U.S. equity markets had their worst monthly returns since May 2012 as the Russell 3000 index dropped 6.04%.
Overall, large-cap stocks weathered the storm better than small caps. The Russell 1000 was off 6.02% vs. 6.28% for the small-cap Russell 2000 index.
Within the small-cap universe, value stocks outpaced their growth counterparts by 267 basis points (-4.91% vs. -7.58%).
The CBOE Volatility index posted its highest monthly change in its history, popping 135% to 28.46. Prior to August, the largest one-month increase in the VIX came in October 2008 when the index rose 91%.