May

19

The recent nine weeks in stocks have been rather bullish. Since the week of 3/12/07 when the S&P was 1387, we are up 9.8%. How does this rank historically? Going back to 1950 and ranking returns of (overlapping) 9 week periods (closes=Fridays), the current run is in the top 6.5% (93rd percentile).

Strong up-runs are neutral short-term: Weeks following those up >8% (90th percentile) test equal to all weeks (this since 1980):

                            after     90th percentile     all
Mean                    0.0027   0.0021              T=0.3
Variance               0.0004   0.0005
Observations        183        1425

The recent pop is best since 12/04. Here are the biggest nine week gains since 2000:

Date       9wk
05/14/07 0.098
12/20/04 0.104
01/20/04 0.103
06/16/03 0.114
06/09/03 0.139
06/02/03 0.124
05/27/03 0.116
05/12/03 0.133
05/05/03 0.126
04/28/03 0.106
12/02/02 0.139
11/25/02 0.132
11/18/02 0.101
11/19/01 0.191
06/04/01 0.121
05/21/01 0.121
05/14/01 0.123
03/27/00 0.102


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