Drawdown Figures Added to Seasonal Study

By request I’ve updated the table from last Friday’s column highlighting the S&P’s performance from November OpEx through year-end to include the maximum drawdown sustained in that time frame…

SPX Performance from November OpEx through Year-End
11/18/11 – 12/30/11… S&P500 ???  … Max DD 2.7% (so far)
11/19/10 – 12/31/10… S&P500 +4.8%… Max DD 2.2%
11/20/09 – 12/31/09… S&P500 +2.2%… Max DD 0.7%
11/21/08 – 12/31/08… S&P500 +12.9%… Max DD 0.0%
11/16/07 – 12/31/07… S&P500 +0.7%… Max DD 3.6%
11/17/06 – 12/29/06… S&P500 +1.2%… Max DD 1.7%
11/18/05 – 12/30/05… S&P500 +0.0%… Max DD 0.1%
11/19/04 – 12/31/04… S&P500 +3.6%… Max DD 0.2%
11/21/03 – 12/31/03… S&P500 +7.4%… Max DD 0.0%
11/15/02 – 12/31/02… S&P500 -3.3%… Max DD 4.4%
11/16/01 – 12/31/01… S&P500 +0.8%… Max DD 2.1%
11/17/00 – 12/29/00… S&P500 -3.5%… Max DD 8.3% (*)
11/19/99 – 12/31/99… S&P500 +3.3%… Max DD 2.5%
11/20/98 – 12/31/98… S&P500 +5.7%… Max DD 2.3%
11/21/97 – 12/31/97… S&P500 +0.8%… Max DD 4.0%
11/15/96 – 12/31/96… S&P500 +0.4%… Max DD 2.5%
11/17/95 – 12/29/95… S&P500 +2.6%… Max DD 0.8%
11/18/94 – 12/30/94… S&P500 -0.5%… Max DD 4.0%
11/19/93 – 12/31/93… S&P500 +0.8%… Max DD 1.2%
11/20/92 – 12/31/92… S&P500 +2.1%… Max DD 0.4%
11/15/91 – 12/31/91… S&P500 +9.0%… Max DD 2.9%
11/16/90 – 12/31/90… S&P500 +4.1%… Max DD 1.8%
11/17/89 – 12/29/89… S&P500 +3.5%… Max DD 1.2%
11/18/88 – 12/30/88… S&P500 +4.2%… Max DD 1.1%
11/20/87 – 12/31/87… S&P500 +2.1%… Max DD 8.6% (*)
11/21/86 – 12/31/86… S&P500 -1.5%… Max DD 1.9%
11/15/85 – 12/31/85… S&P500 +6.7%… Max DD 0.3%
11/16/84 – 12/31/84… S&P500 +1.9%… Max DD 1.6%
11/18/83 – 12/30/83… S&P500 -0.1%… Max DD 2.1%
11/19/82 – 12/31/82… S&P500 +2.6%… Max DD 3.0%
11/20/81 – 12/31/81… S&P500 +0.7%… Max DD 0.8%

Categories : Archived Intraday Commentary, Intraday Commentary

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