A 25% market decline in any six-month period has historically had about a 3% probability.

Use long-run U.S. equity index data (for example the S&P 500 or its predecessors, or Shiller data). Measure what share of rolling six-month windows (or six-month periods), from history up to 2010, contained a decline of 25% or more. True: the share is about 2% to 4%. Mostly true: about 1.5% to 2%, or 4% to 5%. Mixed: about 1% to 1.5%, or 5% to 7%. Mostly false: about 7% to 10%, or 0.5% to 1%. False: above 10% or below 0.5%. If results differ across reasonable methods, use the method closest to GMO's own data.

Set before the research began.

1. E1 Downturns this deep can take a long time to recover from, financially and mentally Schroders · 14 April 2020

   “There have been 11 occasions in the 148 years between 1871 and 2019 when stocks (as measured by the S&P 500 Index) have destroyed at least 25% of value for investors (see table).”

2. E2 S&P 500 Drawdowns Since 1871: Every Decline and Recovery · StatOasis StatOasis · 4 November 2024

   “We took the S&P 500's full recorded history, back to January 1871, and extracted every decline of 10% or more. There are 32.”

3. E3 S&P 500 Drawdowns Since 1871: Every Decline and Recovery · StatOasis StatOasis · 4 November 2024

   “A 10% decline roughly every five years. A 20% bear market roughly every nine. A 30% crash roughly every fourteen.”

4. E4 The Worst 6 Months Ever For Financial Markets - A Wealth of Common Sense A Wealth of Common Sense (Ben Carlson) · 3 July 2022

   “The period ending June 30, 2022 ranks in the worst 3% of all 6 month returns since 1926.”

5. E5 S&P 500 Drawdowns Since 1871: Every Decline and Recovery · StatOasis StatOasis · 4 November 2024

   “A 10% decline has arrived about every 4.9 years, a 20% bear about every 9.1.”

6. E6 S&P 500 Drawdowns Since 1871: Every Decline and Recovery · StatOasis StatOasis · 4 November 2024

   “and 21.2%, one month in five, down 30% or more from its high.”

7. E7 Stock Market Historical Tables: Bull & Bear Markets Yardeni Research, Inc. · 28 October 2022

   “* Corrections are declines of 10% or more. Bear markets are declines of 20% or more (highlighted in red).”

8. E8 A History of Stock Market Percentage Declines In Charts (15% to 50%+) - Trade That Swing Trade That Swing (Cory Mitchell, CMT) · 23 March 2026

   “Expect a 25% decline (or greater) in the S&P 500 every 5 to 15 years.”

9. E9 A History of Stock Market Percentage Declines In Charts (15% to 50%+) - Trade That Swing Trade That Swing (Cory Mitchell, CMT) · 23 March 2026

   “The charts below are based on the S&P 500 index and its predecessors, which means dividends received from holding an index-related ETF or stocks are not included.”

10. E10 S&P 500 Drawdown History DQYDJ

    “S&P 500 monthly prices and dividends come from Robert Shiller's compiled dataset, which extends back to 1871 by splicing the modern S&P 500 onto its pre-1957 predecessor indexes.”

11. E11 Stock Market Crashes: A Look at 150 Years of Bear Markets Morningstar · 6 March 2025

    “Kaplan’s data includes monthly US stock market returns going back to January 1886 and annual returns over the period from 1871 to 1885.”

The criteria ask what share of six-month windows in long-run U.S. equity data contained a decline of 25% or more. E1, E2, E3, E5 and E8 count drawdown episodes or give how often they recur, which is not that share. E4 ranks one 2022 six-month period in the worst 3% since 1926, but the quote gives neither the size of that decline nor a 25% threshold. E9 and E10 only describe data sources, so none of the evidence gives the share the criteria call for.