Momentum Rules
Great post on Zero Hedge regarding momentum:
Since the start of ’08, the S&P has declined by 43%. Yet, if you only held the market on days following a down day, you would have earned a cumulative return of 36%. In contrast, if you only held the market on days following an up day, the cumulative return would have been -58%. In terms of daily (close-to-close) returns, the average return since the start of ’08 following down days has been 0.28% while the average return following up days has been -0.62%.
I would guess that a few periods last fall when it seemed like the market see-sawed up and down over 5% a day account for a big piece of the described trend, but it’s staggering nonetheless.
While I continue to be bearish in the medium-term, it’s hard to not expect a bounce tomorrow.
