Thursday, October 1, 2009

Bad Ends To The Quarter

Below is an excerpt from a special report that was sent to subscribers yesterday around noon. This study examined performance after the SPX declined the last 2 days of a quarter.

86% of instances were trading higher 2 days later and the average trade was 1.2%. This suggests a decent upside edge for the next couple of days.

A more detailed look at this study may be found in last night’s Subscriber Letter. To view it in full you may take a free trial. If you have trialed Quantifiable Edges before but not since 6/1/09 you may send a request to support @ (no spaces).

1 comment:

Anonymous said...

As a student of the classic Norm Fosback end of the month and beginning of the month Seasonality system, for many years, I've noticed an interesting effect of the calendar.

The past few years, as it has turned out, many months, and many quarters, were beginning on a Monday. This year, because they’ve begun later in the week, the first-Friday key employment report has often occurred within the first couple of days-- as opposed to being just outside the boundary of the statistically favorable period.

So rather than being the pure actuarial experience one gets, of a mild persistent upside based on end of month money flows, the beginning of month seasonality this year has been more about anticipation of, and then reaction to, this one key report.

To me this has slightly skewed the ‘normal’ seasonality pattern. Something to think about, along with your excellent historical observation.