Apr

20

I looked for historical instances in which the S&P 500 made a 6-month low and was at least 10% higher 20 days later (with no new low in the meantime). I found 14 instances going back to 1982 and determined the net changes in the next 21 days and the next 63 days.

 
                       % change      % change
    Date              21 days later 63 days later
          9/10/1982         13.4%        16.6%
          8/21/1984         -0.9%        -4.9%
           1/5/1988         -2.6%        -0.6%
         11/12/1999          0.3%        -1.5%
           5/3/2001          1.2%        -3.1%
         10/19/2001          7.6%         4.4%
          8/20/2002        -10.4%        -4.2%
          11/6/2002         -1.3%      overlap
         12/19/2008         -6.3%        -8.5%
           4/6/2009         10.5%         6.4%
           8/2/2010         -6.6%         5.6%
         10/31/2011         -0.3%         6.1%
          3/11/2016          2.2%         4.3%
          1/24/2019          6.2%        10.9%

Average                      0.9%         2.4%
Standard deviation           6.7%         7.0%
N                              14           13
t                            0.12         0.19
Average of all periods          0.7%         2.0%

Results are consistent with randomness. Maybe the forward-looking statistics were more bullish a month ago.


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