Jan
1
Doing the Fed’s Work, from Steve Ellison
January 1, 2017 |
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%
Comments
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