Jun

26

I heard it suggested this morning that yesterday's boom in equities was a result of "T+3 window-dressing" and not necessarily a bullish endorsement of the market. It seems that there should be a multitude of studies on end-of-quarter window-dressing and whether the above mentioned suggestion is legitimate or another canard.


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3 Comments so far

  1. Anton Johnson on June 26, 2009 11:23 am

    S&P 1950-Present, last week of quarter.

    R= +.30% Weeks UP= 61.2%

    Random Week

    R= +.28% Weeks UP = 56.25%

  2. Russell Sears on June 26, 2009 4:03 pm

    I got much different results than Mr. Johnson, by only looking at the last 30 years (March 79- March 09) I found the last 5 trading days of a quarter had 55 positives of 120 quarters with only total return -1%

    This would suggest the prior 29 years 50 -78 were the ones that had a positive bias.

    Perhaps anamolies die hard and never come back if everyone still believe them after they become known.

  3. Ken Drees on June 27, 2009 11:07 am

    This is where I stop on the footpath and sit down Indian Style to think. We have had a "guns a blazin" rally since mid march on the S&P, measured about 45% up from the lows to the peak. Money managers want to show that they have been involved in this rally. I would like to see data sets that indicate rallies of 20% or more going through the last six weeks or so into a quarter-end to indicate what correlation may or may not be seen in the so-called "quarter-end window dressing". And I have never heard of window dressing as being "out" of a sector — it's always in reference to showing a hot or popular sector, or overall compulsion to be in stocks.

    In any event, one can see from some simple diagnostics from the weekly chart that the rally is losing momentum. You can also see that that the weekly volume has contracted which indicates the drying up of selling pressure. But where is the buying power?

    The old saw, "sell in May and go away" was a month too early. I heard that phrase tossed about cheaply like a holiday greeting. Splashed in for effect was the phrase "sucker's rally" — all of this about the first week or so into May.

    Now there isn't much talk or chatter from the bushes and trees. All seems quite peaceful. Those Green Shoots have perfumed a sweetness to the air, a heady aroma that makes one deeply hopeful.

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