Small Cap Underperformance
By
Rennie on Monday, April 19th, 2010 at 3:24 pm
Market staging an afternoon recovery, but small cap underperformance is contributing to lagging breadth statistics. Currently the NYSE advance/decline ratio stands at a low .60 even as the S&P is up 0.2%. Historically, a closing ratio under .75 on an up day for the S&P is a negative indication for the following session given the general lack of participation. The last 30 occurrences are listed below…
SPX Closes Higher, Adv/Dec Ratio <.75
03/15/10… S&P500 +0.8% next session
07/06/09… S&P500 -2.0% next session
03/06/09… S&P500 -1.0% next session
11/18/08… S&P500 -6.1% next session
10/23/08… S&P500 -3.5% next session
09/26/08… S&P500 -8.8% next session
07/03/08… S&P500 -0.8% next session
07/01/08… S&P500 -1.8% next session
06/30/08… S&P500 +0.4% next session
06/23/08… S&P500 -0.3% next session
06/09/08… S&P500 -0.2% next session
12/13/07… S&P500 -1.4% next session
08/16/07… S&P500 +2.5% next session
08/10/07… S&P500 -0.1% next session
08/01/07… S&P500 +0.4% next session
07/25/07… S&P500 -2.3% next session
05/24/06… S&P500 +1.1% next session
05/15/06… S&P500 -0.2% next session
04/10/06… S&P500 -0.8% next session
09/27/05… S&P500 +0.1% next session
03/23/05… S&P500 -0.1% next session
03/10/05… S&P500 -0.8% next session
02/18/05… S&P500 -1.5% next session
07/22/04… S&P500 -1.0% next session
04/23/04… S&P500 -0.5% next session
01/29/04… S&P500 -0.3% next session
08/25/03… S&P500 +0.3% next session
08/04/03… S&P500 -1.8% next session
03/12/03… S&P500 +3.5% next session
07/11/02… S&P500 -0.6% next session
In 22 out of the last 30 occurrences, or 73% of the time, the S&P closed lower the following session. In the same period of time, the random chance at calling for a lower S&P close one day later is only 46%, indicating a significant downside edge when breadth lags on an up day.
Another potential short-term negative is that new 52-week lows on the NYSE expanded to 12 this morning, tying the highest level of the last two months. This number does change slightly when the final data is released after hours, so we won’t know if we hit a two-month high until after the close. If the number stays the same or increases, it would have short-term negative implications given that the S&P is still trading above its ten-day ago close. When we’ve seen similar action in the past, the relatively high number of new lows suggests a bit of weakness under the surface, and market performance has typically been subpar over the next couple of sessions. The last thirty times this pattern has occurred are listed in the table below…
New Lows @ Two-Month High, SPX Up vs. Ten Days Ago
11/30/09… S&P500 +1.2% two sessions later
02/05/09… S&P500 +2.8% two sessions later
11/02/07… S&P500 +0.7% two sessions later
07/24/07… S&P500 -1.9% two sessions later
07/18/07… S&P500 -0.8% two sessions later
02/23/07… S&P500 -3.6% two sessions later
02/12/07… S&P500 +1.5% two sessions later
01/24/07… S&P500 -1.2% two sessions later
01/19/07… S&P500 -0.2% two sessions later
04/06/06… S&P500 -1.0% two sessions later
09/16/05… S&P500 -1.3% two sessions later
04/13/04… S&P500 -0.1% two sessions later
04/05/04… S&P500 -0.9% two sessions later
01/02/04… S&P500 +1.4% two sessions later
12/11/03… S&P500 -0.3% two sessions later
08/04/03… S&P500 -1.6% two sessions later
07/15/03… S&P500 -1.9% two sessions later
12/13/99… S&P500 -0.2% two sessions later
10/13/99… S&P500 -3.0% two sessions later
06/11/99… S&P500 +0.6% two sessions later
06/12/98… S&P500 -1.0% two sessions later
04/23/98… S&P500 -3.0% two sessions later
03/30/98… S&P500 +1.3% two sessions later
03/26/98… S&P500 -0.7% two sessions later
01/12/98… S&P500 +2.0% two sessions later
07/07/97… S&P500 -0.5% two sessions later
03/14/97… S&P500 -0.4% two sessions later
10/22/96… S&P500 -0.6% two sessions later
06/12/96… S&P500 -0.5% two sessions later
10/24/95… S&P500 -1.7% two sessions later
Note that in 22 out of 30 occurrences, or 73 of the time, the S&P was trading lower two sessions later, significantly above the 47% at-any-time odds for a lower S&P close two sessions later in the same time frame. In general, when new 52-week lows are at a relatively high level and the S&P is up over the past two weeks, the market tends to struggle over the short-term.
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Small Cap Underperformance
By Rennie on Monday, April 19th, 2010 at 3:24 pmMarket staging an afternoon recovery, but small cap underperformance is contributing to lagging breadth statistics. Currently the NYSE advance/decline ratio stands at a low .60 even as the S&P is up 0.2%. Historically, a closing ratio under .75 on an up day for the S&P is a negative indication for the following session given the general lack of participation. The last 30 occurrences are listed below…
SPX Closes Higher, Adv/Dec Ratio <.75
03/15/10… S&P500 +0.8% next session
07/06/09… S&P500 -2.0% next session
03/06/09… S&P500 -1.0% next session
11/18/08… S&P500 -6.1% next session
10/23/08… S&P500 -3.5% next session
09/26/08… S&P500 -8.8% next session
07/03/08… S&P500 -0.8% next session
07/01/08… S&P500 -1.8% next session
06/30/08… S&P500 +0.4% next session
06/23/08… S&P500 -0.3% next session
06/09/08… S&P500 -0.2% next session
12/13/07… S&P500 -1.4% next session
08/16/07… S&P500 +2.5% next session
08/10/07… S&P500 -0.1% next session
08/01/07… S&P500 +0.4% next session
07/25/07… S&P500 -2.3% next session
05/24/06… S&P500 +1.1% next session
05/15/06… S&P500 -0.2% next session
04/10/06… S&P500 -0.8% next session
09/27/05… S&P500 +0.1% next session
03/23/05… S&P500 -0.1% next session
03/10/05… S&P500 -0.8% next session
02/18/05… S&P500 -1.5% next session
07/22/04… S&P500 -1.0% next session
04/23/04… S&P500 -0.5% next session
01/29/04… S&P500 -0.3% next session
08/25/03… S&P500 +0.3% next session
08/04/03… S&P500 -1.8% next session
03/12/03… S&P500 +3.5% next session
07/11/02… S&P500 -0.6% next session
In 22 out of the last 30 occurrences, or 73% of the time, the S&P closed lower the following session. In the same period of time, the random chance at calling for a lower S&P close one day later is only 46%, indicating a significant downside edge when breadth lags on an up day.
Another potential short-term negative is that new 52-week lows on the NYSE expanded to 12 this morning, tying the highest level of the last two months. This number does change slightly when the final data is released after hours, so we won’t know if we hit a two-month high until after the close. If the number stays the same or increases, it would have short-term negative implications given that the S&P is still trading above its ten-day ago close. When we’ve seen similar action in the past, the relatively high number of new lows suggests a bit of weakness under the surface, and market performance has typically been subpar over the next couple of sessions. The last thirty times this pattern has occurred are listed in the table below…
New Lows @ Two-Month High, SPX Up vs. Ten Days Ago
11/30/09… S&P500 +1.2% two sessions later
02/05/09… S&P500 +2.8% two sessions later
11/02/07… S&P500 +0.7% two sessions later
07/24/07… S&P500 -1.9% two sessions later
07/18/07… S&P500 -0.8% two sessions later
02/23/07… S&P500 -3.6% two sessions later
02/12/07… S&P500 +1.5% two sessions later
01/24/07… S&P500 -1.2% two sessions later
01/19/07… S&P500 -0.2% two sessions later
04/06/06… S&P500 -1.0% two sessions later
09/16/05… S&P500 -1.3% two sessions later
04/13/04… S&P500 -0.1% two sessions later
04/05/04… S&P500 -0.9% two sessions later
01/02/04… S&P500 +1.4% two sessions later
12/11/03… S&P500 -0.3% two sessions later
08/04/03… S&P500 -1.6% two sessions later
07/15/03… S&P500 -1.9% two sessions later
12/13/99… S&P500 -0.2% two sessions later
10/13/99… S&P500 -3.0% two sessions later
06/11/99… S&P500 +0.6% two sessions later
06/12/98… S&P500 -1.0% two sessions later
04/23/98… S&P500 -3.0% two sessions later
03/30/98… S&P500 +1.3% two sessions later
03/26/98… S&P500 -0.7% two sessions later
01/12/98… S&P500 +2.0% two sessions later
07/07/97… S&P500 -0.5% two sessions later
03/14/97… S&P500 -0.4% two sessions later
10/22/96… S&P500 -0.6% two sessions later
06/12/96… S&P500 -0.5% two sessions later
10/24/95… S&P500 -1.7% two sessions later
Note that in 22 out of 30 occurrences, or 73 of the time, the S&P was trading lower two sessions later, significantly above the 47% at-any-time odds for a lower S&P close two sessions later in the same time frame. In general, when new 52-week lows are at a relatively high level and the S&P is up over the past two weeks, the market tends to struggle over the short-term.