Monthly performance after drop at the start of the month

I took a look at the subsequent monthly performance after the IWM had dropped between 2 and 4 % after 3 days.  I looked at these months:

10 2000
2 2002
9 2002
12 2002
2 2004
7 2004
10 2005
8 2007
7 2008
9 2008
7 2009
5 2010
7 2010
5 2011

Graphically, this is how they performed:

X axis is the adjusted trading day of the month, 1-10 for the first 10 trading days, 11-20 for the last 10 trading days. The dark blue is the median performance, green is typical August, red is all months, orange is the best month to date after being down, and light blue is worst month to date after being down.  5 times IWM finished positive for the month, 9 times it was negative for the month.  Although there is often some recovery mid month, by the end of the month the median month end close is a little lower then the 3rd trading day of the month.

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