Perfunctory Quarter Study, from Kim Zussman
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