Jan

12

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


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