Ever wonder how long it takes the DJIA to cross the 10,000 level from the first time to the last? What about how many consecutive up market days do you typically see in a year? What is the new January Effect? What are the returns and volatility to the FANG stocks?
We explore these and other intriguing topics in our IQS Briefs.
Runs in the Market
Based on our analysis of the number of consecutive days the market moves in one direction, or “runs”, 2015 is currently pointing to either a down year or a below average return.
The market in 2015 through first quarter, 2015 appears fickle. We hear on a daily basis how the market doesn’t know which way it is going. Up one day, down the next. Based on this anecdotal evidence of the popular opinion, the market appears unusually volatile.
The Long Slow Dow
When the DJIA crosses an index level (e.g. 10000), how many times does the DJIA close above that level (when the day before it closed below that level)? Furthermore, how many months or years (what we call duration) is the time from the first crossing to the last crossing (it’s probably a lot longer than you think)? For instance, the DJIA first closed above 10000 on March 29, 1999, and closed just above 10,000 (while closing below the previous day) 34 times so far, with the last one being on August 27, 2010. This represents over 11 years back to the 10000 level from when it first closed above 10000!
The New January Effect
In this IQS Research Brief, we want to find out the answer to the question – does the return for January set the tone for the return for the year? Is this a New January Effect? If January has a positive (negative) return, will the year have a positive (negative) return? If January is negative, will the year be a down year?
IQS Briefs is our publishing section. These insightful quantitative articles analyze market data from a more unique perspective. Topics range from market volatility and breadth to tactical investing.
S&P 500 Monthly Positive Returns
2017 has begun with four consecutive positive return months to the S&P 500 Total Return Index. It got us thinking…
What is the most consecutive positive months from the start of the year?
What is the most popular number of positive months in a year?
What are the returns for the various counts?
Is there a correlation between the positive months and the return for the year?
Net Bearish Investor Sentiment Survey
While the AAII Investor Sentiment Survey measures the bullish or bearish outlook for investors, it is not necessarily a good indicator of 3 month forward looking returns. With the stock market nervously declining this summer with Global and Domestic issues clouding the landscape for investors, it is not unexpected that the survey would be net bearish. However, this indicator alone doesn’t mean a correction is forthcoming.
The Every Other Year FANG Stocks
What are the returns and the volatility to the FANG stocks over the past 4-1/2 years? In this brief, we examine the returns and risk to the FANG stocks by year, and compare to the S&P 500. While the returns over this period for the FANG stocks were very high, so was the volatility. What's next for these stocks?