A Long Excursion

日期:2012/08/20

The SPU futures have gone exactly 26 trading days since 7/12/2012, the last time that they registered a 1 % decline over the preceding 2 days. Such events have occurred relatively infrequently over the last 13 years, indeed just 5 times, with neither bearish nor bullish overtones.

Of course, during that time period the 30 year bonds have gone down about 7 full points, while the SPU futures have gone up 35 points. Multiplying the bonds by 10, that's a 8 percentage point increase in the ratio of stocks to bonds. That reminds the old times of 1987 where the divergence must have hit 50 percentage points. One notes however that of the 35 most similar divergences during the past 12 years, the expectation 10 days out for SPUs was zero. Similarly, zero expectations exist based on this for the bonds with standard deviations of approximately 2 % for both entities over the next 10 days.