{"slug":"how-markets-recover-from-crashes","qid":"underwater","label":"The S&P 500's underwater curve: worst drawdown from a prior high, by month","post_title":"How Markets Recover From Crashes","post_url":"/blog/how-markets-recover-from-crashes#q-underwater","columns":["month","worst_drawdown_pct"],"rows":[{"month":"2016-01-01","worst_drawdown_pct":-7.8},{"month":"2016-02-01","worst_drawdown_pct":-9.1},{"month":"2016-03-01","worst_drawdown_pct":-1.6},{"month":"2016-04-01","worst_drawdown_pct":-1.8},{"month":"2016-05-01","worst_drawdown_pct":-2.8},{"month":"2016-06-01","worst_drawdown_pct":-6},{"month":"2016-07-01","worst_drawdown_pct":-1.8},{"month":"2016-08-01","worst_drawdown_pct":-0.9},{"month":"2016-09-01","worst_drawdown_pct":-2.7},{"month":"2016-10-01","worst_drawdown_pct":-3.1},{"month":"2016-11-01","worst_drawdown_pct":-4.8},{"month":"2016-12-01","worst_drawdown_pct":-1.8},{"month":"2017-01-01","worst_drawdown_pct":-1.1},{"month":"2017-02-01","worst_drawdown_pct":-0.8},{"month":"2017-03-01","worst_drawdown_pct":-2.6},{"month":"2017-04-01","worst_drawdown_pct":-3},{"month":"2017-05-01","worst_drawdown_pct":-1.8},{"month":"2017-06-01","worst_drawdown_pct":-1.3},{"month":"2017-07-01","worst_drawdown_pct":-1.7},{"month":"2017-08-01","worst_drawdown_pct":-2.1},{"month":"2017-09-01","worst_drawdown_pct":-0.7},{"month":"2017-10-01","worst_drawdown_pct":-0.7},{"month":"2017-11-01","worst_drawdown_pct":-1},{"month":"2017-12-01","worst_drawdown_pct":-0.6},{"month":"2018-01-01","worst_drawdown_pct":-1.7},{"month":"2018-02-01","worst_drawdown_pct":-10.1},{"month":"2018-03-01","worst_drawdown_pct":-10},{"month":"2018-04-01","worst_drawdown_pct":-10.1},{"month":"2018-05-01","worst_drawdown_pct":-8.4},{"month":"2018-06-01","worst_drawdown_pct":-6},{"month":"2018-07-01","worst_drawdown_pct":-5.5},{"month":"2018-08-01","worst_drawdown_pct":-2},{"month":"2018-09-01","worst_drawdown_pct":-1.3},{"month":"2018-10-01","worst_drawdown_pct":-10.1},{"month":"2018-11-01","worst_drawdown_pct":-10.3},{"month":"2018-12-01","worst_drawdown_pct":-20.2},{"month":"2019-01-01","worst_drawdown_pct":-16.8},{"month":"2019-02-01","worst_drawdown_pct":-8},{"month":"2019-03-01","worst_drawdown_pct":-6.5},{"month":"2019-04-01","worst_drawdown_pct":-2.6},{"month":"2019-05-01","worst_drawdown_pct":-6.3},{"month":"2019-06-01","worst_drawdown_pct":-6.6},{"month":"2019-07-01","worst_drawdown_pct":-1.5},{"month":"2019-08-01","worst_drawdown_pct":-6},{"month":"2019-09-01","worst_drawdown_pct":-3.7},{"month":"2019-10-01","worst_drawdown_pct":-4.6},{"month":"2019-11-01","worst_drawdown_pct":-0.5},{"month":"2019-12-01","worst_drawdown_pct":-1.9},{"month":"2020-01-01","worst_drawdown_pct":-3.1},{"month":"2020-02-01","worst_drawdown_pct":-12.5},{"month":"2020-03-01","worst_drawdown_pct":-34.2},{"month":"2020-04-01","worst_drawdown_pct":-27.3},{"month":"2020-05-01","worst_drawdown_pct":-16.7},{"month":"2020-06-01","worst_drawdown_pct":-11.3},{"month":"2020-07-01","worst_drawdown_pct":-8.2},{"month":"2020-08-01","worst_drawdown_pct":-2.8},{"month":"2020-09-01","worst_drawdown_pct":-9.8},{"month":"2020-10-01","worst_drawdown_pct":-8.7},{"month":"2020-11-01","worst_drawdown_pct":-7.7},{"month":"2020-12-01","worst_drawdown_pct":-1.5},{"month":"2021-01-01","worst_drawdown_pct":-3.7},{"month":"2021-02-01","worst_drawdown_pct":-3.2},{"month":"2021-03-01","worst_drawdown_pct":-4.1},{"month":"2021-04-01","worst_drawdown_pct":-1.2},{"month":"2021-05-01","worst_drawdown_pct":-3.9},{"month":"2021-06-01","worst_drawdown_pct":-2.4},{"month":"2021-07-01","worst_drawdown_pct":-2.8},{"month":"2021-08-01","worst_drawdown_pct":-1.7},{"month":"2021-09-01","worst_drawdown_pct":-5.3},{"month":"2021-10-01","worst_drawdown_pct":-5.4},{"month":"2021-11-01","worst_drawdown_pct":-3},{"month":"2021-12-01","worst_drawdown_pct":-4.1},{"month":"2022-01-01","worst_drawdown_pct":-9.7},{"month":"2022-02-01","worst_drawdown_pct":-11.7},{"month":"2022-03-01","worst_drawdown_pct":-12.9},{"month":"2022-04-01","worst_drawdown_pct":-13.8},{"month":"2022-05-01","worst_drawdown_pct":-18.5},{"month":"2022-06-01","worst_drawdown_pct":-23.4},{"month":"2022-07-01","worst_drawdown_pct":-20.9},{"month":"2022-08-01","worst_drawdown_pct":-17.3},{"month":"2022-09-01","worst_drawdown_pct":-25.2},{"month":"2022-10-01","worst_drawdown_pct":-25.4},{"month":"2022-11-01","worst_drawdown_pct":-22.3},{"month":"2022-12-01","worst_drawdown_pct":-21.2},{"month":"2023-01-01","worst_drawdown_pct":-20.6},{"month":"2023-02-01","worst_drawdown_pct":-17.1},{"month":"2023-03-01","worst_drawdown_pct":-19.4},{"month":"2023-04-01","worst_drawdown_pct":-15.4},{"month":"2023-05-01","worst_drawdown_pct":-15.2},{"month":"2023-06-01","worst_drawdown_pct":-11.7},{"month":"2023-07-01","worst_drawdown_pct":-8.2},{"month":"2023-08-01","worst_drawdown_pct":-8.7},{"month":"2023-09-01","worst_drawdown_pct":-10.9},{"month":"2023-10-01","worst_drawdown_pct":-14},{"month":"2023-11-01","worst_drawdown_pct":-11.5},{"month":"2023-12-01","worst_drawdown_pct":-4.8},{"month":"2024-01-01","worst_drawdown_pct":-2.2},{"month":"2024-02-01","worst_drawdown_pct":-1.4},{"month":"2024-03-01","worst_drawdown_pct":-1.4},{"month":"2024-04-01","worst_drawdown_pct":-5.4},{"month":"2024-05-01","worst_drawdown_pct":-4.4},{"month":"2024-06-01","worst_drawdown_pct":-1.1},{"month":"2024-07-01","worst_drawdown_pct":-4.7},{"month":"2024-08-01","worst_drawdown_pct":-8.4},{"month":"2024-09-01","worst_drawdown_pct":-4.3},{"month":"2024-10-01","worst_drawdown_pct":-2.7},{"month":"2024-11-01","worst_drawdown_pct":-2.5},{"month":"2024-12-01","worst_drawdown_pct":-3.6},{"month":"2025-01-01","worst_drawdown_pct":-4.5},{"month":"2025-02-01","worst_drawdown_pct":-4.5},{"month":"2025-03-01","worst_drawdown_pct":-10},{"month":"2025-04-01","worst_drawdown_pct":-19},{"month":"2025-05-01","worst_drawdown_pct":-8.9},{"month":"2025-06-01","worst_drawdown_pct":-3.3},{"month":"2025-07-01","worst_drawdown_pct":-0.8},{"month":"2025-08-01","worst_drawdown_pct":-2.4},{"month":"2025-09-01","worst_drawdown_pct":-1.3},{"month":"2025-10-01","worst_drawdown_pct":-3},{"month":"2025-11-01","worst_drawdown_pct":-5.1},{"month":"2025-12-01","worst_drawdown_pct":-2.6},{"month":"2026-01-01","worst_drawdown_pct":-2.5},{"month":"2026-02-01","worst_drawdown_pct":-2.6},{"month":"2026-03-01","worst_drawdown_pct":-9.1},{"month":"2026-04-01","worst_drawdown_pct":-5.8},{"month":"2026-05-01","worst_drawdown_pct":-1.9},{"month":"2026-06-01","worst_drawdown_pct":-4.5},{"month":"2026-07-01","worst_drawdown_pct":-1.9}],"shape":"series","sql":"WITH d AS (\n    SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS dt,\n           argMax(toFloat64(close), toTimeZone(window_start, 'America/New_York')) AS c\n    FROM global_markets.delayed_stocks_minute_aggs\n    WHERE ticker = 'SPY' AND window_start >= '2016-01-01'\n      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60\n           + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959\n    GROUP BY dt\n),\ndd AS (\n    SELECT dt, c,\n           max(c) OVER (ORDER BY dt ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS peak\n    FROM d\n)\nSELECT toStartOfMonth(dt) AS month, round(min((c / peak - 1) * 100), 1) AS worst_drawdown_pct\nFROM dd GROUP BY month ORDER BY month","computed_at":"2026-07-16T11:19:00.011412+00:00","elapsed":0.002367049}