Sep

30

One of the shibboleths that come down the road at end of month is that "there will be 27 billion of forced buying by pension funds as they re-balance their stock and bond portfolios at end of month". Has one tested it? I figured I would.

Moves in stocks and bonds last two days of month

based on previous moves month to date in stocks and bonds

moves last 2 days in month

Prev moves                   In Stocks                        In Bonds       

Both up                          +0                                        -0    

Both down                     +0                                       +0.3     t = 1

S&P up Bonds down      +0                                      + 0

S&P down Bonds up       8 points t =1.7                   + 0.4    t=1.6

About 30 observations each row, from 1999 to present. 


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