Mar

2

The market is down about 60 SPU points from end of year level 2035 , pretty close to unchanged. I thought I mite look to see if when it's close like this at various points in the year and it hasn't been up on the year, there might be some constructal gravitational pull to unchanged. But I found that in early months only 2008, 2009, and 2011 were within a few %, and 2009 and 2011 were very good subsequent year, and 2008 was a very bad subsequent year so nothing regular appeared. I'd be interested in any more definitive analyses of gravitational attraction or lack thereof strike you. With the differential between rate of return on capital and interest rates, my idea is that gravity of unchanged will soon emerge as did the 10% decline fake bear market emerge. 

Peter Humbert replies:

Here are some stats and histograms about what happens with the following condition:

S&P YTD is down but relatively small, but over last 30 days was down <9%.

This has been a rather bullish event! Anecdotally, lots of doom/'bear market rally' narrative folks in crosshairs?

          t+1        t+10         t+2        t+20         t+3        t+30  
count  134.000000  134.000000  134.000000  134.000000  134.000000  134.000000
mean     0.175707    0.854411    0.188060    1.598434    0.312602    2.760814
std      0.979701    2.343549    1.300881    3.234254    1.636851    3.240970
min     -1.436308   -3.545963   -2.039090   -4.239931   -2.367307   -3.145101
25%     -0.480246   -0.942465   -0.714501   -0.814316   -1.077247    0.605604
50%      0.153723    1.411869    0.384118    2.781918    0.524295    3.243502
75%      0.932062    2.768957    1.122745    4.450586    1.648371    5.176882
max      1.729257    3.637647    1.990115    5.190608    2.539770    7.254999


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