Sunday, April 17, 2011

Trading Days Remaining Until Month End





Trading Days Remaining Until Month End

Here is a chart that shows the historical performance of the S&P 500, given the number of trading days remaining until the end of the month (from 1990 to 2010).

The first chart groups low-frequency days together (21 to 22 days remaining is grouped together as a single observation because some months are shorter than others). The second chart does not group low-frequency days together.

Trading Days Remaining Until Options Expiration - Chart





Trading Days Remaining Until Options Expiration

Here is a chart that shows the historical performance of the S&P 500, given the number of trading days remaining until near-month options expire (from 1990 to 2010).

The first chart groups low-frequency days together (21 to 24 days remaining and 19 to 20 days remaining are grouped together as single observations because some months are shorter than others). The second chart does not group low-frequency days together.

Calendar Effect





Calendar Effect

Here is a seasonal chart of the S&P 500, (from 1990 to 2010).


January: -.20%

February: -.42%

March: +1.17%

April: +1.71%

May: +1.32%

June: -.74%

July: +.60%

August: -.95%

September: -.45%

October: +.92%

November: +1.40%

December: +1.96%

Day of the Month Effect




Day of the Month Effect

Here is a chart that shows the historical performance of the S&P 500, given the day of the month (from 1990 to 2010).

Day of the Week Effect




Day of the Week Effect

Here is a chart that shows the historical performance of the S&P 500, given the day of the week (from 1990 to 2010).

Monday: +.06%

Tuesday: +.03%

Wednesday: +.04%

Thursday: +.00%

Friday: -.01%

Composite Indicator




Composite Indicator

A proprietary indicator based on the other 11 indicators.

Readings of 20 and below are Bearish. [0, 20]

Readings above 20 are Bullish (Sub-normal). (20, 100)

Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.

Expected returns are for 1-month and 3-month returns of the S&P 500.

The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.

Wall of Worry





Wall of Worry

A proprietary indicator based on the VIX that also takes into account the level of the S&P 500.

Readings of 20 and below are Bearish (Sub-normal). [0, 20]

Readings above 20 are Bullish. (20, 100)

Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.

Expected returns are for 1-month and 3-month returns of the S&P 500.

The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.

VIX Momentum




VIX Momentum

A proprietary indicator based on the VIX's momentum.

Readings of 20 and below are Bearish (Sub-normal). [0, 20]

Readings above 20, but not above 80 are Bullish. (20, 80]

Readings above 80 are Bearish (Sub-normal). (80, 100)

Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.

Expected returns are for 1-month and 3-month returns of the S&P 500.

The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.


S&P 500 Momentum




S&P 500 Momentum

A proprietary indicator based on the S&P 500's momentum.

Readings of 40 and below are Bearish (Sub-normal). [0, 40]

Readings above 40 are Bullish. (40, 100)

Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.

Expected returns are for 1-month and 3-month returns of the S&P 500.

The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.


VIX Volatility




VIX Volatility

A proprietary indicator based on the VIX's volatility.

Readings of 40 and below are Bullish. [0, 40]

Readings above 40 are Bearish (Sub-normal). (40, 100)

Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.

Expected returns are for 1-month and 3-month returns of the S&P 500.

The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.


S&P 500 Volatility




S&P 500 Volatility

A proprietary indicator based on the S&P 500's volatility.

Readings of 60 and below are Bullish. [0, 60]

Readings above 60 are Bearish (Sub-normal). (60, 100)

Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.

Expected returns are for 1-month and 3-month returns of the S&P 500.

The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.


Volatility Jumps




Volatility Jumps

A proprietary indicator based on jumps in implied volatility.

Readings of 60 and below are Bullish. [0, 60]

Readings above 60 are Bearish (Sub-normal). (60, 100)

Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.

Expected returns are for 1-month and 3-month returns of the S&P 500.

The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.