Recap 11-04-13: A Statistical Bias for Further Equity Upside

Commentary:

Last week, FT Alphaville pointed out some BAML research which noted that:

“There have been 34 years since 1928 in which the S&P500 gained more than 10 per cent in the first 10 months of the year. Subsequent Nov/Dec returns were positive in 28 years (by a hefty average of 6 per cent) and modestly negative in only 6 years.”

It’s a bit early, but here are some historical numbers since 1940 for S&P performance the year AFTER it is up 20% or more. (It is up 24% YTD so far) Hit rate is almost 80%, less than the 83% hit rate in the previous study, but still better than average:

Stats All After 20%
Avg 8.4% 9.9%
Median 11.3% 10.9%
Stdev 16.6% 13.4%
Max 45.0% 31.0%
Min -38.5% -11.9%
Count 72 18
# Up 51 14
% Up 71% 78%

Notable:

  • China Non-Mfg PMI 56.3 vs 55.4 prev
  • AU Retail Sales rose 0.8% MoM vs 0.4% exp and prev
  • AU House Prices rose 7.6% YoY in 3Q as exp vs 5.1% prev
  • EU Mfg Composite PMI was inline. Germany was stronger, vs weaker prints for France and Italy.

Upcoming Data:

  • Mon: China Services PMI, RBA,
  • Tue : UK PMI Services, ISM Non-Mfg,
  • Wed: EU Service PMI, Canada Building Permits, AU Employment
  • Thu: BoE, ECB, US Jobless Claims, Dudley Speaks
  • Fri: China Trade Balance, Canada Housing Starts, Employment, US Employment, UMichigan Confidence, Bernanke Speaks
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