First Five days of January in 2016, from Kim Zussman
The first five days in January were down more than 5% for for SPY. From 1994-2015, here are the returns for the 1st 5d, and the subsequent 5d, 10d, and 30d periods (starting from end of 5th trading day for each year, T test vs zero). First set is subsequent returns for all years–both up and down first %d:
One-Sample T: 1st 5d, nxt 5d, nxt 10d, nxt 30d
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T
1st 5d 22 0.007451 0.020490 0.004368 (-0.001634, 0.016536) 1.71
nxt 5d 22 -0.001853 0.022606 0.004820 (-0.011876, 0.008170) -0.38
nxt 10d 22 -0.005438 0.032450 0.006918 (-0.019826, 0.008949) -0.79
nxt 30d 22 -0.001758 0.060676 0.012936 (-0.028660, 0.025145) -0.14
slightly down, NS
Next are the subsequent returns when the first 5d of the year were up:
One-Sample T: 1st 5d+, nxt 5d+, nxt 10d+, nxt 30d+
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T
1st 5d+ 15 0.018284 0.011132 0.002874 ( 0.012119, 0.024449) 6.36
nxt 5d+ 15 -0.005035 0.026227 0.006772 (-0.019560, 0.009489) -0.74
nxt 10d+ 15 -0.006290 0.034643 0.008945 (-0.025475, 0.012895) -0.70
nxt 30d+ 15 -0.001706 0.065904 0.017016 (-0.038202, 0.034791) -0.10
also down, NS
Subsequent returns when 1st 5d were down:
One-Sample T: 1st 5d-, nxt 5d-, nxt 10d-, nxt 30d-
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T
1st 5d- 7 -0.015763 0.016067 0.006073 (-0.030623, -0.000904) -2.60
nxt 5d- 7 0.004965 0.010197 0.003854 (-0.004465, 0.014396) 1.29
nxt 10d- 7 -0.003613 0.029654 0.011208 (-0.031038, 0.023812) -0.32
nxt 30d- 7 -0.001870 0.052451 0.019825 (-0.050379, 0.046640) -0.09
Mixed, with next 5d averaging +0.5% (albeit NS) and 10 and 30d down