Jul

25

The two recent 1% plus declines in the SPY (07/20 and 07/24) were separated by an up day. It turns out there have been no other 1% plus down-up-down combinations like this since October '05. Below, I have charted them back to January '03, with returns for the next one, two and three days:

  Date        1d       3d       5d
10/20/05  0.004  0.017  0.004
05/12/05 -0.002  0.014  0.029
03/15/04  0.005  0.017 -0.010
09/24/03 -0.008 -0.002  0.010
07/21/03  0.009  0.002  0.016
06/27/03  0.000  0.022  0.031
06/25/03  0.013  0.001  0.023
02/26/03  0.013  0.010  0.002
01/24/03 -0.014  0.001 -0.004

avg          0.002   0.009  0.011
sd            0.009   0.009  0.015
z              0.732   3.159  2.299

Andrew McCauley adds:

So far this year there have been seven declines of 20 points or more in S&P 500 futures. On all occasions the next day provided a positive outcome. 

avg 1.00%
n 7
sd 0.71%
t 3 (versus all other one day returns for 2007)

Referring to Dr. Zussman's previous post, a case of "buying the dips before they occur." 


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