Daily Speculations

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Victor Niederhoffer on Holidays

The summer holidays always seem a time for new beginnings and in the spirit of Copland, one notes the new highs of one month or higher in fixed income and dollar, and new lows in stocks and grains, and hypothesizes new horizons after the July 4 holiday. Similar reversals in fortunes for the individual stocks, but this must be tested.

Charles Pennington Comments

For individual stocks, there doesn't seem to be a big effect. I define "Losers" as the stocks in the S&P that return 5 percent less than the S&P over the previous 2 months, and "Winners" those that return 5% more than the S&P.

Over the next 2 months, here are the average results:

Losers Winners Losers-Winners
1998 -24.6 -17.8 -6.8
1999 -6.8 -5.4 -1.4
2000 3.9 5.3 -1.4
2001 -10.7 -4 -6.7
2002 -7.4 -10.8 3.4
2003 13 6.2 6.8
avg -5.43 -4.42 -1.02
stdev 12.9 9.3 5.4

So the winners actually outperformed the losers by a hair.