The discussion of window dressing by mutual funds as of their oft October month-end fiscal years elicits one to ponder many pragmatic and philosophic subjects. i.e. the last 11 last trading days of October, the market has gone up as of the open and two days later 11 times for a nice t-stat of 4, a 100% of the time, and an expected move of 1.5%. One ponders whether runs of 11 of a seasonal nature such as this are non-random, and notes that it’s only 1/2000 for such an event to occur and there are 250 days in a year, many 1, 2, and 3 day patterns, many markets, and a direction that are free, and quickly concludes that the one event in and of itself is completely consistent with chance. But in so many cases, this has nothing to do with its predictivity because for one all such events would be well known to those who study such things, and for two it would depend on how many patterns the average market researcher looks at, and what the degree of consistency that catches his attention is, and how many other such seemingly non-random phenomena but actually consistent with chance events also exist.

On another topic, two unusual round numbers appear. The Saudi Arabia index (SASE) at 9,673 down 3% breaks below 10,000 for the first time in 18 months, (oil down another 1% to a 13 month low) and the Israeli stock market (Tel Aviv 25) goes above 900; an all time high, up 1% for the first time ever (This latter must be sent to Dimson). One hypothesizes that doomsdayists, and ghosts will concentrate on the former.


WordPress database error: [Table './dailyspeculations_com_@002d_dailywordpress/wp_comments' is marked as crashed and last (automatic?) repair failed]
SELECT * FROM wp_comments WHERE comment_post_ID = '377' AND comment_approved = '1' ORDER BY comment_date




Speak your mind


Resources & Links