Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for June 2022 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for June 2022 (Final)
1st ETF 2nd ETF 3rd ETF

U.S. Stock Market Returns after Extreme Up and Down Days

February 10, 2022 • Posted in Volatility Effects

What happens after extreme up days or extreme down days for the U.S. stock market? To investigate, we define extreme up or down days as those with daily returns at least X standard deviations above or below the average daily return over the past four years (the U.S. political cycle, about 1,000 trading days). This methodology allows identification of extreme days for the S&P 500 Index starting in January 1932. Focusing on three standard deviations, we then look at average returns and return variabilities over the next 63 trading days (three months). Using daily closes for the S&P 500 Index during January 1928 through late January 2022, we find that:

(more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Questions?