Saturday, September 10, 2011


"August S&P return was in the bottom 10% of monthly returns since 1928. Over that time 58% of monthly returns have been positive with an average return of 0.6% (7.4% annualized). August volatility was in the 98th percentile over that period at more than triple its 15% average since 1928. Just 25 out of 1004 months over the past 83 years have experienced higher realized volatility than August 2011."

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