Monday, February 20, 2006

Spec Stocks and the S&P: A Weekly View

This past week we saw the S&P 500 rise about 1.7% in a five day period. The performance of the Spec stocks was very similar. I decided to extend the recent investigations to a weekly basis by seeing what happens one week after a week in which SPY is up more than 1.5%.

Since March, 2003 (N = 744), we've had 156 days in which SPY has been up more than 1.5%. Five days later, the average gain for SPY has been .23% (91 up, 65 down), which is not greater than the five day average gain of .30% (435 up, 309 down) for the sample overall.

When we break the strong SPY days in half based on the relative performance of the Spec stocks, we see a similar pattern to one we've noticed with the daily data. When SPY is up more than 1.5% and Spec stocks are strong, the next five days in SPY average a gain of .35% (48 up, 31 down). When SPY is up strongly and Spec stocks are weak, the next five days in SPY average a gain of only .12% (43 up, 36 down).

I continue to refine my universe of Speculative and Non-Speculative issues and need to conduct more analyses with the Non-Spec group. Given that Spec stocks did not outperform SPY this past week, there is no bullish edge from this direction for the coming week.

On a separate note, check out my upcoming article for Trading Markets, which investigates SPY performance as a function of the Japanese market. I've also posted additional trading resources to the Trader Development page on my personal site.

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