rose when dividends were taken into account.  

2.93% was the average 3-month S&P 500 gain. 

5.99% was the average 6-month gain. 

12.32% for the average 1-year gain. 

78.8% of all years rose. 

41.4% was the average 3-year return.

89.3% of all 3-year spans were positive; 75% of the time, you would have earned more than 21.99%.   Almost all 10-year periods since World War II rose (96.9%) and the average return was 214.31%, meaning you would have tripled your money in the average decade invested in the S&P 500.  

Every rolling 20-year period rose - there were no losers - with the average return equal to 358.07%, growing your initial investment over 4.5 times.   The single worst 20-year return was a 53.8% gain, but 90% of the time you would have at least doubled your money and a fourth of the time, you would have quintupled it.  

It's quite clear that the greatest way to reduce your risk of losing money in the stock market is to increase your holding period.  The longer your investment horizon, the safer stocks are, especially when inflation is taken into account.  

S&P 500 historical returns including dividends over various time periods from 1945 to March 2020

	(no dividends)	Total return (with dividends)
	1 month S&P 500 change	1 month	3  months	6 months	1 year	3 years	10 years	20 years
n	902	901	899	896	890	866	782	662
average	0.66%	0.94%	2.93%	5.99%	12.32%	41.40%	214.31%	358.07%
annualized	8.21%	11.91%	12.22%	12.34%	12.32%	12.24%	12.13%	16.44%
Maximum	16.30%	16.71%	26.47%	41.69%	60.95%	136.30%	598.77%	1367.9%
percentiles: 90th	5.27%	5.56%	11.28%	19.18%	32.53%	86.08%	404.26%	664.15%
75th	3.45%	3.71%	7.50%	12.72%	22.83%	59.41%	325.98%	494.64%
25th	-1.75%	-1.49%	-0.96%	-0.42%	2.42%	21.99%	103.59%	156.48%
10th	-4.39%	-4.12%	-5.57%	-7.16%	-9.19%	-3.05%	46.55%	106.98%
Minimum	-21.98%	-21.77%	-29.6%	-41.76%	-43.22%	-40.88%	-29.44%	53.81%
% that rose	60.0%	63.5%	70.5%	74.0%	78.8%	89.3%	96.9%	100.0%

Declines of 30% or more were followed by much stronger than average returns 

There are many ways of measuring declines but I was most interested in sharp, sustained declines from a recent high, so I measured how far the close had fallen from the trailing 12-month high.  If the market hit a high of 100 then closed at 90, this indicator would be -10%.  If the next month it closed at 80, the indicator would be -20%.  This is similar to the misery index which measures the area that one is below a recent high.  

The decline need not come in the same month as the high, only within a year of it, after which the high is ratcheted down.  

There were 16 months that closed 30% or more below the trailing 12-month highest high.  

The average 1-month, 3-month, 6-month, and 1-, 3-, and 10-year returns were far above average:

Performance of the S&P 500 over the next 1, 3, and 6 months, next year, next 3 years, and next 10 years following declines off of the 12-month highest high of 30% or more 

Date:	S&P 500	% off H(12m)	next 1 month	next 3 months	next 6 months	next year	next 3 years	next 10 years	next 20y
Aug-74	72.2	-36.0%	-11.5%	-1.7%	15.9%	26.0%	52.7%	14.2%	559.0%
Sep-74	63.5	-43.7%	16.7%	9.3%	34.3%	37.9%	72.8%	15.6%	628.2%
Oct-74	73.9	-32.3%	-4.9%	5.5%	20.9%	25.9%	42.2%	13.9%	539.2%
Nov-74	70.0	-30.8%	-1.6%	18.0%	33.1%	36.1%	54.2%	14.3%	548.5%
Dec-74	68.6	-32.2%	12.7%	22.9%	41.7%	37.1%	57.7%	14.8%	569.9%
Nov-87	230.3	-31.8%	7.6%	17.3%	15.9%	23.2%	55.5%	18.7%	543.1%
Sep-02	815.3	-30.5%	8.8%	8.4%	5.0%	24.4%	58.9%	8.0%
Oct-08	968.8	-37.3%	-7.2%	-14.1%	-8.5%	9.9%	38.2%	13.1%
Nov-08	896.2	-41.2%	1.0%	-17.3%	4.1%	25.5%	48.5%	14.2%
Dec-08	903.3	-38.6%	-8.3%	-10.9%	3.3%	26.6%	48.5%	13.0%
Jan-09	825.9	-42.7%	-10.7%	6.5%	21.3%	33.2%	69.3%	14.9%
Feb-09	735.1	-49.0%	8.8%	25.9%	40.6%	53.7%	97.6%	16.6%
Mar-09	797.9	-44.6%	9.6%	16.0%	34.1%	49.7%	87.6%	15.8%
Apr-09	872.8	-39.4%	5.5%	13.8%	20.1%	38.8%	70.1%	15.2%
May-09	919.1	-34.5%	0.2%	11.7%	20.5%	21.0%	51.4%	13.8%
Jun-09	919.3	-30.0%	7.6%	15.6%	22.5%	14.4%	57.3%	14.6%
Mar-20	2304.9	-32.1%
		Average:	2.2%	7.9%	20.3%	30.2%	60.2%	384.5%	564.7%
		Overall average:	0.94%	2.93%	5.99%	12.32%	41.40%	214.3%	358.1%
		Advantage:	1.26%	4.97%	14.3%	17.9%	18.8%	170.2%	206.6%

Note that buying during those few opportunities when the market was 30% or more below a 12-month high translated on average into significant outperformance going forward as far as 10 years when the 385% average return was 79.4%, well over the predicted 42.8% outperformance one would expect simply as a function of the price being 30% lower.[1]   This means that two things are occurring:  prices are not just low but far lower than they should be based on fundamentals which improve from whatever gloomy reality was driving them lower (the coronavirus pandemic as of this writing).  

Even 20 years out, there is a 57.7% advantage to buying on this dip of 30% or more with the important caveat that we simply don't know yet how much the market will return between now and 2029.  

These are rolling 12-month periods, meaning that a decline that continues for several months includes all of those months.  If instead we only include the first month, asking simply, How does the market perform after it first closes 30% or more below a trailing 12-month high?  Then we have far fewer samples.  Since some declines continued for the better part of a year, I included only 1 such month out of every 6 in a continuing decline to get the following table:

Date:	S&P 500	% off H(12m)	next 1 month	next 3 months	next 6 months	next year	next 3 years	next 10 years	next 20y
Aug-74	72.2	-36.0%	-11.5%	-1.7%	15.9%	26.0%	52.7%	276.7%	559.0%
Nov-87	230.3	-31.8%	7.6%	17.3%	15.9%	23.2%	55.5%	453.6%	543.1%
Sep-02	815.3	-30.5%	8.8%	8.4%	5.0%	24.4%	58.9%	115.6%
Oct-08	968.8	-37.3%	-7.2%	-14.1%	-8.5%	9.9%	38.2%	243.9%
Mar-20	2304.9	-32.1%
		-0.6%	-0.6%	2.5%	7.1%	20.9%	51.3%	272.5%	551.1%

		Overall average:	0.94%	2.93%	5.99%	12.32%	41.40%	214.3%	358.1%
		Advantage:	-0.34%	-0.43%	1.11%	8.58%	9.9%	58.19	193.0%

With the caveats that this is a limited data set from which to draw too many conclusions, the 4 times when the market first closed at 30% or greater below its trailing 12-month high, the shorter results were worse than average, indicating that for the next 1 and 3 months, the market continued to either decline or underperform but from 6 months out, the market performed better than average, returning a solid 193% more than average over the next 20 years.  

Buying into those even rarer 40% declines is even more profitable: 

Date:	S&P 500	% off H(12m)	next 1 month	next 3 months	next 6 months	next year	next 3 years	next 10 years	next 20y
Sep-74	63.5	-43.7%	16.7%	9.3%	34.3%	37.9%	72.8%	325.6%	628.2%
Nov-08	896.2	-41.2%	1.0%	-17.3%	4.1%	25.5%	48.5%	277.9%
Jan-09	825.9	-42.7%	-10.7%	6.5%	21.3%	33.2%	69.3%	301.0%
Feb-09	735.1	-49.0%	8.8%	25.9%	40.6%	53.7%	97.6%	363.3%
Mar-09	797.9	-44.6%	9.6%	16.0%	34.1%	49.7%	87.6%	334.0%
		Overall	4.0%	6.1%	25.1%	37.6%	72.1%	317.0%	628.2%
		average	0.94%	2.93%	5.99%	12.32%	41.40%	214.3%	358.1%
		advantage:	3.06%	3.17%	19.11%	25.28%	30.7%	102.7%	270.1%

Caveat:  the data set is even smaller, and when non-overlapping occurrences only are considered, there are only 2, which were followed by erratic near-term performance but excellent performance beyond 1-year.

[1]  If prices were bouncing around randomly and occasionally got as low as 30% below the high, you would expect that subsequent price gains of any dollar invested at a 30% discount would equal 42.9% once the old high was achieved, something that almost always happens within 10 years of the dip, often much sooner.  That is, a $100 stock that declined to $70 would return a 42.9% to an investor or trader who bought it then, since $100/$70 - 1 = 0.42857 = 42.9%.  

Including data since 1980 only indicates very slightly better returns but the same pattern

Looking only at date from 1980, when the advent of the personal computer change the nature of stock market behavior, the returns are virtually identical, slightly higher in all time frames except for 10 years (11.88% per year versus 12.13% including all data since 1945).   

		TOTAL return over next....
since 1980	0.73%	0.94%	3.01%	6.21%	12.69%	43.71%	207.26%	395.03%
annualized	9.18%	11.93%	12.61%	12.80%	12.69%	12.85%	11.88%	17.34%

Date:	spx:	% off H(12m)	1m	3m	6m	next year	next 3y	next 10y	next 20y
Aug-53	23.3	-12.5%	0.6%	7.7%	15.4%	35.1%	132.9%	353.6%	347.0%
Sep-53	23.4	-12.4%	5.6%	7.8%	18.8%	46.0%	121.6%	346.9%	364.4%
Feb-57	43.3	-12.9%	2.3%	10.7%	6.6%	-1.6%	44.6%	180.4%	130.7%
Mar-57	44.1	-11.1%	4.0%	8.4%	-1.9%	-0.6%	39.8%	185.7%	123.1%
Sep-57	42.4	-13.7%	-2.8%	-4.7%	1.4%	22.8%	40.3%	217.2%	127.6%
Oct-57	41.1	-16.4%	2.0%	2.7%	8.0%	30.0%	44.5%	217.8%	124.9%
Nov-57	41.7	-15.1%	-3.8%	-1.0%	7.9%	30.7%	47.8%	212.8%	127.3%
Dec-57	40.0	-18.6%	4.6%	6.4%	15.4%	43.2%	61.1%	234.5%	137.8%
Jan-58	41.7	-15.1%	-1.7%	5.2%	15.4%	37.8%	64.2%	206.5%	114.0%
Feb-58	40.8	-16.9%	3.4%	9.0%	19.2%	40.5%	71.9%	203.0%	137.6%
Mar-58	42.1	-14.3%	3.5%	8.5%	21.1%	36.3%	70.9%	196.6%	111.9%
Apr-58	43.4	-11.6%	1.8%	9.7%	20.3%	37.1%	66.2%	210.7%	122.9%
May-58	44.1	-10.3%	2.9%	9.3%	21.1%	37.6%	66.7%	209.3%	120.7%
Apr-60	54.4	-10.4%	3.0%	3.0%	-0.1%	24.2%	41.8%	107.1%	95.5%
Sep-60	53.5	-11.4%	0.1%	9.5%	23.5%	28.7%	47.7%	117.8%	134.4%
Oct-60	53.4	-11.6%	4.3%	16.6%	24.3%	32.5%	52.8%	115.8%	138.8%
Apr-62	65.2	-10.2%	-8.3%	-9.9%	-11.7%	10.9%	50.5%	128.5%	78.5%
May-62	59.6	-17.9%	-7.9%	0.1%	6.3%	22.9%	63.3%	154.1%	87.6%
Jul-62	58.2	-19.8%	1.8%	-2.0%	15.7%	22.8%	61.1%	154.8%	83.9%
Aug-62	59.1	-18.6%	-4.5%	6.3%	10.7%	26.8%	62.1%	159.4%	102.1%
Nov-62	62.3	-14.3%	1.6%	4.1%	15.6%	21.4%	61.5%	158.1%	122.5%
Dec-62	63.1	-12.3%	5.2%	6.4%	11.8%	22.8%	60.7%	157.6%	122.9%
Feb-63	64.3	-10.0%	3.8%	11.0%	14.6%	24.9%	55.6%	139.0%	130.3%
Jun-66	84.7	-10.5%	-1.1%	-8.8%	-3.5%	10.7%	26.9%	74.6%	196.0%
Jul-66	83.6	-11.7%	-7.5%	-3.2%	5.5%	17.2%	21.0%	75.7%	182.4%
Aug-66	77.1	-18.6%	-0.4%	5.3%	14.5%	25.5%	36.3%	89.5%	228.1%
Sep-66	76.6	-19.2%	5.1%	5.8%	19.8%	30.5%	33.8%	95.1%	202.1%
Oct-66	80.2	-15.3%	0.6%	8.9%	19.2%	20.9%	33.4%	82.2%	204.2%
Nov-66	80.5	-15.1%	0.1%	8.8%	12.5%	20.6%	28.2%	80.3%	209.8%
Dec-66	80.3	-15.2%	8.1%	13.2%	14.7%	23.9%	26.0%	90.1%	201.5%
Feb-69	98.1	-10.3%	3.7%	6.2%	-1.1%	-5.7%	20.2%	45.5%	194.4%
Jun-69	97.7	-10.7%	-5.7%	-3.9%	-4.2%	-22.8%	21.2%	57.5%	225.4%
Jul-69	91.8	-16.0%	4.3%	6.8%	-5.8%	-11.8%	29.2%	69.3%	276.9%
Aug-69	95.5	-12.7%	-2.2%	-1.0%	-4.6%	-11.4%	28.5%	71.6%	268.0%
Sep-69	93.1	-14.9%	4.7%	-0.3%	-2.1%	-6.1%	31.1%	76.3%	274.9%
Oct-69	97.2	-11.1%	-3.2%	-11.8%	-14.6%	-11.1%	26.6%	57.6%	250.0%
Nov-69	93.8	-14.2%	-1.6%	-3.7%	-16.8%	-3.4%	37.2%	70.5%	268.8%
Dec-69	92.1	-13.8%	-7.3%	-1.8%	-19.4%	4.0%	41.3%	76.9%	283.9%
Feb-70	89.5	-16.2%	0.4%	-13.6%	-7.1%	12.2%	37.4%	92.2%	270.8%
Mar-70	89.6	-16.0%	-8.7%	-18.0%	-4.1%	16.1%	36.9%	72.8%	279.3%
Aug-70	81.5	-17.8%	3.6%	7.9%	20.7%	25.5%	40.2%	128.8%	295.7%
Sep-70	84.2	-15.1%	-0.8%	10.4%	21.1%	20.6%	41.1%	127.3%	263.4%
Oct-70	83.3	-16.1%	5.0%	16.1%	26.8%	16.8%	42.5%	133.7%	265.2%
Oct-71	94.2	-10.8%	0.0%	11.1%	16.0%	21.9%	-13.0%	101.3%	316.5%
Nov-71	94.0	-11.0%	8.9%	14.2%	18.2%	27.7%	-17.3%	109.5%	299.2%
Apr-73	107.0	-12.1%	-1.6%	2.0%	2.9%	-12.6%	7.4%	148.2%	311.5%
May-73	105.0	-13.8%	-0.4%	0.1%	-7.1%	-13.8%	8.0%	150.1%	329.0%
Jun-73	104.3	-14.4%	4.1%	4.8%	-4.9%	-14.4%	13.2%	160.8%	332.1%
Jul-73	108.2	-11.1%	-3.4%	0.9%	-9.2%	-23.9%	8.3%	143.3%	314.1%
Aug-73	104.3	-14.4%	4.3%	-7.2%	-6.1%	-28.0%	11.9%	155.6%	344.7%
Sep-73	108.4	-10.9%	0.1%	-9.2%	-11.7%	-38.8%	10.1%	148.5%	323.3%
Oct-73	108.3	-11.0%	-11.1%	-10.0%	-15.0%	-28.7%	7.8%	145.3%	332.0%
Dec-73	97.6	-19.9%	-0.7%	-2.7%	-10.1%	-26.4%	25.0%	174.8%	378.2%
Jan-74	96.6	-18.8%	-0.1%	-5.6%	-16.1%	-16.5%	20.0%	175.3%	398.7%
Feb-74	96.2	-16.8%	-2.0%	-8.4%	-23.3%	-11.1%	18.0%	165.8%	385.5%
Mar-74	94.0	-17.3%	-3.6%	-7.5%	-30.7%	-7.0%	19.2%	176.0%	374.3%
Apr-74	90.3	-20.0%	-3.0%	-11.2%	-16.1%	1.4%	24.1%	188.9%	399.3%
Feb-75	81.6	-19.3%	2.5%	12.9%	8.7%	27.3%	35.5%	261.1%	497.4%
Mar-75	83.4	-12.6%	5.1%	15.3%	2.7%	28.3%	22.1%	252.4%	500.7%
Aug-75	86.9	-10.0%	-3.1%	6.1%	17.1%	23.3%	36.2%	253.2%	546.7%
Sep-75	83.9	-13.2%	6.5%	8.6%	25.0%	30.5%	40.1%	253.2%	596.8%
May-77	96.1	-11.6%	4.9%	1.9%	1.1%	6.5%	35.6%	384.8%	782.5%
Aug-77	96.8	-11.0%	0.2%	-0.8%	2.9%	12.4%	48.3%	444.6%	829.5%
Sep-77	96.5	-10.6%	-3.9%	-0.2%	-5.1%	11.8%	52.4%	431.9%	881.3%
Oct-77	92.3	-14.5%	3.1%	-2.1%	7.7%	6.3%	61.8%	334.7%	892.0%
Nov-77	94.8	-12.2%	0.7%	3.7%	5.4%	5.2%	73.6%	287.0%	907.5%
Dec-77	95.1	-11.9%	-5.7%	-4.9%	3.2%	6.5%	67.2%	313.4%	920.4%
Jan-78	89.3	-13.6%	9.2%	9.9%	15.8%	18.0%	69.9%	357.4%	998.4%
Mar-78	89.2	-13.0%	9.0%	8.5%	17.8%	20.0%	78.2%	359.5%	1135.0%
Oct-78	93.2	-13.8%	2.1%	8.7%	12.3%	15.4%	53.2%	369.9%	1079.5%
Nov-78	94.7	-12.4%	1.9%	3.1%	7.6%	18.3%	56.1%	352.9%	1128.8%
Dec-78	96.1	-11.1%	4.4%	7.2%	10.1%	18.6%	49.3%	352.2%	1179.0%
Feb-79	96.3	-10.9%	6.0%	4.3%	16.6%	24.5%	37.6%	367.9%	1186.2%
Mar-80	102.1	-15.1%	4.6%	13.4%	26.1%	39.9%	75.4%	407.7%	1367.9%
Apr-80	106.3	-11.6%	5.1%	15.9%	22.9%	31.3%	80.9%	373.8%	1266.5%
Aug-81	122.8	-13.5%	-4.9%	4.3%	-5.2%	3.2%	57.8%	380.2%	823.2%
Sep-81	116.2	-18.2%	5.4%	6.9%	-0.8%	9.9%	66.0%	396.7%	796.0%
Oct-81	121.9	-14.1%	4.1%	0.1%	-1.7%	16.2%	58.1%	378.2%	769.5%
Nov-81	126.4	-10.2%	-2.6%	-9.1%	-8.8%	16.2%	50.2%	340.4%	801.8%
Dec-81	122.6	-12.7%	-1.3%	-7.2%	-7.8%	21.5%	58.2%	403.5%	836.8%
Jan-82	120.4	-13.0%	-5.5%	-1.8%	-8.2%	27.6%	72.7%	401.1%	838.7%
Feb-82	113.1	-18.3%	-0.5%	0.4%	8.9%	38.2%	85.0%	437.0%	878.5%
Mar-82	112.0	-18.7%	4.5%	-0.6%	10.8%	44.1%	86.1%	429.3%	923.2%
Apr-82	116.4	-14.2%	-3.4%	-6.5%	18.2%	48.7%	78.0%	422.0%	824.9%
May-82	111.9	-17.5%	-1.5%	8.4%	27.3%	52.6%	94.8%	442.2%	853.8%
Jun-82	109.6	-18.9%	-1.8%	11.5%	31.7%	61.0%	100.9%	442.4%	803.0%
May-84	150.6	-12.8%	2.2%	12.0%	11.2%	31.6%	116.1%	326.0%	644.4%
Jun-84	153.2	-11.3%	-1.2%	9.7%	11.7%	30.8%	122.2%	306.9%	644.8%
Jul-84	150.7	-12.7%	11.0%	11.5%	21.9%	32.3%	136.3%	325.9%	631.3%
Jun-88	273.5	-19.1%	-0.2%	0.3%	3.4%	20.5%	50.6%	446.4%	368.0%
Jul-88	272.0	-19.5%	-3.5%	3.5%	11.3%	31.8%	58.1%	442.2%	365.9%
Sep-88	271.9	-17.3%	2.9%	3.0%	10.4%	32.9%	58.1%	383.6%	328.4%
Aug-90	322.6	-12.8%	-4.8%	0.9%	15.9%	26.8%	57.6%	491.2%	225.3%
Sep-90	306.1	-17.2%	-0.3%	8.9%	24.7%	31.0%	64.3%	488.3%	272.9%
Oct-90	304.0	-17.8%	6.3%	14.1%	25.5%	33.3%	68.4%	488.0%	289.2%
Nov-90	322.2	-12.9%	2.8%	14.9%	23.0%	20.3%	56.7%	409.3%	266.4%
Dec-90	330.2	-10.7%	4.4%	14.5%	14.2%	30.3%	54.3%	398.0%	280.8%
Aug-98	957.3	-19.6%	4.9%	22.0%	30.2%	39.7%	22.9%	57.8%	203.1%
Sep-98	1002.6	-15.8%	9.7%	23.0%	29.1%	29.6%	7.8%	36.9%	190.6%
Nov-00	1315.0	-15.3%	0.5%	-5.4%	-3.9%	-12.2%	-15.6%	8.5%
Dec-00	1320.3	-15.0%	3.6%	-11.8%	-6.7%	-11.9%	-11.6%	15.2%
Jan-01	1366.0	-12.0%	-9.1%	-8.2%	-10.7%	-16.1%	-13.1%	13.9%
Apr-01	1249.5	-18.3%	0.6%	-2.7%	-14.6%	-12.6%	-6.9%	32.2%
May-01	1255.8	-17.9%	-2.4%	-9.4%	-8.6%	-13.8%	-6.2%	29.8%
Jun-01	1224.4	-20.0%	-1.0%	-14.7%	-5.6%	-18.0%	-2.1%	30.8%
Nov-01	1139.5	-18.0%	0.9%	-2.5%	-5.7%	-16.5%	8.4%	33.1%
Dec-01	1148.1	-17.0%	-1.4%	0.1%	-13.1%	-22.1%	11.1%	33.3%
Jan-02	1130.2	-17.9%	-2.0%	-4.4%	-18.7%	-23.0%	10.1%	41.4%
Feb-02	1106.7	-15.9%	3.6%	-3.2%	-16.6%	-22.7%	14.6%	50.3%
Mar-02	1145.6	-12.9%	-5.9%	-13.2%	-28.2%	-24.6%	8.6%	49.8%
Apr-02	1076.9	-18.2%	-0.8%	-15.0%	-17.0%	-13.3%	13.3%	58.2%
May-02	1067.1	-17.1%	-7.1%	-13.8%	-11.5%	-8.0%	17.7%	49.8%
Apr-03	916.9	-17.1%	5.2%	8.5%	15.2%	22.8%	50.7%	113.0%
May-03	963.6	-10.0%	3.5%	5.1%	10.8%	18.3%	39.0%	106.9%
Jan-08	1378.6	-12.5%	-3.3%	1.0%	-7.0%	-38.5%	0.0%	152.7%
Feb-08	1330.6	-15.6%	-0.4%	5.8%	-2.5%	-43.2%	6.9%	151.5%
Mar-08	1322.7	-16.1%	4.9%	-2.7%	-10.9%	-38.0%	7.4%	146.2%
Apr-08	1385.6	-12.1%	1.2%	-8.0%	-29.2%	-35.2%	5.4%	135.6%
May-08	1400.4	-11.1%	-8.4%	-7.9%	-35.1%	-32.4%	2.9%	138.1%
Jun-08	1280.0	-18.8%	-0.8%	-8.5%	-28.4%	-26.1%	10.4%	161.6%
Jul-08	1267.4	-19.6%	1.4%	-23.0%	-33.9%	-19.8%	9.1%	173.6%
Aug-08	1282.8	-18.6%	-9.0%	-29.6%	-41.8%	-18.1%	1.7%	178.4%
May-10	1089.4	-10.7%	-5.2%	-3.2%	9.4%	25.8%	59.0%
Jun-10	1030.7	-15.5%	7.1%	11.3%	23.2%	30.6%	65.5%
Aug-10	1049.3	-14.0%	8.9%	13.0%	27.6%	18.4%	65.3%
Aug-11	1218.9	-11.1%	-7.0%	2.9%	13.2%	17.8%	74.6%
Sep-11	1131.4	-17.5%	10.9%	11.7%	25.7%	29.9%	85.2%
Sep-15	1920.0	-10.1%	8.5%	7.0%	8.4%	15.3%	61.0%
Dec-18	2506.9	-14.8%	8.0%	13.6%	18.5%	31.3%
Feb-20	2954.2	-12.9%	-21.8%

Appendix Raw Data 

% off 12-month high versus next month total return

Average:	-6.6%	0.9%
Median:	-3.9%	1.2%
	y = -.006x + 0.00889		R2 = .0%
	correlation:	-1.0%
Sliced data:
		n:	From:	To:	y:	annzd
	Min-10%	-	-49.0%	-17.79%
	10-25%	3	-17.8%	-8.61%	3.08%	44.0%
	25-50%	15	-8.6%	-3.87%	2.09%	28.1%
	50-75%	11	-3.9%	-1.37%	1.42%	18.5%
	75-90%	7	-1.4%	-0.50%	1.19%	15.2%
	90-Max	14	-0.5%	0.07%	1.17%	14.9%
		50
In fourths:
		n:	From:	To:	y:	annzd
	Min-25%	3	-49.0%	-8.6%	3.08%	44.0%
	25-50%	15	-8.6%	-3.9%	2.09%	28.1%
	50-75%	11	-3.9%	-1.4%	1.42%	18.5%
	75-Max	22	-1.4%	0.1%	1.34%	17.4%
		51
In thirds:
		n:	From:	To:	y:
	Bottom	10	-49.0%	-6.8%	1.81%
	Middle	15	-6.8%	-2.0%	2.34%
	Top	26	-2.0%	0.1%	1.25%
		51

 … versus next 6 months 

	Summary Statistics:
	x:	y:
n:	826	826
Max:	0.1%	41.7%
Min:	-49.0%	-41.8%
Average:	-6.7%	5.9%
Median:	-3.9%	6.3%
	y = -.124x + 0.05056		R2 = .8%
	correlation:	-8.8%
Sliced data:
		n:	From:	To:	y:	annzd
	Min-10%	-	-49.0%	-17.82%	#DIV/0!	#DIV/0!
	10-25%	3	-17.8%	-8.63%	13.37%	350.9%
	25-50%	15	-8.6%	-3.89%	10.57%	233.9%
	50-75%	11	-3.9%	-1.39%	9.82%	207.9%
	75-90%	7	-1.4%	-0.51%	13.15%	340.6%
	90-Max	14	-0.5%	0.07%	9.44%	195.3%
		50
In fourths:
		n:	From:	To:	y:	annzd
	Min-25%	3	-49.0%	-8.6%	13.37%	350.9%
	25-50%	15	-8.6%	-3.9%	10.57%	233.9%
	50-75%	11	-3.9%	-1.4%	9.82%	207.9%
	75-Max	22	-1.4%	0.1%	11.23%	258.8%
		51
In thirds:
		n:	From:	To:	y:
	Bottom	10	-49.0%	-6.8%	13.24%
	Middle	15	-6.8%	-2.0%	8.24%
	Top	26	-2.0%	0.1%	11.46%
		51
Versus next 12 months….

	Summary Statistics:
	x:	y:
n:	820	820
Max:	0.1%	61.0%
Min:	-49.0%	-43.2%
Average:	-6.7%	12.1%
Median:	-3.9%	13.3%
	y = -.252x + 0.10448		R2 = 1.4%
	correlation:	-11.9%
Sliced data:
		n:	From:	To:	y:	annzd
	Min-10%	-	-49.0%	-17.85%	#DIV/0!	#DIV/0!
	10-25%	3	-17.9%	-8.74%	36.40%	4048.3%
	25-50%	15	-8.7%	-3.91%	25.11%	1370.1%
	50-75%	11	-3.9%	-1.40%	17.91%	622.5%
	75-90%	7	-1.4%	-0.51%	30.91%	2433.8%
	90-Max	14	-0.5%	0.07%	19.45%	743.5%
		50
In fourths:
		n:	From:	To:	y:	annzd
	Min-25%	3	-49.0%	-8.7%	36.40%	4048.3%
	25-50%	15	-8.7%	-3.9%	25.11%	1370.1%
	50-75%	11	-3.9%	-1.4%	17.91%	622.5%
	75-Max	22	-1.4%	0.1%	24.13%	1238.2%
		51
In thirds:
		n:	From:	To:	y:
	Bottom	10	-49.0%	-6.8%	34.89%
	Middle	15	-6.8%	-2.0%	16.04%
	Top	26	-2.0%	0.1%	24.01%
		51

Versus next 10 years

		Summary Statistics:
		x:	y:
	n:	712	712
	Max:	0.1%	491.2%
	Min:	-49.0%	-29.4%
	Average:	-7.2%	193.7%
	Median:	-4.2%	163.5%
		y = -1.927x + 1.79846		R2 = 1.5%
		correlation:	-12.3%
	Sliced data:
			n:	From:	To:	y:
		Min-10%	-	-49.0%	-18.61%	#DIV/0!
		10-25%	2	-18.6%	-9.94%	350.21%
		25-50%	13	-9.9%	-4.24%	329.42%
		50-75%	14	-4.2%	-1.55%	312.38%
		75-90%	7	-1.6%	-0.55%	283.77%
		90-Max	14	-0.5%	0.07%	292.11%
			50
	In fourths:
			n:	From:	To:	y:
		Min-25%	2	-49.0%	-9.9%	350.21%
		25-50%	13	-9.9%	-4.2%	329.42%
		50-75%	14	-4.2%	-1.6%	312.38%
		75-Max	22	-1.6%	0.1%	290.76%
			51
	In thirds:
			n:	From:	To:	y:
		Bottom	7	-49.0%	-7.5%	339.50%
		Middle	16	-7.5%	-2.2%	313.62%
		Top	28	-2.2%	0.1%	298.52%
			51

annzd
#DIV/0!
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annzd
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