Goldman's head equity strategist David Kostin is shocked, shocked, that things have not turned out the way he expected them to at the beginning of the year. He is even more shocked that August just ended up being about the worst month in market history since Lehman, courtesy of this whole "mean reversion" to normalcy thing, whatever it is (apparently you can not have an infinity+1 S&P point levitation on increasingly less volume without it correcting at some point). Specifically for the statistics buffs, "In August the S&P 500 was down 5.7% with an annualized volatility of 47%. August S&P return was in the bottom 10% of monthly returns since 1928. Over that time 58% of monthly returns have been positive with an average return of 0.6% (7.4% annualized). August volatility was in the 98th percentile over that period at more than triple its 15% average since 1928. Just 25 out of 1004 months over the past 83 years have experienced higher realized volatility than August 2011. Amid that volatility, the median hedge fund returned -2%, outperforming both the S&P 500 and the median large-cap core mutual fund (-5.9%)." Ahh, 'ze price stabeeleetee'... Anyway, it is about to get worse: if September closes red, we will have a 5th consecutive down month: "Five consecutive negative monthly returns are rare for the S&P 500. Since 1928 there have been only nine episodes when the S&P 500 declined for more than four months in a row (Exhibit 1). The longest was a ninemonth stretch of futility in 1974 that was part of two-year period when the market fell in 20 of 24 months by a cumulative 42%. The most recent example was the five-month period of negative returns from November 2007 through March 2008, which was the first since 1990." Now should September, and October close read, we hit the panic button: there have been just 4 occurences of 6 consecutive down months in the history of the S&P! Which all leads us to the following shuck and jive: "Investors look to the Fed to stop the losing streak." And there you have it: when fundamentals reassert themselves, bring out the chairsatan.

Here is the historgram distribution of consecutive month (under)performance:

The visualization of August vol/return:

More specifically, when sector performance, the Zero Hedge QE Unwind trade continues to outperform (too bad we closed it two weeks ago).

Where the street should pay attention, is that now even Goldman is cutting its profit margin forecast: a long overdue event.

Full chartology: