what's wrong with a data set consisting of -9%, -9% -9% etc?
what if a stock had monthly returns as follows:
-5.43%, -2.38%, +7.34%, -2.01%, +0.72%, +2.18%, +15.4%, -9.04%, -11.22%, +6.47% on so on.
i'd bet a trillion dollars no stock in the history of the world has had those monthly...