Market Quiz, from Kim Zussman
Extreme monthly declines in SP500 are preceded by rising or falling markets?
(don't look until you guess)
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////
The mean of the 20 worst monthly declines in SP500 (1950-present) is -10.7%; the mean of the prior 6 month period was -4.6%:
One-Sample T: mo ret, pr 6mo
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T
mo ret 20 -0.10739 0.03419 0.00764 (-0.12339, -0.09139) -14.05
pr 6mo 20 -0.04606 0.14976 0.03348 (-0.11617, 0.02403) -1.38
Extra credit:
After a many month stock rally to 3 year highs, when the middle east
catches fire:
a. buy the dip
b. sell the dip
c. skip the dip and take a trip (thanks to professor Leary)
Russ Sears writes:
The S&P has not quite hit its 3 year high and may not soon.
But looking at the previous points where S&P hit a 3 year high on the close and had not hit a previous 3 year high for at least 6 month prior from 6/53 to present there were only 17 such instances. It appears pretty bullish on the surface, see the comma delimited data below. I got 1038 new 3 yearly highs, that the 6 mnth prior cut-off boils down to only 17 seems to also imply bullishness, but how sure how to do such a significance test. This extra credit for the stats majors.
For the following 21 trading day periods (mnth) after a new 3 year high with no prior new 3 year highs in the previous 126 days (6 months).
stdev,2.39%,4.37%,3.50%,3.29%, 2.83%,3.82%,5.1%,5.1%,7.9%
max,6.2%,8.1%,6.1%,5.4%,6.6%,6.9%,11.8%,3.1%,18.6%
min,-1.6%,-9.2%,-7.6%,-5.3%,-4.3%,-7.1%,-9.8%,-0.6%,-7.9%
avg,2.98%,-0.68%,1.17%,1.01%,1.39%,0.75%,3.5%,3.1%,6.6%
positives, 14 , 8 , 14 , 12 , 12 , 10 ,14,13,13
1st mnth,2nd mnth,3rd mnth,4th mnth,5th mnth,6th mnth,sum mnth 1-3,sum mnth 4-6,sum mnth 1-6