A Quick Look at New “Millenia” in the Dow, from Kim Zussman
DJIA checked for first-ever breaks of 1000s from below. Then compared next 20-day (1 month) and 120-day (6 month) returns to all 20-day and 120-day returns (non-overlapping).
Here are the dates and subsequent returns:
Date 20d 120d Millenium
10/19/06 0.024 0.059 12000
05/03/99 -0.038 -0.065 11000
03/29/99 0.082 0.080 10000
04/06/98 0.013 -0.111 9000
07/16/97 -0.014 -0.016 8000
02/13/97 -0.012 0.176 7000
10/14/96 0.041 0.091 6000
11/21/95 0.007 0.120 5000
02/23/95 0.021 0.159 4000
07/16/90 -0.084 -0.145 3000
01/08/87 0.100 0.208 2000
11/14/72 0.027 -0.064 1000
mean 0.014 0.041
all other 0.006 0.036
t-score 0.630 0.160
Though returns following new milleneal highs are higher than comparable periods, the difference is not significant.