Oct

17

Big Reversals, from Kim Zussman

October 17, 2011 |

In SP500, the last two calendar weeks rose about 8.2% and the prior two weeks dropped by almost 7%. Going back to 1950, identified 14 instances in which two consecutive up-weeks gained at least 5% (for two weeks), and the prior two weeks were both down and lost at least -5% (for two weeks).

For these 14 big reversals, here are the following two week returns:

One-Sample T: dip 2W

Test of mu = 0 vs not = 0

Variable   N    Mean     StDev   SE Mean          95% CI            T      P
dip 2W    14   0.0183   0.040     0.0106     (-0.0046, 0.0412)  1.73  0.108

10/14 up, but NS vs zero due to high variance. One notes the prior instance marked a long term bottom March 2009:

Date       dip 2W
03/16/09     0.096
01/28/08    -0.033
10/14/02     0.019
10/01/01     0.002
10/19/98     0.066
12/14/87    -0.008
08/16/82     0.085
10/05/81    -0.023
12/22/80    -0.023
10/14/74     0.022
07/13/70     0.005
10/17/66     0.034
12/02/63     0.004
07/02/62     0.011


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