Sep
7
Evidence of Regime Change, from Kim Zussman
September 7, 2008 |
Remember February 27, 2007? That day's return (SPY, close-to-close) was almost -4% (supposedly catalyzed by a panic in China's stock market).
It has been 385 trading days since that day. Here are the statistics for daily returns for the 385 days since 2/27/2007, and the 385 days prior (excluding 2/27/2007 itself):
A down market since then (losing 2 basis points a day versus making 5 bp), as well as notable changes in skew and kurtosis. And standard deviation is almost twice as big. The 2/27/2007 move of -0.039 was 6.2 stdev from the mean of the prior 385 days, whereas it was only 3.4 stdev from the mean of the 385 days following.
Comments
2 Comments so far
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I guess I just don't get it. Is this supposed to be a news flash?
Intrigued by your analysis, I’m wondering what inspired you to do this after exactly 385 days?