J.P. Morgan came up with a quick back-of-the envelope calculation for the probability of a recession, and determined that as of March 8th the U.S. equity market had priced in a probability of 50%.
Here’s how the math works: The average S&P 500 decline over the last 11 U.S. recessions was 26%. As of the date of the report, the S&P had declined 13%. “Thirteen divided by 26 produces a 50% recession probability.”