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< BACK TO ALL REPORTS

Small Persistent Losses

Jason Goepfert
2021-09-13

We've been asked a few times about precedents for last week's string of small but persistent losses. The most important ETF in the world, SPY, declined 5 straight days but suffered a total loss of less than 2%.

Looking at all 5-day losing streaks (not confined to calendar weeks), with a small overall loss, forward returns were very good but the sample size is tiny.

If we expand it to look at losses of less than 3%, the sample size triples and the conclusion was the same.

This kind of behavior is a function of calm and confident markets. Looking at forward returns, the rare losses tended to be very small, especially over the next 1-2 weeks. As always, we should consider this when looking at how traders react in the coming sessions and see if there is a change in character.

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