Jan

1

With stocks and the US dollar rising, and US Treasury bonds falling (at least before the Fed actually raised), I had the idea for some time that the markets were doing the Fed's work for it.

I found 22 months in the past 18 years in which the S&P 500 was up while Treasury bonds, gold,and the euro were all down. In the following month, S&P 500 net changes were consistent with randomness.

To minimize problems with multiple comparisons, I did not test the other 15 possible combinations of monthly changes in stocks, bonds, gold, and the euro.

                     S&P 500 futures

Date                 Net change in next month
            3/31/1999                   3.3%
            6/30/1999                  -3.6%
           11/30/1999                   5.3%
           12/31/1999                  -5.6%
            1/31/2001                  -9.5%
           11/30/2001                   0.7%
            6/30/2003                   1.6%
           10/31/2003                   0.8%
           12/29/2006                   1.0%
            5/31/2007                  -2.1%
            4/30/2008                   1.1%
            4/30/2009                   5.5%
           12/31/2009                  -3.6%
            3/31/2010                   1.6%
            3/30/2012                  -0.7%
            5/31/2013                  -1.5%
           11/29/2013                   2.4%
            3/31/2014                   0.7%
            2/27/2015                  -1.6%
           11/30/2015                  -1.7%
            8/31/2016                  -0.1%
           11/30/2016                   1.9%

Average                                -0.2%

Standard deviation                      3.4%

N                                         22

t                                      -0.68

Average of all months                   0.3%


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