SPX drawdowns

I was looking at how often during a 10 day period, there was 3 % and 5 % down move.  The excel formula was =C20/MAX(C20:C29)-1 where column C contained the closes. I then removed those cases where the move was within 10 days of another similar move, using the excel formula =IF(AND(H20<-3%, H20=MIN(H10:H30)),H20,””), where column H are the results of the previous calculation.  I took the data and grouped and charted by year:

spx drawdowns per year

The chart has some ebb and flo, the median 3% drop is 6 per year and 5% drop is 2 per year.  2014 was fairly close to median, at 5 & 2 (although 4.95% is awfully close).

I also looked at a 3% move in a 5 day period, and the results were similar to the 3% in 10 day period, the median was 7 per year, due in part to clustering – 8/2011 – 10/2011 had 2 10 day moves of over 3% down, but 5 5 day moves of over 3% down.  The VIX was in the mid 30’s so the larger number of moves isn’t surprising.


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