One of the Shibboleths

日期:2013/09/30

One of the shibboleths that come down the road at end of month is that "there will be 27 billion of forced buying by pension funds as they re-balance their stock and bond portfolios at end of month". Has one tested it? I figured I would.

Moves in stocks and bonds last two days of month

based on previous moves month to date in stocks and bonds

moves last 2 days in month

Prev moves                   In Stocks                        In Bonds      

Both up                          +0                                        -0  

Both down                     +0                                       +0.3     t = 1

S&P up Bonds down      +0                                      + 0

S&P down Bonds up       8 points t =1.7                   + 0.4    t=1.6

About 30 observations each row, from 1999 to present.