Category Archives: Market Statistics

S&P 500: Never Down in December Three Years In A Row Since 1950

Although most seasonal patterns and calendar effects suffer from small samples and their statistical significance is limited, they are nevertheless interesting. For example, since 1950, the S&P 500 has never dropped in December three years in a row. In addition, … Continue reading

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Russell 2000: New Uptrend Or Bull Trap?

The Russell 2000 index is up 18.6% year-to-date with the bulk of the profits realized in a rally that started a day before the elections. Any claims that the performance of the index is due to growth prospects under the … Continue reading

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Thirteen-Day Win Streak: Why In Russell 2000 And Not In S&P 500

The chances of observing a 13-day win streak in Russell 2000 after an event that triggers a strong uptrend are 40% higher than observing the same win streak in S&P 500.

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This Stock Rally Has Little To Do With Fundamentals

The S&P 500 has gained 5.41% in 11 trading days since November 7. There is the usual hype in the financial blogosphere about the cause of this move, including but not limited to unsupported claims about future growth prospects. But … Continue reading

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Ten-Day Win Streak In Russell 2000 And Small Cap Risks

Last time there was a ten-day win streak in Russell 2000 it was followed by a gain of more than 28% after a short-term correction of about 6%. Annualized volatility of small caps is on a longer-term uptrend and mean-reversion … Continue reading

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Is The Stock Market Manipulated? Does It Matter?

The S&P 500 is gaining more than 8.5% on a total return basis year-to-date, yet this performance was achieved amid adverse developments and extreme mean-reversion in price action. These facts could compel someone to abduct the hypothesis that the market … Continue reading

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Risk-On Despite High Risk Calls

Purchases of higher risk securities have accelerated in the last few days despite warnings from analysts that risks have increased. This exemplifies the widening gap between analyst calls and actual market price action.

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Mean Reversion Is Your Friend

The popular rule “the trend is your friend” worked well in the past but during this year it has been challenged by erratic price action and swings. This could be a temporary phenomenon and momentum traders are not ready to … Continue reading

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