Posts filed under “Finance”
or Fun with Quantitative Analysis
How does this rally stack up against the prior 4 since March 2000? We computed the average strength and duration of each index: 2000 – 2003 Rally Comparisons (Excel)
The SPX rallies ranged from 29 days to 108 days, with an average run of 70 days. The present move peaked on June 17th, lasting 97 days. The range of gains was from 21.7% to 28.7%, with gains averaging 24.7%. This most recent rally was the strongest of the five. The SPX was the weakest of the 3 major indices, and had the shortest duration. The average SPX retracement was 25%, ranging from 17.3-34.1% (not counting the present 1% pullback)
The Nasdaq’s runs averaged 77 days, ranging from 48 up to the present rally’s 118 days; This run hit its most recent high on Tuesday. Comp gains were between 37.3%, and 51.3%, with an average of 42.4%; The current run is at 38.8%; As of last week, it placed 5th in a field of 5 bear market rallies. Tuesdays gains catapulted the present Nasdaq run into the 4th position since 2000. Perhaps, based upon recent history, this suggests there may be some more room to go on the Nasdaq. Subsequent pullbacks averaged 41.9%, but ran a broad gamut from a mild 17.6% pre-War pullback, to a whopping 62.2% correction after the May 2000 bounce. The Nazz had the widest range of all indices.
The DJIA gains ranged from 20.5% to 32.4%; Their average return was 25.9%. The 2002 Summer rally lasted a mere 29 days, while the post September 11th run lasted over half a year – 179 days to be precise. The average Dow move was 84 days. The present move is the second best of the five, and lasted 97 days. Pullbacks were 18-29.4%, avg=24.3%.
The most recent rally, from March 12, 2003 (to either June 17th, or Tuesday, depending upon the index) is in many ways, quantitatively different the previous four.
Most noticeably, this rally was the first one to begin from a higher low; Each previous rallies had started from a lower low than the one before. Also telling, this was the first run that had made a new higher high. The internals of this rally seem much better – A/D line, Up down volume, and new 52 week highs all are significantly improved over the prior 4 moves.
Quote of the Day: “The proportion of S&P 500 companies that pay a dividend is at a 20-year low and the dividend yield of the S&P 500 continues to linger near a 70-year low. Although the dividend yield troughed in March 2000 at 1.1%, at 1.9% it is currently well below the long-term average of approximately 4%. The scarcity of dividend yield barely makes an argument in favor of equity market yields over bond market yields.” -Richard Bernstein, Chief U.S. Strategist, Chief Quantitative Strategist, Global Securities Research and Economics Group, Merrill Lynch