Daily Commentary - Posted on Monday, February 6, 2012, 10:01 PM GMT +1
On Friday’s non-farm payroll release day, unemployment rate had been reported to have fallen from 8.5% to 8.3%, its lowest level in three years, and down on the 5th consecutive month. As is known, the S&P 500 had closed at a fresh 6-month high following January’s positive non-farm payroll report, up 1.46% for the day.
Historically, when the S&P 500 had gained ≥ 0.50% on a non-farm payroll release day when the unemployment rate had been above 6.0%, but down from its level three months earlier (a positive surprise on high levels), this had intermediate–term bullish implications in the past.
Table I below shows the S&P 500’s performance (cumulative returns) 1 week as well as 1 to 3 months later, followed by the number of sessions until the S&P 500 had posted a higher close in the event (all at the same time) the S&P 500 had gained ≥ 0.50% on a non-farm payroll release day when the unemployment rate had been above 6.0%, but down from its level three months earlier.
The S&P 500 had closed at a higher level one week later on 22 out of 28 occurrences (down -1.0%+ only once), one month later on 20, two months later on 25 and three months later on 24 out of 28 occurrences, and posted at least one higher close over the course of the then following week (5 sessions) on 25 out of 28 occurrences (and 3 weeks later latest on all 28 occurrences).
(click on image to enlarge)
Even fundamental news are suggesting that the market will probably remain on firm path over the course of the next couple of months.
Have a profitable week,
Disclosure: No position in the securities mentioned in this post at time of writing.
Remarks: Due to their conceptual scope – and if not explicitly stated otherwise – , all models/setups/strategies do not account for slippage, fees and transaction costs, do not account for return on cash and/or interest on margin, do not use position sizing (e.g. Kelly, optimal f) – they’re always ‘all in‘ – , do not use leverage (e.g. leveraged ETFs), do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy/sell stops (end-of-day prices only), and models/setups/strategies are not ‘adaptive‘ (do not adjust to the ongoing changes in market conditions like bull and bear markets). Index data (e.g. S&P 500 cash index) does not account for dividend and cash payments.
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