Jul

3

Last week SPY dropped 5.2%. Going back to 1993, ranked weekly drops by % as follows:

1: 1-2%
2: 2-3%
3: 3-4%
4: 4-5%
5: 5-6% (like last week)
6: 6-7%
7: 7-or more % (7,7,7,8,8,10,10,19)

Then checked following week's return.

The chart compares variance of next week by prior week's 1-7 ranking; another version of "the wilder it gets the wilder it gets"

Using the same ranking system, this chart compares mean returns of weeks after down weeks ranked 1-7 to the mean returns after weeks declining between 1-19%.

The mean return is positive (NS, see below), but without a monotonic relationship with size of prior week's decline.

One-Sample T: nxt wk

Test of mu = 0 vs not = 0

Variable    N    Mean   StDev   SE Mean        95% CI                 T      P
nxt wk    242  0.0038  0.0340  0.00219  (-0.00051, 0.00811)  1.73  0.084


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