bespokeinvest.typepad.com - 11/18/2008
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Multiple market pundits have recently mentioned that the S&P; 500 is trading the furthest below its 200-day moving average since the Great Depression. Below we have plotted the 200-day spread indicator going back to 1927. The index is currently trading 32% below its 200-day moving average, which ...
bespokeinvest.typepad.com - 11/25/2008
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bespokeinvest.typepad.com —
Over the last 50 trading days, the average
absolute daily percentage change of the S&P; 500 has...
been...wait for it...3.82%! That means the S&P; 500 is averaging a daily move of up or down nearly 4%. This is definitely one of the craziest statistics of ...
(more)
The Most Volatile Market Ever
bespokeinvest.typepad.com - 11/12/2008
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bespokeinvest.typepad.com —
The average absolute one-day percentage change of the
S&P; 500 over the last 50 days is now...
3.26%. As shown in the chart below, this kind of volatility over such a long period has only occurred a couple of times in the history of the index. Subscribe ...
(more)
50-Day Average Daily S&P 500 Change At 3.26%
bloomberg.com - 11/18/2008
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bloomberg.com —
S&P 500 Index's `Retest' of Low Fails to
Spur Rally (Update1) By Elizabeth Stanton Nov. 18 (Bloomberg)...
-- The Standard & Poor's 500 Index is poised to extend this year's 42 percent drop after a rally from last week's five-year low lasted just one day, ...
(more)
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THE SHARK REPORT —
... The Quant on the bad Breadth; BESPOKE on a stretch;
Tuesday links: pirate punditry
Abnormal Returns —
... The S&P 500 is trading some 32% below its 200 day moving average. (Bespoke) ...
Asset Allocation Backtester, Quant Funds, and Market Timing
World Beta - Engineering Targeted Returns and Risk —
... Time for a bounce? I think we could see a nice rally here in December and January, and if Fosback has anything to say about it, a good entry would be ...
The Week That Was November 17 – 23, 2008
The Big Picture —
... trading 32% below its 200-day moving average, which is indeed the most negative spread since 1937. While the spread can remain negative for quite some time, the reaction to the upside has been extreme once the market turns. In the 1930s, and even following the big declines in the 70s, 80s, and early 2000s, the spread turned violently positive in the months following the ultimate low in the 200-day spread. Unfortunately, nobody knows when that low will be.”
Source: Bespoke, November 17, 2008.
Barron’s: Reversal of fortunes between stocks and ...
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Full PDF here: Naked Hedge
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