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Guest Columnist at The Striking Price for Barron’s: How to Insure Your Stock Portfolio

April 19th, 2013
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Today’s guest column at The Striking Price on behalf of Steven Sears at Barron’s marks the tenth time I have had the opportunity to write a column for Barron’s and this time around I even managed to suppress the impulse to write about the VIX and volatility – at least directly.

Four Years of SPX Pullbacks in One Plot

April 18th, 2013
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Each time stocks correct, I invariably receive requests from readers to update my SPX pullback summary data, as I did most recently on February 26th in Updated SPX Pullback Summary Table for SPX 1485, after the S&P 500 Index had pulled back 3.0% from a recent high.

What The Last 2 Days Unfilled Gaps May Be Suggesting

April 18th, 2013
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I am seeing a real mix of evidence right now, as neither bullish nor bearish short-term evidence is dominating.  The study below is one example of a study from last night’s letter with possible bearish implications. It examines 2-day moves like SPY has just encountered.

Happy Tax Day!

April 15th, 2013
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Today is the day taxes are due in the U.S.  The reason tax day may be important is that it is the last day that people can make IRA contributions to count for the previous tax year.  This can create a last-minute rush and you will often have an inflow of funds heading into the market right around and on April 15th.  Fund managers will often put this money to work immediately and it creates a positive bias for the market.  Tax Day itself seems to have benefited over the years.  Below are some stats that demonstrate this.

What Has Followed Large Unfilled Employment Day Gaps Down

April 8th, 2013
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Employment Days will often occur in conjunction with a strong price move because the employment report is frequently viewed as an important piece of economic data. Still, it has been quite rare to see the employment report lead to a large gap down that never fills during the day. This happened on Friday.  When it has occurred in the past selling has generally continued into the next trading session. This is something I last showed in the 9/6/11 subscriber letter. An updated list of all instances is below.

When Large Caps Hold Up Relatively Well On A Decline From A High

April 2nd, 2013
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Large-caps definitely held up better than the rest of the market on Monday.  Coming from a 50-day high, this caused the study below to trigger.  It was last seen in the 9/18/12 letter.  Stats are all updated.

An Intraday Look At Holy Thursday Historical Performance

March 27th, 2013
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Last year I showed that the Thursday before Easter (also known as Holy Thursday) has exhibited a bullish inclination over the years.  Today I thought it would be interesting to break out that performance by overnight vs. intraday returns.  Intraday returns will be shown here.  Overnight returns can be found on Overnight Edges.

An Unusual And Potentially (Short-Term) Bearish Inside Day

March 27th, 2013
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Yesterday was interesting and unusual because it posted an unfilled gap up and a close above the open, but still finished as an inside day.  This triggered the below study in the Quantifinder.

The Low Volatility Story in Pictures

March 22nd, 2013
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Lately I have not been able to help being bombarded by articles extolling the virtues of investing in low volatility (also known as minimum volatility) exchange-traded products. These ETPs typically talk about the tendency of investors to become overly enamored with some of the sexier, more volatile stocks and accordingly bid these up to unsustainable valuations.

A Fed Day Setup That Has Seen SPX Higher 3 Days Later Every Time Since 1982

March 20th, 2013
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Tuesday’s decline was the 3rd down day in a row.  Many people are now aware that Fed Days have historically had a bullish tilt.  So 3-day selloffs leading up to Fed Days have been quite rare.  But they have also been a very bullish setup.  The table below shows the hypothetical results of buying at the close on the day before a Fed Day if it was at least the 3rd consecutive lower close.  The exit is 3 days later.

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