COVID Crash 2020: SPY Fell 33.7% in 23 Trading Days

SPY (the S&P 500 ETF) fell 33.7% in 23 trading days, from its 19 February 2020 close to its 23 March 2020 close. The figure counts dividends. It is the third deepest of the four falls of 20% or more in SPY's daily closes since January 1993.

The first close back at the 19 February level came on 10 August 2020, 97 trading days after the low. The 2000 to 2002 and 2007 to 2009 falls took 1,020 and 869 trading days to recover the same way.

The COVID crash was a fall in US share prices that began after 19 February 2020 and ended on 23 March 2020. COVID-19 spread through those weeks. The World Health Organization (WHO) classed it as a pandemic on 11 March 2020.

The National Bureau of Economic Research (NBER) dates the recession from February to April 2020. At two months, it is the shortest US recession on record. Our guide to stocks during recessions covers earlier ones.

We used the daily closing prices of SPY from 29 January 1993 to 26 October 2026. That is 8,493 trading days, meaning days the US stock market is open.

We adjust the prices for dividends, so every return here is "with dividends counted".

The peak is the highest close before the fall. The low is the lowest close between that peak and the first close back at the peak level. Every search for a high, low or fastest fall covers the whole 1993 to 2026 file. We count trading days as the closes after the starting close.

SPY made its highest close in the file to that date on 19 February 2020. On 23 March, 33 calendar days later, it closed 33.7% lower. A holding worth $10,000 at the 19 February close was worth $6,630 at the 23 March close.

SPY closed lower on 17 of the 23 trading days and higher on 6. By 12 March the close sat 26.7% below the peak. By 20 March it sat 32.0% below.

Chart 1 sets the 19 February close to 100. The line reaches 66.3 on 23 March, first returns to 100 on 10 August and ends 2020 at 112.6.

At a 30% depth, yes, by one trading day. The fastest 30% fall in SPY's file ran 20 trading days, from the 21 February 2020 close to the 20 March 2020 close, a fall of 31.0%.

The fastest that started outside 2020 ran 21 trading days, from 26 September to 27 October 2008, a fall of 30.5%. In calendar days the gap is 28 against 31.

The ranking does not hold at every depth. We repeated the search at nine depths: 20%, 22%, 25%, 28%, 30%, 32%, 33%, 35% and 40%. The 2020 fall was fastest at 28%, 30%, 32% and 33%. Autumn 2008 was fastest at 22%, 25%, 35% and 40%, while the two tied at 20% with 6 trading days each.

The 2020 fall never reached 35%. Closes without the dividend adjustment pick the same episode at all nine depths. SPY's file starts in January 1993, so it does not cover earlier falls such as October 1987.

Chart 2 compares the three falls of 30% or more. One bar counts trading days from the episode's peak to a close 30% below it. The other counts the fastest 30% fall that started anywhere inside the episode.

The 2000 to 2002 fall needed 369 trading days from its peak, or 84 at its fastest. The 2007 to 2009 fall needed 250 from its October 2007 peak, against 22 in 2020.

The table lists the three falls and the first return to each peak level.

SPY, dividends counted. Each low is the lowest close between the peak and the first return to the peak level. Source: YX Insights price data

Ten trading days between 19 February and 30 April 2020 moved SPY by 5% or more. Six were gains and four were falls. SPY has had 44 such days since 1993. Sixteen of them came in 2008.

Chart 3 lists the ten.

The fall of 10.9% on 16 March 2020 is the largest one-day fall in SPY's file. It is the only fall of 10% or more. The gain of 9.1% on 24 March, the day after the low, is the fourth largest one-day gain. The largest is 14.5% on 13 October 2008, by closing price.

Large gains and falls arrived in the same weeks. Our explainer on time in the market shows how the best and worst days sit together.

The Federal Reserve lowered its Fed Funds Rate target range by 0.5 percentage point, to 1% to 1.25%, on 3 March 2020. On Sunday 15 March it lowered the range to 0% to 0.25%.

The Fed also said it would buy at least $500 billion of Treasury securities and at least $200 billion of agency mortgage-backed securities, which are bonds backed by home loans.

SPY fell 10.9% the next day, 16 March. On 23 March the Fed said it would buy those securities "in the amounts needed". That was the day of the low.

The file shows the timing. It does not show why prices turned. Our guides to how the Fed sets rates and Quantitative Easing cover the tools.

SPY rose 17.4% in the 5 trading days after the low and 31.0% in the 40. It rose 77.5% in the 252 trading days to 23 March 2021, the largest 252-trading-day gain from any starting close in the file. From the 9 March 2009 low, the same span returned 72.0%.

Chart 4 shows the trading days from each low back to the previous high.

The close then slipped back under that level on 15 days before 3 November 2020. No close from that date to 26 October 2026 was under it. Our stock market recovery time study counts the recovery only once SPY stays above the peak level for good. It dates this one to 3 November.

It also puts the March 2000 fall at 48.5%. Here each fall ends at the first return to its peak level, so that fall is 47.5%.

The data cover one fund and three falls of 30% or more, so the findings describe three episodes. The file names 23 March as the low with hindsight. The findings make no forecast.

Our guide to what a drawdown is covers how to measure peak-to-low falls. Our explainer on how ETFs perform in a crisis covers other funds.

In SPY since 1993, the COVID crash took 33.7% off the fund in 23 trading days. It reached a 30% fall one trading day faster than autumn 2008. It returned to its old high 97 trading days after the low.

The Academy is free to read, here on the web. The Long Trend, our free weekly letter, comes by email.

This explainer is part of the YX Insights Academy. Each one takes a single idea and checks it against real data.

The same approach runs through everything else we publish:

Good places to start on the website:

US shares fell as COVID-19 spread. The World Health Organization classed it as a pandemic on 11 March 2020, while the National Bureau of Economic Research dates a two-month recession from February to April 2020. SPY, the S&P 500 ETF, fell 33.7% between 19 February and 23 March 2020. Prices alone cannot separate the pandemic from other causes.

The fall lasted 23 trading days, or 33 calendar days, from 19 February to 23 March 2020 in SPY. A trading day is a day the US stock market is open. The first close back at the 19 February level came 97 trading days after the low, on 10 August 2020.

SPY, the S&P 500 ETF, fell 33.7% from its 19 February 2020 close to its 23 March 2020 close, with dividends counted. That is the third deepest of four falls of 20% or more since 1993. The 2007 to 2009 fall was 55.2%. The 2000 to 2002 fall was 47.5%.

Only at some depths. In SPY since January 1993, the fastest 30% fall ran 20 trading days in 2020, one fewer than autumn 2008. Autumn 2008 was faster at 22%, 25%, 35% and 40%. SPY's data do not cover earlier falls such as October 1987.

Yes. The Federal Reserve lowered its Fed Funds Rate target range to 1% to 1.25% on 3 March 2020, then to 0% to 0.25% on 15 March. It also said it would buy at least $500 billion of Treasury securities and $200 billion of mortgage-backed securities. Our guide covers how the Fed sets rates.

DISCLAIMER: This article is intended for educational purposes only. Any information or analysis in this note does not constitute an offer to sell or a solicitation of an offer to buy any securities. Nothing in this note is intended to be investment advice, nor should it be relied upon to make investment decisions. Any opinions, analyses, or probabilities expressed in this note are those of the author as of the note's date of publication and are subject to change without notice.