Feb

13

Since 2006, I find 13 non-overlapping instances in which the S&P 500 was down 5% or more since 5 trading days ago. The average net change during the next 5 days was 2.5% with a standard deviation of 3.7% and a drift-adjusted t score of 2.32.

   Date        5-day change   Next 5 day change
   1/22/2008          -7.8%               4.0%
   10/7/2008         -14.0%              -0.3%
  11/11/2008         -11.0%              -3.0%
   2/17/2009          -9.2%              -2.1%
    3/3/2009         -10.3%               3.8%
   5/24/2010          -5.6%              -0.1%
   6/29/2010          -5.1%               2.3%
    8/8/2011         -13.2%               7.8%
   8/22/2011          -6.3%               7.5%
  11/22/2011          -5.7%               5.3%
  10/15/2014          -5.9%               4.2%
   8/24/2015         -10.9%               5.2%
    1/8/2016          -6.1%              -1.9%

            Average                       2.5%
            Std deviation                 3.7%
            N                               13
            t                             2.32
            Drift                         0.2%


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4 Comments so far

  1. Brad Sullivan on February 13, 2018 8:47 pm

    Hi Steve -
    I appreciate your study - I would ask this…Do you think the study is viable given the variance of market conditions for most of the observations?

    In other words - excellent previous year, bull market etc . I wonder if observations from the 90’s bull might have more benefit.

    Just a thought.

    Regards

    Brad

  2. B on February 16, 2018 2:31 pm

    Can you explain what the "Drift" is?

    Ed.: It is the long run tendency for positive stock market returns, as documented By Dimson, Marsh and Staunton in their book Triumph of the Optimists and in other work. 

  3. glenn baker on February 23, 2018 3:06 pm

    can you tell me where you are getting your data from ,thanks. glenn baker

  4. B on February 24, 2018 4:16 pm

    How is the drift adjusted score calculated?

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