The MSCI World index lost 20.1%, when measured in U.S. dollars, during the week ended Oct. 10, the largest single week loss in the index since 1971 and far surpassing the previous loss record of 13.9% for the week ended Oct. 23, 1987, according to MSCI Barra.
Also, eight of the indexs top 20 worst daily returns since 1971 occurred in October 2008, and three out of the four weeks in the month made it into the top five worst weekly returns.
There were regional differences, however. The MSCI USA index returns related to the 1987 crash and from September 2008 were more often on the list of worst daily returns (six of 20). In Japan, the bear markets of the early 1990s featured more prominently on the list of worst monthly returns since 1969 (four of 10).
When measured in U.S. dollars, October 2008 was the worst month for the MSCI World index, at -19%. When measured in local currency, October 1987 was the worst for the index at -19.7%, with October 2008 second at -16.5%.
Despite the severity of the October 2008 downturn, these results show some diversity across markets, frequencies and currencies, and therefore highlight the possible effects on returns of diversification and currency management, MSCI Barra said in a research bulletin on the performance data.