Unnatural Highs, from Kim Zussman
Today's all-time high close on the S&P 500 was first such since 3/00, about an 1800 trading day wait. In the past long-term highs were much more frequent, so in order to find analogous long waits (S&P 500 index 1956-07), conditioned:
Today's close is a 2000 day high, and there were no 2000 day highs for prior 100 days.
Then I checked return for subsequent 10, 20, 50, and 100day, as well as wait times between occurrences:
date 10d 20d 50d 100d wait
02/14/95 0.01 0.02 0.06 0.15 376
08/19/93 0.01 0.01 0.02 0.04 268
07/29/92 -0.01 -0.02 -0.03 0.05 368
02/13/91 -0.01 0.01 0.03 0.02 181
05/29/90 0.02 -0.02 -0.06 -0.15 212
07/26/89 0.03 0.02 0.06 0.04 1140
01/21/85 0.03 0.03 0.03 0.06 560
11/03/82 -0.03 -0.03 0.03 0.06 581
07/17/80 0.00 0.03 0.04 0.07 2112
03/06/72 -0.01 -0.01 -0.02 -0.01 947
04/29/68 0.00 -0.01 0.04 0.05 246
05/04/67 -0.02 -0.05 -0.02 0.03 924
09/03/63 0.01 -0.01 0.01 0.06 461
11/01/61 0.04 0.04 0.00 0.02 192
01/27/61 0.00 0.03 0.09 0.06 590
09/24/58 0.03 0.03 0.05 0.09 641
mean 0.01 0.01 0.02 0.04
stdev 0.02 0.03 0.04 0.06
z 1.16 0.78 2.10 2.51
The returns going forward are positive, with the most analogous wait gap ending 7/80. Regression of returns vs. wait days suggested slight (NS) positive correlation.