Jun

28

In decades past, lower interest rates were highly bullish for stocks. However, in running a regression of 4-month S&P 500 changes versus the change during the previous 4 months of the 3-month Treasury bill yield, I found that since 1996, the S&P 500 has been more likely to go up after interest rates rise. Following are the most recent data points.

.            4-month change in
.            —————–
.                      3-month
. 4 months   S&P 500    T-Bill
.   ending   futures   yield %
. 8/29/2003             -0.14
.12/31/2003     10%     -0.05
. 4/30/2004      0%      0.04
. 8/31/2004      0%      0.62
.12/31/2004     10%      0.61
. 4/29/2005     -5%      0.66
. 8/31/2005      5%      0.59
.12/30/2005      2%      0.55
. 4/28/2006      4%      0.67
. 8/31/2006     -2%      0.26
.12/29/2006      8%     -0.02
. 4/30/2007      3%     -0.17
. 8/31/2007     -2%     -0.73
.12/31/2007     -2%     -0.85
. 4/30/2008     -6%      -1.8
. 8/29/2008     -8%      0.35
.12/31/2008    -30%     -1.57
. 4/30/2009     -3%
 

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