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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2 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. 

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