The FOMC Week
The Federal Open Market Committee is having its two-day meeting on Tuesday and Wednesday, which occurs every six weeks. I took a look at the S&P's performance during the week of the FOMC meetings. Since 2000, the only day of that week that showed signs of aberrant behavior was the actual day of the Fed Funds announcement (Wednesday), which was 52-36 for a median gain of 0.31%. Of course, the Fed has leaned toward accommodative announcements over the last decade, and one might question if a change in policy direction could shift those odds.
Low Volume Mondays
Today's NYSE composite volume was the lowest since the late December holiday season and 21% below the trailing one month average.
DATE (1000's)
YEARMTDY NYSE VOL 1 MT AVG
20110418 1,041,968 0,889,882
20110419 0,847,932 0,887,762
20110420 0,967,761 0,894,616
20110421 0,809,216 0,891,316
20110425 0,697,902 0,883,130
I ran a scan over the last 20 years for the following conditions.
1. The day of interest must be a Monday
2. That day's volume must be 15-25% below the trailing one month average
3. That day's close must be above both 50 and 200 Day Moving averages
4. That day's closing price must be within 0.50% of the previous day's close
The following Tuesday was mixed in this spot, but Wednesday and Thursday combined were 46-27 for a median gain of 0.21%. But for some reasons, weakness shows up on Friday, 29-44 for a median loss of 0.25%
Day UP-DN AVG% MED%
Tue 36-37-0.06-0.01
Wed 44-29+0.05 +0.07
Thu 43-30+0.11 +0.14
Fri 29-44-0.26 -0.25
I can't really explain why the following Friday would trade poorly. My instincts are trading was lackluster in anticipation of any news from the FOMC meeting midweek. I'm sure others will weigh in on this overnight.
The End of the PreElection Tailwind?
April marks the end of the 'traditional' PreElection Year Seasonal tailwind. The table below shows the performance for the S&P 500 in all PreElection years since 1950. As you can see, with the exception of December, we have put the best months behind us.
PREELECTION YEAR RESULTS 1950 - MAR 2010
MT #UP #DN %UP AVG%CHG MED%CHG AVGVOL
JAN 15 1 93.8 4.34 4.01 4.68
FEB 10 6 62.5 0.84 0.50 2.56
MAR 13 3 81.3 2.09 2.43 2.35
ARP 14 1 93.3 3.67 3.88 3.82
MAY 8 7 53.3 0.28 0.60 2.94
JUN 9 6 60.0 1.52 1.75 3.19
JUL 9 6 60.0 1.06 1.62 3.73
AUG 9 6 60.0 1.41 1.29 2.24
SEP 5 10 33.3 -0.35 -0.70 2.09
OCT 7 8 46.7 -1.19 -0.50 4.51
NOV 9 6 60.0 0.39 0.75 2.91
DEC 11 4 73.3 3.34 2.63 3.73
ALL 119 64 65.0 1.47 1.74 3.23
MAY IN PREELECTION YEARS
YEAR %CHG
1951 -4.06
1955 -0.13
1959 1.89
1963 1.43
1967 -5.24
1971 -4.16
1975 4.41
1979 -2.63
1983 -1.24
1987 0.60
1991 3.86
1995 3.63
1999 -2.50
2003 5.09
2007 3.25
#UP-DN= 8- 7
AVG%CHG= 0.28
MED%CHG= 0.60
May With a Price Tailwind
However, May has put up respectable numbers when the Price tailwind was positive. The S&P is up 3.44% over the last quarter so far. In years where the trailing quarter was 0.77 to 5.71%, May was 16-9 for a median gain of 1.15%. May's performance has also improved over the last 30 years, 21-10 since 1980 for a median gain of 1.21%.
Other May Stats to put on your calendar
The first two trading days of May are 21-9 over the last 30 years for a median gain of 0.56%.
The fifth trading day of the May is 10-20 for a median loss of 0.24%
The last four days of May are 21-9 for a median gain of 0.73%, which often benefits from the fact that the Wednesday after Memorial Day is 21-9 for a median gain of 0.18%.
Wayne Whaley is a Systems Engineering graduate from Georgia Tech who takes an engineering approach to tape analysis. He is a registered CTA, co-owner of Witter & Lester and the 2010 MTA Charles Dow Award winner for research surveying various tape measures. For more insight see www.witterlester.com.
