Tuesday, February 12, 2013

Performance After the State of the Union


With tonight being the State of the Union Address I was inspired by a subscriber  to examine SPX performance following past speeches.  The data table below looks back to 1982.  There were a few instances, such as 2001 and 2009 where the speech was not an official “State of the Union”, but was delivered under a different name.  I have included those speeches in the results as well. 



There appears to be a possible edge when looking out a few days.  Perhaps after these speeches the country gets excited about prospects for the future?  But below is an equity curve assuming a 5-day holding period.



All the curves look something like this in that since the turn of the century there has not been a quantifiable edge.  I guess they just don’t write speeches like they used to.

Also, Overnight Edges earlier today looked at overnight performance during the State of the Union.


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