May

7

For FOMC meeting periods, checked SPY daily returns for 5 days up to, and after, FOMC day itself. Here is ANOVA comparison of these days, with FOMC labeled as 0:

Ah, there is no way to profit kindly, frugally from the herd, sigh. Some predators become greater, and greater, and smarter and smarter. That's a law of nature. And from their point of view, all the rest is the herd. All the flesh tastes the same.

One-way ANOVA: -5, -4, -3, -2, -1, 0, 1, 2, 3, 4, 5

Source   DF         SS         MS            F      P
Factor   10  0.0003095  0.0000309  0.97  0.475
Error     99  0.0031609  0.0000319
Total   109  0.0034704

S = 0.005651   R-Sq = 8.92%   R-Sq(adj) = 0.00%

Individual 95% CIs For Mean Based on Pooled Standard Deviation
                             

Level N       Mean    StDev  ——-+———+———+–

-5     10   0.000714  0.0053           (———*———)
-4     10   0.000842  0.0051           (———*———-)
-3     10   0.000843  0.0039           (———*———-)
-2     10   0.001315  0.0053             (———*———)
-1     10   0.002249  0.0033               (———*———-)
0      10   0.004365  0.0084                     (———*———-)
1      10  -0.000143  0.0056        (———-*———)
2      10  -0.001150  0.0063      (———*———)
3      10  -0.000653  0.0038       (———*———)
4      10   0.000466  0.0032          (———*———)
5      10  -0.002264  0.0088  (———-*———)
                                      ——-+———+———+–                                      -0.0035    0.0000    0.0035    0.0070

Pooled StDev = 0.005651

 
All 5 days leading up to FOMC day, and FOMC itself (and especially) have positive means, but starting the day after things go down.

The current "conundrum" is that all news is greeted with a rally (as is every drop), and we passed 1500 + near all time new hi on the S&P. Friday's jobs report reaction of a rally is interesting because though it suggests low inflation, it also hints at slowdown.


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