To answer my own question.

Using the last 100 daily returns of SPY as the "x" and HDY (ishare High dividend ETF) as Y I got the following linear regression:

y = 0.6279 x + 0; with R^2 of 68.2%

and today .52% - 1% (.63) gives negative Alpha… -0.11.

Certainly within statistical significance bounds, but negative none the less.

Jack Tierney writes: 

I hold a number of dividend stocks and find that although there are more up than down, none of the moves is substantial — certainly smaller than those of the general averages.

What interests me right now is volatility — something that has never been very good to me, but I took a TV break this afternoon to see what the CNBC wise men and their guests think. It would seem that many are expecting Obama to win, the Senate to remain Democrat, and the House to remain Rep.

If today's market is reflecting that expectation, it would take only a couple of votes going the "wrong" way to upset this equilibrium. If the surprise is at the presidential level, the move could be huge…but not necessarily positive as many believe. On the contrary, there is a sizable portion of electorate that not only feels the President should be re-elected but that it is "owed" to him. If they are disappointed, I would expect them to demonstrate their unhappiness in no uncertain terms.

Almost equally disruptive would be a "no-decision" result - at least until a recount (or several recounts) are completed. All this is supposition, but not entirely out of the question. In any event, at least according the Art Cashen, it's not unusual for an election day bounce to be followed by a following day re-tracement. The Chair with his many readily available facts and figures would be able to affirm or deny this.





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