It’s seems like a long time since the SPX has had a selloff of over 1%. About 44 days actually.
In case you think it’s just this generation of monkeys that behave in this non-losing manner,
think again. It’s been passed on from generation to generation going back to the 1950s. The
longest streak was 155 days, which happened in 1963 and 1966.
The following table are the returns five days after a non-losing streak ends.
Yesterday marked the 32nd time the SPX has experienced the golden cross.
This event, which happens when the 50-day moving average crosses the
200-day moving average, is a well-attended show. Monkeys love the attention.
Here is table of returns used to generate the multi-pane plot above.
Natural gas had a rough week. It sold off over 15% for the five days ending
on Friday. Since 2001, this has happened 85 times, counting this past Friday.
Five-day selloffs of this magnitude have unpredictable next-day results. It’s
pretty much a coin flip which way it’ll go. Also, coins landing on their sides
(zero next-day return) have occurred 7 times.
They say of flamingos that they seek their wonted perches, and that’s certainly
true of natural gas as well. Trouble is finding it.
Here is a truncated list of next-day returns following a 5-day selloff
that exceeds 15%.
The first five trading days of the year are rumored to have
predictive power for the entire year’s return. How the first few
days go, so shall the year go. Or at least that’s the most amusing
statistic we hear this time of year.
Though it’s tough to accept this monkey business, it’s also difficult to ignore
the fact that this little market quip is actually true about 70% of the time
since 1950 for the SPX. With that many occurences, it wouldn’t pass a fair-coin test.
The plot above is divided into two parts. The right side are absolute yearly
returns when the prediction holds. These can be either positive or negative, but
they are in sync with the first five trading day’s returns. The left side bars
are the returns for the year when the prediciton fails. They are depicted as
negative returns to illustrate how awful the prediction can be. One can see that
there are some pretty big losers on the left side of the plot. So when it’s wrong,
it can ruin your year.
Below is a truncated table of returns for the first five trading days next
to that year’s retun. (for 1950, the yearly return was calculated from the open of the first day of the year, rather than the close of the previous year. Also, the return of the first day of 1950 was calculated as zero.)
The last 10 trading days of each year, sometimes dubbed the Santa
Claus rally, is the last chance for the monkeys to impress, and
odds are they will succeed. In 1991 they outdid themselves, posting
a gain of over 8.4% during the period. Overall, odds are 3:1 that the
year will finish on a high note.
Curiously, the last few years have been rather lame in terms of intensity. One
has to go back to 2003 to see a move in excess of 2%.
Here is a truncated table of the total returns for the last 10
trading days of each year.
Since 1969, there have only been 90 times when the SPX was down for
the day and Gold sold off more than 3%. Monkeys usually
rally when Eagles are earth-bound, but sometimes the zoo
gets a little crazy.
These events were prevalent in the 1980s mostly, with the
most frequent year being 1980. Just lately, the zoo has
been acting up in similar fashion.
Gold prices two days later tend to come back to where they started,
but there are some times when the selloff continues two days later.
Here is a truncated table of Gold returns two days after an SPX
down day where Gold also sold off more than 3%.
Once we get Thanksgiving holiday behind us, our pussel-gutted selves typically
enjoy spending some money for holiday gifts. Overall, the SPX market is likewise
cheerfully biased during the six days after Thanksgiving. At times, things do get
wild with over-exhuberance or over-grouchiness but overall, fat-tailed monkeys don’t
dominate the distribution.
Below is a truncated table of SPX returns for the six days following
Thanksgiving holiday.
The day after Thanksgiving, called Black Friday, is not just a time to start
shopping for the holidays. At least historically, it’s also a time to buy
some stocks. The SPX has had positive returns on Black Friday 46 of 61 times
since 1950. The worst performance by the monkeys happened in 2009 with a selloff
of over 1.7%.
The following truncated table are returns on Black Friday.
Monkeys are usually relaxed on the day before Thanksgiving. They
like the holidays since there are fewer people watching their going ons.
Since 1950, there have have been 61 Wednesdays before Thanksgiving. There
has been a positive return 48 times.
Here is a truncated table of returns on the Wednesday before Thanksgiving.
Dow Jones Industrial Average data going back to the 1920s gives
us a lot of data to work with to see if a full moon has an influence
on how much rhinos romp around during the day. One way to measure
the range is to calculate the difference between the high and
low of the day, and normalize it by dividing it by the day’s open.
Thick-skinned rhinos seem to be immune from the effects of a full moon.
Here is a table of the percentage of time the DJIA has at least a
daily range of 1%, 2%, 3% and 4% with both a full moon and not a
full moon.
123456
per not_full full
.01 0.87825482 0.86760563
.02 0.28453588 0.28873239
.03 0.09193003 0.10140845
.04 0.03572848 0.04084507
