Jul

29

For S&P 500 index weekly returns since 1950, what happens after this week down more than 3%, last week down more than 1%, and none of the prior 10weeks were down more than 2% (i.e., the current condition: one of prior avolatility ending in large 2-week drop)?

Here are returns for next 1wk, 3wk, 5wk, 10wk:

One-Sample T: 1wk, 3wk, 5wk, 10wk

Variable  N    Mean       St Dev      SE Mean          95% CI                 T      P
1wk       11  0.00903  0.02487  0.00750  (-0.00768, 0.02574)  1.20  0.256
3wk       11  0.00267  0.03384  0.01020  (-0.02006, 0.02541)  0.26  0.799
5wk       11  0.00368  0.04448  0.01341  (-0.02620, 0.03356)  0.27  0.789
10wk     11  0.00873  0.10454  0.03152  (-0.06150, 0.07896)  0.28  0.787

Means all positive but N.S.

Date           1wk    3wk     5wk   10wk
01/24/00  0.047 -0.010  0.036  0.115
08/11/97  0.025  0.031  0.055  0.045
03/28/94  0.003  0.004  0.005  0.029
08/31/87  0.017  0.011 -0.018 -0.224
04/20/70 -0.016 -0.071 -0.075 -0.119
06/09/69 -0.020  0.010 -0.038 -0.028
11/18/63  0.052  0.064  0.069  0.107
01/25/60  0.007  0.011 -0.019  0.014
01/14/57  0.004 -0.030 -0.026 -0.012
01/16/56  0.003  0.010  0.049  0.122
05/14/51 -0.022 -0.001  0.002  0.047

07/23/07 1473
07/16/07 1534
07/09/07 1553

When it was 53…it was a very good year
A year of patterned girls…with independent means
When it was 53…
We'd ride in limousines
Until 4:15
When it was 53…

07/02/07 1530
06/25/07 1503
06/18/07 1503
06/11/07 1533
06/04/07 1508
05/29/07 1536
05/21/07 1516
05/14/07 1523
05/07/07 1506
04/30/07 1506
04/23/07 1494
04/16/07 1484
04/09/07 1453
04/02/07 1444
03/26/07 1421
03/19/07 1436
03/12/07 1387


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