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Industry Responses to Fed Policy Changes
CFA Society HoustonWednesday, April 8, 2015
Julie R. Dahlquist, Ph.D., [email protected]
We are living in unusual times….
Since 1950, the 3-month rate has been below 1% only 99 times. 22 times previously 77 times in the past 6 1/2 years
Since 1950, the 3-month rate has been below 0.75% only 79 times. 2 times previously 77 times in the past 6 1/2 years
Time Frame Average
10 years 1.39%
20 years 2.59%
30 years 3.64%
40 years 4.91%
50 years 5.03%
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FOMC StatementSeptember 17, 2014
The Committee will determine the timing and pace of policy normalization-- meaning steps to raise the federal funds rate and other short-term interest rates to more normal levels…
FOMC StatementOctober 29, 2014December 17, 2014January 28, 2015March 18, 2015
The Committee currently anticipates that, even after employment and inflation are near mandate-consistent levels, economic conditions may, for some time, warrant keeping the target federal funds rate below levels the Committee views as normal in the longer run.
WHEN?
Three Steps and a…
Stumble
Gould’s rule
The market will suffer a substantial downturn after the Federal Reserve raises rates three consecutive times
George Schade (1991) Early warning signal Markets tend to advance for six more months Expect bottom 18 months after signal
Recessions have been preceded by increases in discount rate
Gould’s rule
Gould’s rule--1994
Gould’s rule--2000
Gould’s rule--2004
Cyclical Investing and TradingJim Cramer’s Mad Money
0%
1%
2%
3%
GDP growth
1st rate1st rate hike
2nd rate hike
3rd rate hike
4th rate hike
1st Fed easing
buy financials
buy metals and minerals
buy medicine and supermarketsell financials
Do some sectors provide protection from the stumble?
Daily returns since July, 1926Kenneth R. FrenchDartmouth Collegehttp://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
FoodMining and MineralsOil and PetroleumClothing and TextilesConsumer DurablesChemicalsConsumer ConstructionSteelFabricated ProductsMachinery and Business EquipCarsTransportationUtilitiesRetail StoresFinancialOther
Food Mines Oil Clths Durbl Chems Cnsum Cnstr Steel FabPr Machn Cars Trans Utils Rtail Finan Other10-day pre -0.1128 0.0707 -0.0940 -0.1093 -0.0546 -0.0631 0.0161 -0.0264 -0.0699 -0.0560 -0.0532 -0.1609 -0.0529 -0.0207 -0.0967 -0.0588 -0.05885-day pre -0.1712 0.0044 -0.2235 -0.2017 -0.2380 -0.1194 -0.0263 -0.1157 -0.1352 -0.1848 -0.1633 -0.1968 -0.1251 -0.1043 -0.1662 -0.1682 -0.16535-day post 0.0813 0.1876 0.0372 -0.0506 0.0424 0.0372 0.0599 0.0918 0.1339 -0.0240 0.1202 0.0492 0.0977 0.0379 0.1212 0.0149 0.106710-day post 0.0313 0.0622 0.0467 -0.0667 -0.0308 0.0340 0.0526 0.0863 0.1620 0.0597 0.0989 0.0200 0.0524 0.0386 0.0297 0.0323 0.087430-day post 0.0514 -0.0214 0.0044 0.0122 0.0120 0.0165 0.0223 0.0431 0.0335 0.0330 0.0589 -0.0146 0.0111 -0.0131 0.0217 0.0192 0.047860-day post 0.0734 0.0040 0.0545 0.0685 0.0798 0.0769 0.0774 0.0937 0.0848 0.0859 0.0852 0.0640 0.0622 0.0490 0.0796 0.0951 0.064590-day post 0.0774 0.0293 0.0549 0.0604 0.0835 0.0728 0.0794 0.0758 0.0876 0.0787 0.0776 0.0389 0.0568 0.0356 0.0804 0.0859 0.0624120-day post 0.0628 0.0192 0.0453 0.0451 0.0469 0.0692 0.0685 0.0585 0.0679 0.0611 0.0636 0.0220 0.0411 0.0396 0.0576 0.0707 0.0512
Mean returns around Gould’s three-step signal
Stumbling before the step Negative returns precede third rate hike
Predominantly positive results following hike
Mean returns around Gould’s three-step signal
Annualized—Assuming 250 trading days
Food Mines Oil Clths Durbl Chems Cnsum Cnstr Steel FabPr Machn Cars Trans Utils Rtail Finan Other10-day pre -24.58 19.33 -20.95 -23.93 -12.77 -14.60 4.12 -6.39 -16.04 -13.07 -12.46 -33.14 -12.40 -5.05 -21.49 -13.67 -13.685-day pre -34.84 1.11 -42.85 -39.64 -44.88 -25.82 -6.37 -25.14 -28.70 -37.03 -33.54 -38.89 -26.87 -22.97 -34.02 -34.34 -33.885-day post 22.54 59.77 9.74 -11.88 11.17 9.76 16.15 25.79 39.71 -5.81 35.02 13.08 27.65 9.93 35.38 3.79 30.5510-day post 8.13 16.81 12.39 -15.35 -7.42 8.88 14.06 24.05 49.89 16.10 28.02 5.12 14.00 10.12 7.70 8.40 24.4030-day post 13.70 -5.22 1.11 3.11 3.06 4.22 5.73 11.37 8.74 8.61 15.85 -3.58 2.82 -3.22 5.59 4.91 12.6960-day post 20.12 0.99 14.60 18.66 22.07 21.20 21.35 26.39 23.60 23.94 23.74 17.34 16.81 13.03 21.99 26.84 17.4990-day post 21.35 7.60 14.71 16.30 23.20 19.95 21.94 20.84 24.46 21.72 21.41 10.22 15.25 9.32 22.25 23.96 16.86120-day post 16.99 4.91 11.98 11.93 12.45 18.87 18.66 15.76 18.49 16.48 17.24 5.67 10.82 10.41 15.49 19.33 13.64
Median returns around Gould’s three-step signal
Food Mines Oil Clths Durbl Chems Cnsum Cnstr Steel FabPr Machn Cars Trans Utils Rtail Finan Other10-day pre -0.1063 0.0920 -0.1539 -0.1007 0.0396 -0.1275 -0.0170 -0.0497 -0.1384 -0.0166 -0.1346 -0.2567 -0.1516 -0.0797 -0.0506 -0.1031 -0.10335-day pre -0.2063 -0.1429 -0.2192 -0.2069 -0.1611 -0.1314 0.0156 -0.0861 -0.0961 -0.1217 -0.1507 -0.1987 -0.1025 -0.0947 -0.1939 -0.1312 -0.11685-day post 0.1072 0.2811 0.1048 -0.0220 0.0178 0.2011 0.0997 0.1874 0.1797 0.0817 0.1456 0.2111 0.2805 0.0359 0.0988 -0.0031 0.077910-day post 0.0684 0.1879 0.0202 0.0029 -0.0054 0.0424 0.1102 0.1015 0.1150 0.0133 0.0899 0.1190 0.1899 0.0649 -0.0002 0.1090 0.088730-day post 0.0467 -0.0326 0.0046 -0.0437 0.0012 0.0093 -0.0059 0.0538 -0.0114 -0.0323 0.0232 -0.0032 0.0345 0.0171 -0.0116 -0.0094 0.060160-day post 0.0506 0.0207 0.0602 0.1155 0.0817 0.0540 0.0803 0.0811 0.0691 0.0672 0.0566 0.0196 0.0775 0.0131 0.0393 0.0947 0.071590-day post 0.1010 0.0140 0.0766 0.0897 0.0677 0.0769 0.0412 0.0866 0.1069 0.0648 0.0739 -0.0046 0.0713 0.0138 0.0569 0.0721 0.0725120-day post 0.0821 0.0098 0.0804 0.0519 0.0617 0.0894 0.0636 0.0839 0.0840 0.0598 0.0695 0.0161 0.0719 0.0224 0.0384 0.1010 0.0479
Median returns around Gould’s three-step signal
Annualized—Assuming 250 trading days
Food Mines Oil Clths Durbl Chems Cnsum Cnstr Steel FabPr Machn Cars Trans Utils Rtail Finan Other10-day pre -23.35 25.85 -31.96 -22.27 10.40 -27.31 -4.16 -11.70 -29.27 -4.05 -28.59 -47.40 -31.57 -18.07 -11.89 -22.74 -22.775-day pre -40.32 -30.06 -42.22 -40.42 -33.17 -28.01 3.96 -19.36 -21.37 -26.25 -31.41 -39.19 -22.61 -21.10 -38.44 -27.98 -25.335-day post 30.70 101.73 29.94 -5.36 4.55 65.23 28.28 59.69 56.66 22.66 43.85 69.41 101.40 9.39 27.99 -0.78 21.5110-day post 18.65 59.89 5.19 0.73 -1.33 11.19 31.71 28.86 33.28 3.39 25.20 34.62 60.68 17.62 -0.05 31.31 24.8230-day post 12.39 -7.83 1.17 -10.36 0.29 2.36 -1.46 14.39 -2.81 -7.75 5.97 -0.80 9.00 4.36 -2.85 -2.31 16.2160-day post 13.48 5.32 16.25 33.44 22.65 14.45 22.22 22.47 18.84 18.28 15.20 5.01 21.38 3.33 10.32 26.69 19.5690-day post 28.72 3.55 21.08 25.14 18.43 21.18 10.84 24.16 30.63 17.57 20.28 -1.15 19.49 3.51 15.29 19.76 19.88120-day post 22.77 2.48 22.25 13.84 16.69 25.03 17.23 23.32 23.37 16.13 18.98 4.11 19.69 5.76 10.07 28.71 12.72
Financial Sector
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day postJuly 7, 1928 -0.2823 -0.7863 -0.0031 0.1800 0.0904 0.1574 0.2407 0.2146
May 1, 1937 -0.5380 -0.1422 -0.1714 -0.6842 -0.1946 0.0836 -0.1166 -0.2740Jan. 21, 1946 0.3097 0.2214 0.5389 0.4982 -0.1221 0.0666 0.0424 0.0112Aug. 13, 1948 -0.1466 -0.3374 0.3277 0.1402 -0.0502 0.0259 0.0113 0.0155Sept. 9, 1955 0.2636 0.1215 -0.1621 0.0225 -0.2447 -0.0143 -0.0429 0.0068
March 3, 1959 0.1890 0.0718 0.1857 -0.0881 -0.0373 -0.0220 0.0245 0.0163Dec. 6, 1965 0.1697 0.1835 0.3353 0.1493 0.0901 -0.0490 -0.0293 -0.0635
Apr. 19, 1968 0.5678 0.4252 0.6302 0.5040 0.3754 0.3172 0.2900 0.2853May 1, 1973 -0.6867 -0.9134 0.4304 -0.2117 -0.0606 0.1341 0.0721 0.1010Jan. 9, 1978 -0.2317 -0.7798 -0.1862 -0.0132 -0.0094 0.0947 0.2011 0.1263Dec. 5, 1980 -0.1428 -0.2489 -0.1758 0.5318 0.1801 0.1257 0.1509 0.1391
Jan. 24, 1989 -0.1031 -0.2120 0.2673 0.2344 0.2119 0.2038 0.1626 0.1885Nov., 15, 1994 -0.1275 -0.0986 -1.0017 -0.2911 -0.0523 0.1173 0.1144 0.1270
Feb. 2, 2000 -0.0539 0.1039 -0.7184 -0.5974 0.0711 0.0477 0.1034 0.1031Sept. 21, 2004 -0.0689 -0.1312 -0.0738 0.1090 0.0399 0.1383 0.0645 0.0633
Financial SectorAnnualized—assuming 250 trading days
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day postJuly 7, 1928 -50.68 -86.10 -0.78 56.78 25.34 48.18 82.42 70.92
May 1, 1937 -74.04 -29.94 -34.87 -82.03 -38.55 23.22 -25.29 -49.63Jan. 21, 1946 116.65 73.82 283.26 246.43 -26.31 18.12 11.17 2.85
Aug. 13, 1948 -30.70 -57.04 126.58 41.96 -11.79 6.69 2.86 3.95Sept. 9, 1955 93.10 35.47 -33.34 5.79 -45.81 -3.52 -10.16 1.70
March 3, 1959 60.35 19.65 59.03 -19.77 -8.91 -5.34 6.31 4.15Dec. 6, 1265 52.80 58.15 130.90 45.21 25.26 -11.53 -7.07 -14.68
Apr. 19, 1968 311.83 188.87 380.93 251.41 155.16 120.71 106.26 103.86May 1, 1973 -82.14 -89.91 192.65 -41.13 -14.07 39.81 19.76 28.71Jan. 9, 1978 -44.00 -85.87 -37.25 -3.25 -2.31 26.69 65.24 37.09Dec. 5, 1980 -30.05 -46.37 -35.58 276.57 56.79 36.89 45.79 41.55
Jan. 24, 1989 -22.74 -41.17 94.91 79.57 69.74 66.37 50.10 60.12Nov., 15, 1994 -27.31 -21.85 -91.93 -51.75 -12.27 34.07 33.09 37.35
Feb. 2, 2000 -12.61 29.65 -83.51 -77.64 19.44 12.65 29.47 29.38Sept. 21, 2004 -15.83 -27.98 -16.85 31.31 10.47 41.28 17.50 17.13
Financial Sector
Food: meat, dairy, bakery products, beverages, candy
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.1653 -0.5706 -0.0333 0.1170 0.1417 0.2007 0.1391 0.1185May 1, 1937 -0.5132 -0.0628 0.1610 -0.4316 -0.0415 -0.0116 -0.0211 -0.1494
Jan. 21, 1946 0.1382 -0.2063 0.1838 0.2058 -0.0986 0.0825 0.0646 0.0227Aug. 13, 1948 -0.1063 -0.2479 0.2492 0.1031 -0.1389 -0.0424 -0.0506 -0.0118Sept. 9, 1955 0.1107 0.1316 -0.1141 -0.0322 -0.1413 0.0015 -0.0166 0.0090
March 3, 1959 0.1997 0.2197 0.2656 -0.0009 0.0467 0.0762 0.0625 0.0630Dec. 6, 1265 -0.0403 -0.0282 0.0596 0.0684 0.0933 -0.0260 -0.0223 -0.0526
Apr. 19, 1968 0.5434 0.3714 0.4833 0.5024 0.2911 0.1032 0.1088 0.0992May 1, 1973 -0.4476 -0.4844 0.4303 -0.0526 0.0850 0.0377 0.0185 0.0431Jan. 9, 1978 -0.1523 -0.5426 -0.1341 -0.0445 -0.0028 0.0355 0.1531 0.1047Dec. 5, 1980 -0.1916 -0.1638 -0.3104 0.1114 0.2695 0.1922 0.2052 0.1654
Jan. 24, 1989 -0.0745 -0.2101 0.3613 0.3009 0.2800 0.3018 0.2111 0.2245Nov., 15, 1994 0.1637 0.2910 -0.3984 -0.2807 -0.0228 0.0506 0.1020 0.1129
Feb. 2, 2000 -0.7220 -0.6275 0.1072 -0.2518 -0.1059 -0.0575 0.1010 0.1106Sept. 21, 2004 -0.4341 -0.4369 -0.0909 0.1545 0.1149 0.1560 0.1062 0.0821
Mines: metal mining, gold, silver, iron, and copper ores
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.0780 -0.7240 -0.0176 -0.0641 -0.0326 0.1621 0.1310 0.1146
May 1, 1937 -0.7852 -0.3991 0.2811 -0.5323 0.0060 0.0809 0.0379 -0.1508
Jan. 21, 1946 0.1888 -0.1761 0.4353 0.4850 0.0059 0.0769 0.0587 0.0261
Aug. 13, 1948 -0.2593 -0.5784 0.0802 0.2035 -0.0765 0.0207 0.0019 0.0051
Sept. 9, 1955 0.2291 0.0213 -0.1756 -0.0804 -0.2645 0.0178 -0.0326 0.0651
March 3, 1959 -0.0192 0.2054 0.5051 0.1879 0.0463 -0.0581 -0.0108 -0.0001
Dec. 6, 1265 0.0920 0.1366 0.4417 0.2592 0.3924 0.2965 0.2314 0.1103
Apr. 19, 1968 0.5057 0.4993 0.6952 0.3506 0.3065 0.0449 0.0140 0.0098
May 1, 1973 -0.2401 -0.5636 0.5310 0.2556 -0.0643 0.1386 0.1152 0.1861
Jan. 9, 1978 0.1226 -0.1429 -0.0401 -0.0052 -0.1226 -0.0160 0.0924 0.0221
Dec. 5, 1980 0.3507 0.5294 -1.1286 -0.3229 -0.3857 -0.3142 -0.0287 -0.0438
Jan. 24, 1989 0.3146 0.7071 -0.1165 -0.0675 -0.1096 -0.1572 -0.0311 -0.0136
Nov., 15, 1994 -0.4068 -0.4670 -0.9494 -0.5900 -0.1331 -0.1428 -0.0047 0.0012
Feb. 2, 2000 1.1652 1.2947 1.5503 0.2681 0.0733 -0.2453 -0.2166 -0.1888
Sept. 21, 2004 -0.1197 -0.2765 0.7220 0.5849 0.0370 0.1544 0.0817 0.1444
Oil: oil and gas extraction, petroleum refining
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.1539 -0.7195 -0.1554 -0.0320 0.1314 0.1854 0.1629 0.1595May 1, 1937 -0.4904 0.5791 -0.0530 -0.5121 -0.0461 0.0602 0.0194 -0.1702
Jan. 21, 1946 -0.1797 -0.3807 -0.3703 0.0325 -0.1573 0.1227 0.1631 0.1057Aug. 13, 1948 -0.0092 -0.4627 0.2291 -0.0846 -0.2753 -0.0277 -0.0555 -0.0475Sept. 9, 1955 0.2128 0.2478 0.3003 0.2670 -0.1013 0.1094 0.0766 0.1321
March 3, 1959 0.3361 0.9241 0.1048 -0.1173 0.0901 -0.0227 -0.0561 -0.0234Dec. 6, 1265 -0.1394 -0.1501 0.2095 0.0202 0.1174 -0.0581 -0.0065 -0.0250
Apr. 19, 1968 0.1594 -0.0420 0.4835 0.4475 0.1739 0.2001 0.1672 0.1570May 1, 1973 -0.2178 -0.7733 0.6024 -0.2513 0.0046 0.0100 -0.0284 0.0804Jan. 9, 1978 -0.2618 -0.9895 -0.2251 -0.1042 0.0136 0.0372 0.1445 0.0502Dec. 5, 1980 -0.3359 -1.2560 -0.0184 0.4723 -0.1244 -0.1636 -0.2014 -0.1953
Jan. 24, 1989 -0.0456 -0.0565 0.5801 0.3683 0.1292 0.1535 0.1049 0.1119Nov., 15, 1994 -0.2893 -0.3786 -0.3092 -0.1451 -0.0684 -0.0092 0.0704 0.1041
Feb. 2, 2000 -0.3421 -0.2192 -1.0921 0.0215 0.1909 0.1323 0.1793 0.0408Sept. 21, 2004 0.3467 0.3239 0.2718 0.3182 -0.0120 0.0883 0.0834 0.1990
Clothing: yarn and thread mills, apparel, footwear, floor covering
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.2237 -0.4456 -0.1809 -0.0958 -0.0437 0.0415 0.0583 0.0519May 1, 1937 -0.5782 -0.1895 -0.0220 -0.4684 -0.1270 -0.0600 -0.0273 -0.1829
Jan. 21, 1946 0.2308 -0.1206 0.6552 0.4437 -0.1350 0.1155 0.1591 0.0933Aug. 13, 1948 -0.1931 -0.3975 0.1679 0.1218 -0.1487 -0.0718 -0.1125 -0.0599Sept. 9, 1955 0.1846 0.3055 -0.0260 0.0029 -0.1475 -0.0194 -0.0336 -0.0220
March 3, 1959 0.1467 -0.0182 0.0620 -0.0364 0.0705 0.0772 0.1009 0.0761Dec. 6, 1265 0.2706 0.1695 0.1635 0.1724 0.2167 0.1166 0.0897 -0.0068
Apr. 19, 1968 0.6313 0.5076 0.7888 0.6041 0.3681 0.1611 0.1790 0.1709May 1, 1973 -0.6072 -0.6075 0.5121 -0.1953 -0.3048 -0.0930 -0.1270 -0.0324Jan. 9, 1978 -0.2410 -0.6774 -0.0644 0.0781 0.0466 0.1305 0.2162 0.1257Dec. 5, 1980 -0.3737 -0.2998 -0.8178 -0.2449 0.1817 0.1874 0.2295 0.1744
Jan. 24, 1989 0.0626 -0.3402 0.5619 0.3366 0.1640 0.1562 0.1171 0.1661Nov., 15, 1994 -0.1007 -0.2069 -0.4327 -0.2760 -0.0871 -0.0425 -0.0399 -0.0228
Feb. 2, 2000 -0.8107 -0.6792 -2.0803 -1.5626 -0.0555 0.1283 -0.0173 0.0202Sept. 21, 2004 -0.0381 -0.0265 -0.0460 0.1198 0.1854 0.1994 0.1144 0.1248
Durables: household furniture and appliances, musical instruments, toys, jewelry
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 0.0556 -0.8425 -0.0667 -0.2099 -0.0216 0.2529 0.2779 0.2052May 1, 1937 -0.7934 -0.3854 -0.1382 -0.8210 0.0318 0.0712 0.0246 -0.2579
Jan. 21, 1946 0.2084 -0.0930 0.5128 0.6354 -0.0784 0.1462 0.1194 0.0611Aug. 13, 1948 -0.1090 -0.4320 0.3015 0.1331 -0.0779 -0.0190 -0.0491 -0.0471Sept. 9, 1955 0.2314 -0.2371 0.0178 -0.0054 -0.2042 -0.0417 -0.0803 -0.0096
March 3, 1959 0.4195 0.3898 0.4716 0.2231 0.2396 0.2345 0.1955 0.1391Dec. 6, 1265 0.0507 -0.0646 0.3164 0.1003 0.2467 0.0817 0.1774 0.0947
Apr. 19, 1968 0.5842 0.2453 0.6101 0.5142 0.2704 -0.0413 0.0331 0.0457May 1, 1973 -0.6106 -0.8549 0.5591 -0.2579 0.0012 0.1016 -0.0181 0.0166Jan. 9, 1978 -0.2720 -0.6885 -0.3027 -0.3100 -0.1663 -0.0164 0.1844 0.1144Dec. 5, 1980 -0.2830 -0.1611 -0.3122 -0.0691 0.0475 0.1499 0.1804 0.1181
Jan. 24, 1989 0.1117 -0.0133 0.1526 0.1946 0.0622 0.1165 0.1035 0.1305Nov., 15, 1994 -0.1016 -0.0350 -0.8635 -0.4229 -0.1305 0.0303 0.0653 0.0824
Feb. 2, 2000 -0.3511 -0.3952 -0.4920 -0.4008 -0.0866 -0.0354 -0.0291 -0.0507Sept. 21, 2004 0.0396 -0.0018 -0.1312 0.2340 0.0468 0.1660 0.0677 0.0617
Chemicals: plastic material, synthetic resin, agricultural chemicals
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.1783 -0.6827 0.0844 0.1986 0.1495 0.2068 0.2431 0.2355May 1, 1937 -0.3393 0.2361 0.2011 -0.2213 0.0477 0.0623 0.0459 -0.1086
Jan. 21, 1946 0.1046 -0.1866 0.3136 0.5592 -0.0170 0.1605 0.1301 0.0941Aug. 13, 1948 -0.0762 -0.2734 0.4291 0.2184 -0.0665 0.0333 0.0097 0.0416Sept. 9, 1955 0.4363 0.3608 0.2256 0.0424 -0.2175 0.0100 -0.0338 0.0221
March 3, 1959 0.6342 0.4895 0.3855 0.0780 0.1297 0.1963 0.1298 0.1022Dec. 6, 1265 -0.1024 -0.0502 -0.0156 0.0417 0.0737 -0.0678 -0.0588 -0.0865
Apr. 19, 1968 0.7639 0.3963 0.1098 0.0944 0.0093 0.0012 0.0597 0.0894May 1, 1973 -0.4391 -0.5296 0.7245 -0.0674 -0.0217 0.0540 0.0412 0.1395Jan. 9, 1978 -0.3817 -1.0169 -0.2044 -0.1290 -0.1363 -0.0114 0.1409 0.0534Dec. 5, 1980 -0.3559 -0.2634 -0.5339 -0.0280 0.1161 0.1357 0.1070 0.0603
Jan. 24, 1989 -0.1275 -0.1314 0.2549 0.2008 0.1204 0.1563 0.0769 0.1404Nov., 15, 1994 -0.2283 -0.1828 -0.9585 -0.3094 -0.0087 0.0252 0.0865 0.1199
Feb. 2, 2000 -0.5500 -0.0739 -0.8695 -0.6304 -0.0593 -0.0511 -0.0266 -0.0635Sept. 21, 2004 -0.1065 0.1173 0.4121 0.4626 0.1284 0.2428 0.1403 0.1979
Consumer Goods: tobacco products, drugs, soaps, perfumes
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 0.0569 0.0156 -0.0908 0.1660 0.0704 0.1567 0.1432 0.1378May 1, 1937 -0.2183 0.0520 0.0997 -0.1762 -0.0228 -0.0178 0.0156 -0.0826
Jan. 21, 1946 0.1373 -0.1588 0.3731 0.0125 -0.2100 0.0946 0.1594 0.0686Aug. 13, 1948 -0.0170 -0.1671 0.2076 0.1016 -0.1213 -0.0318 -0.0189 0.0097Sept. 9, 1955 0.1357 0.1415 0.1458 0.1446 -0.0810 0.0803 0.0368 0.0636
March 3, 1959 0.4922 0.3154 0.0677 0.1770 0.2508 0.1297 0.1516 0.1107Dec. 6, 1265 0.2058 0.2096 0.2178 0.1968 0.1566 -0.0011 0.0349 -0.0249
Apr. 19, 1968 0.5486 0.3751 0.5007 0.3981 0.1674 0.0400 0.0377 0.0446May 1, 1973 -0.3858 -0.7340 0.5393 -0.0782 0.1007 0.1193 -0.0711 -0.0079Jan. 9, 1978 -0.2578 -0.7564 -0.0783 0.1320 -0.0173 0.0371 0.1914 0.1305Dec. 5, 1980 -0.1820 -0.1639 -0.3470 0.1102 0.2414 0.1728 0.1868 0.1526
Jan. 24, 1989 -0.0714 -0.2173 0.2790 0.2999 0.2459 0.2780 0.1642 0.2234Nov., 15, 1994 0.2019 0.4006 -0.5600 -0.0910 -0.0059 0.0883 0.1287 0.1148
Feb. 2, 2000 -0.2378 0.6832 -0.3405 -0.4640 -0.2307 -0.0074 0.0412 0.0581Sept. 21, 2004 -0.1659 -0.3905 -0.1153 -0.1399 -0.2101 0.0229 -0.0107 0.0280
Construction: forestry, building contractors, paints, paving and roofing
materials, hand tools
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.0993 -0.6848 -0.0906 0.1044 0.0753 0.1528 0.1600 0.1776May 1, 1937 -0.5797 0.0514 0.5020 -0.2931 0.0144 0.0178 0.0283 -0.2255
Jan. 21, 1946 0.2049 -0.0994 0.5352 0.5775 0.0641 0.2065 0.1569 0.0928Aug. 13, 1948 -0.0497 -0.3297 0.3353 0.2271 -0.1044 0.0120 -0.0198 0.0084Sept. 9, 1955 0.3943 0.2890 0.3014 0.3452 -0.1430 0.0362 -0.0382 0.0401
March 3, 1959 0.2873 0.1376 0.1778 0.0991 0.0538 0.1014 0.0866 0.0625Dec. 6, 1265 0.0067 -0.0861 0.1874 0.1445 0.2049 0.0594 0.0490 -0.0316
Apr. 19, 1968 0.7917 0.2225 0.5651 0.4963 0.3246 0.1325 0.2000 0.1566May 1, 1973 -0.4342 -0.4739 0.4824 -0.1897 -0.1592 0.0793 0.0476 0.1140Jan. 9, 1978 -0.2227 -0.7914 -0.2445 -0.0295 0.0091 0.1006 0.2258 0.1439Dec. 5, 1980 -0.2457 -0.3977 -0.5095 -0.0141 0.0499 0.0811 0.1104 0.0839
Jan. 24, 1989 -0.0268 -0.0129 0.3430 0.3010 0.1006 0.1531 0.1152 0.1578Nov., 15, 1994 -0.0882 -0.1035 -0.8884 -0.2531 -0.0687 0.0500 0.0192 0.0335
Feb. 2, 2000 -0.3617 0.5518 -0.4650 -0.3233 0.0618 0.0010 -0.1548 -0.0561Sept. 21, 2004 0.0268 -0.0092 0.1457 0.1015 0.1634 0.2221 0.1501 0.1202
Steel: iron and steel foundries
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.1544 -0.5308 0.0661 0.2064 0.2141 0.2969 0.2811 0.2544May 1, 1937 -0.7422 -0.0512 0.2437 -0.6902 0.0674 0.1413 0.1145 -0.2165
Jan. 21, 1946 0.1222 -0.4348 0.4982 0.7634 -0.0405 0.0860 0.0835 0.0476
Aug. 13, 1948 -0.1384 -0.6643 0.5939 0.2839 -0.0732 0.0639 -0.0108 -0.0159Sept. 9, 1955 0.5697 0.7261 0.1245 0.1150 -0.3276 -0.0173 -0.0698 0.0189
March 3, 1959 0.3167 0.0759 0.4552 0.0913 0.0217 0.0605 0.1069 0.0840Dec. 6, 1265 -0.1090 -0.0961 0.1797 0.5978 0.4058 0.1322 0.1353 0.0169
Apr. 19, 1968 0.5785 0.5830 0.1796 0.3090 0.3038 0.0208 0.0656 0.0881May 1, 1973 -0.3161 -0.2985 0.4033 -0.2605 -0.1355 -0.0413 0.0092 0.1337Jan. 9, 1978 -0.0736 -0.5251 0.0442 0.0933 -0.1441 0.0411 0.1594 0.0587Dec. 5, 1980 -0.3116 0.0053 -0.7220 -0.2270 -0.0242 0.1442 0.2455 0.1704
Jan. 24, 1989 -0.1870 -0.0007 0.3354 0.0721 -0.0116 0.0691 -0.0090 0.0920Nov., 15, 1994 -0.3265 -0.3667 -0.9213 -0.3588 -0.0114 -0.0512 -0.0411 -0.0166
Feb. 2, 2000 -0.1621 -0.4437 -0.3103 0.6299 0.1823 0.1381 0.1335 0.1557Sept. 21, 2004 -0.1146 -0.0067 0.8376 0.8051 0.0760 0.1878 0.1095 0.1469
Fabricated Products: metal cans, shipping containers,
sheet metal work
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.3611 -0.9575 0.0817 0.5303 0.5398 0.3858 0.2594 0.1485May 1, 1937 -0.5681 0.0349 0.3251 -0.1956 -0.0355 0.0635 0.1017 -0.1214
Jan. 21, 1946 0.0102 -0.6572 0.1781 0.3740 -0.1336 0.0055 0.0364 0.0491Aug. 13, 1948 0.1727 -0.2167 0.2076 -0.1397 -0.1952 -0.0745 -0.0574 0.0070Sept. 9, 1955 0.2382 0.1935 -0.2497 -0.0603 -0.0631 0.0837 0.0465 0.0598
March 3, 1959 0.2806 0.1474 0.0519 0.0133 -0.2327 -0.0421 0.0042 -0.0152Dec. 6, 1265 0.1867 0.0559 0.2450 0.1238 0.1763 0.0680 0.0544 0.0016
Apr. 19, 1968 0.5692 0.0220 0.3112 0.4035 0.1727 0.0672 0.0648 0.1112May 1, 1973 -0.3045 -0.3610 0.7859 0.0796 -0.0201 0.0749 0.0177 0.0855Jan. 9, 1978 -0.0172 -0.3246 -0.0565 -0.0058 -0.0323 0.0949 0.1766 0.1283Dec. 5, 1980 -0.0326 -0.1669 -0.4713 -0.0123 -0.0441 -0.0009 0.0873 0.0515
Jan. 24, 1989 -0.0647 -0.0615 0.0866 0.2418 0.1221 0.1577 0.1268 0.1674Nov., 15, 1994 0.0595 0.1629 -0.7095 -0.3009 -0.0503 0.0494 0.0849 0.0953
Feb. 2, 2000 -0.9923 -0.5221 -1.1371 -0.5513 -0.0303 0.0537 0.0263 -0.0042Sept. 21, 2004 -0.0166 -0.1217 -0.0084 0.3957 0.3219 0.3017 0.1504 0.1514
Machinery: engines, cranes, office computers, lab instruments
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.2987 -0.7174 0.1456 0.2713 0.1865 0.2207 0.1836 0.1959May 1, 1937 -0.3304 0.5261 0.1348 -0.4813 0.1265 0.1036 0.0788 -0.1613
Jan. 21, 1946 0.1569 -0.1507 0.3187 0.4806 -0.0989 0.0566 0.0387 0.0118Aug. 13, 1948 -0.1346 -0.5861 0.5581 0.3080 -0.0898 0.0021 -0.0222 -0.0031Sept. 9, 1955 0.1534 0.1271 0.1519 0.1509 -0.2034 0.0440 0.0087 0.0725
March 3, 1959 0.3461 0.0477 0.1358 0.0899 0.1778 0.1976 0.1497 0.0820Dec. 6, 1265 -0.0731 -0.2612 0.3656 0.0740 0.0252 0.0356 0.1197 0.0437
Apr. 19, 1968 0.3348 0.1499 0.6020 0.5410 0.3867 0.0298 0.0553 0.0268May 1, 1973 -0.5220 -0.5787 0.5310 -0.1950 -0.0247 0.0523 -0.0004 0.0472Jan. 9, 1978 -0.1631 -0.7084 -0.0402 -0.0629 -0.0880 -0.0333 0.1560 0.0959Dec. 5, 1980 -0.3097 -0.2763 -0.3247 -0.0477 -0.0874 -0.0656 0.0175 0.0337
Jan. 24, 1989 -0.1902 -0.2332 -0.0468 -0.0918 -0.0999 0.0840 0.0271 0.0695Nov., 15, 1994 0.0229 0.0603 -0.8157 -0.3530 0.0232 0.0790 0.1349 0.1718
Feb. 2, 2000 -0.2397 0.1583 0.5384 0.4796 0.4876 0.2644 0.1437 0.1748Sept. 21, 2004 0.4490 -0.0071 -0.4519 0.3192 0.1617 0.2079 0.0739 0.0933
Cars: motor vehicles, motor homes, bicycles, auto dealers
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.3149 -0.9173 0.2431 0.1190 0.1245 0.3081 0.2416 0.1685May 1, 1937 -0.2567 0.5730 0.4304 -0.4446 -0.1121 -0.1254 0.0177 -0.1668
Jan. 21, 1946 -0.1411 -0.5959 0.2333 0.5777 -0.1250 0.0196 -0.0221 -0.0383Aug. 13, 1948 0.0083 -0.6201 0.6990 0.2342 -0.1663 0.0083 -0.0552 -0.0240Sept. 9, 1955 0.1599 0.0610 0.7778 0.6886 0.0499 0.1355 -0.0046 0.0229
March 3, 1959 0.2101 0.1388 0.1357 0.1192 0.1937 0.2223 0.2361 0.1574Dec. 6, 1265 -0.2140 -0.0987 -0.2267 -0.1401 0.1196 -0.0526 -0.0988 -0.1258
Apr. 19, 1968 0.2886 -0.1409 0.4066 0.3470 0.0787 -0.0121 0.0618 0.1019May 1, 1973 -0.4142 -0.3785 0.2111 -0.4315 -0.2605 -0.0717 -0.0801 -0.0483Jan. 9, 1978 -0.4863 -0.9124 -0.1802 -0.0949 0.0038 0.1273 0.1815 0.0948Dec. 5, 1980 -0.3281 -0.2981 -0.0646 0.1766 0.0586 0.1510 0.1929 0.1892
Jan. 24, 1989 -0.4017 -0.2899 0.2111 -0.0004 -0.1471 0.0169 -0.0192 0.0513Nov., 15, 1994 0.0475 0.2136 -1.3355 -0.4615 -0.0032 -0.0580 -0.0379 0.0015
Feb. 2, 2000 -0.2794 0.5123 -0.6356 -0.5954 -0.0039 0.1848 -0.0420 -0.0697Sept. 21, 2004 -0.2914 -0.1987 -0.1676 0.2058 -0.0293 0.1057 0.0122 0.0161
Transportation: truck bodies, aircraft and parts, ship
building, school buses
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.1770 -0.5479 -0.1417 0.0080 0.0345 0.0775 0.0536 0.0719May 1, 1937 -0.3765 0.5197 0.4880 -0.4334 -0.1085 -0.1218 -0.1306 -0.3454
Jan. 21, 1946 0.1463 -0.0977 0.2995 0.3688 -0.1508 0.0042 -0.0169 -0.0108Aug. 13, 1948 -0.1775 -0.5199 0.5879 0.3798 -0.0582 -0.0007 -0.0588 -0.0437Sept. 9, 1955 0.2524 0.3774 0.2411 0.1030 -0.1424 0.0940 0.0142 0.0578
March 3, 1959 0.2637 0.1852 0.3795 0.2552 0.1677 0.0726 0.0455 -0.0358Dec. 6, 1265 0.5555 0.2655 0.3495 0.2132 0.1649 0.0911 0.1660 0.0337
Apr. 19, 1968 0.8100 0.3511 0.5307 0.4720 0.2809 0.0494 0.0801 0.0823May 1, 1973 -0.8077 -0.8159 0.3742 -0.3819 -0.3030 -0.1064 -0.0962 0.0200Jan. 9, 1978 -0.1808 -0.6720 0.1892 0.1899 0.0531 0.1541 0.2919 0.2157Dec. 5, 1980 -0.1516 -0.2416 -0.4612 0.0863 0.0975 0.0482 0.1453 0.1168
Jan. 24, 1989 -0.0181 -0.1140 0.2805 0.2095 0.0500 0.1454 0.0814 0.1363Nov., 15, 1994 -0.1747 -0.1025 -0.7538 -0.2725 -0.0244 0.0813 0.1270 0.1279
Feb. 2, 2000 -0.8585 -0.6162 -0.8815 -0.6119 -0.0063 0.1579 0.0781 0.0774Sept. 21, 2004 0.1004 0.1520 -0.0162 0.2004 0.1115 0.1858 0.0713 0.1123
Utilities: electric, gas, sanitary services, water supply
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.3096 -0.7820 -0.0823 0.1148 0.0875 0.1820 0.1108 0.1875May 1, 1937 -0.4897 0.1507 0.0970 -0.7215 -0.2762 -0.0357 -0.0196 -0.1743
Jan. 21, 1946 0.4535 0.2854 0.5447 0.3131 -0.0989 0.0877 0.0701 0.0475Aug. 13, 1948 -0.1079 -0.3624 0.1937 0.0893 -0.0486 0.0118 -0.0457 0.0022Sept. 9, 1955 0.1110 0.1400 0.0020 0.0199 -0.1643 -0.0078 -0.0292 0.0124
March 3, 1959 0.2529 0.2958 0.1419 0.1128 0.0311 -0.0331 -0.0222 0.0030Dec. 6, 1265 -0.1442 -0.1581 0.0359 -0.0561 -0.0118 -0.1440 -0.0713 -0.0665
Apr. 19, 1968 0.2399 0.1959 0.0318 0.0349 0.0407 0.1481 0.0897 0.0888May 1, 1973 -0.1613 -0.2083 0.3670 0.0649 0.0171 -0.0622 -0.0360 -0.0185Jan. 9, 1978 -0.0797 -0.3505 -0.0682 -0.0523 -0.0407 0.0131 0.0072 0.0224Dec. 5, 1980 -0.1278 -0.5001 -0.1880 0.5109 0.1212 0.0117 0.0138 0.0194
Jan. 24, 1989 -0.0618 -0.0947 0.0858 0.0576 0.0487 0.1653 0.1508 0.1510Nov., 15, 1994 -0.0859 -0.2585 -0.1205 0.2545 0.0958 0.1522 0.0841 0.0979
Feb. 2, 2000 0.2199 -0.0650 -0.5377 -0.3564 -0.1188 0.0687 0.0934 0.0715Sept. 21, 2004 -0.0200 0.1473 0.0650 0.1921 0.1209 0.1772 0.1386 0.1501
Retail: department and grocery stores, eating and drinking
establishments, florists
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.0168 -0.5238 0.2630 0.2505 0.2645 0.2864 0.2804 0.2657
May 1, 1937 -0.4907 0.3088 0.0760 -0.5045 -0.1358 0.0025 0.0266 -0.1755
Jan. 21, 1946 0.2718 -0.1005 0.4952 0.4812 0.0059 0.2108 0.2306 0.0697
Aug. 13, 1948 0.0091 -0.2763 0.4433 0.3102 -0.0116 0.0517 0.0198 0.0262
Sept. 9, 1955 0.3037 0.2357 0.5419 0.6124 -0.0495 0.0809 -0.0086 0.0167
March 3, 1959 0.1815 0.1258 0.0239 -0.0874 -0.0060 0.0222 0.0569 0.0384
Dec. 6, 1265 -0.2228 -0.2225 0.0357 -0.0002 -0.0416 -0.1152 -0.0519 -0.0619
Apr. 19, 1968 0.5397 0.2891 0.5766 0.3669 0.2381 0.0374 0.1003 0.0993
May 1, 1973 -0.4494 -0.1939 0.3879 -0.2667 -0.0881 0.0393 -0.0227 0.0180
Jan. 9, 1978 -0.3440 -0.8678 -0.1826 -0.0803 -0.0673 0.0037 0.1462 0.0759
Dec. 5, 1980 -0.3678 -0.3243 -0.2978 -0.0145 0.2197 0.2222 0.3039 0.2517
Jan. 24, 1989 -0.1743 -0.3048 0.2818 0.2785 0.1542 0.2512 0.1427 0.1824
Nov., 15, 1994 0.0745 -0.1155 -0.6436 -0.3193 -0.2606 -0.0399 -0.0124 -0.0124
Feb. 2, 2000 -0.7150 -0.3522 -0.2813 -0.8058 -0.0509 -0.0131 -0.1041 -0.0304
Sept. 21, 2004 -0.0506 -0.1703 0.0988 0.2239 0.1551 0.1531 0.0980 0.1003
Other: paper, periodicals, barbershops, advertising, cable TV operators
10-day pre 5-day pre 5-day post 10-day post 30-day post 60-day post 90-day post 120-day post
July 7, 1928 -0.1738 -0.5644 -0.0537 0.0459 0.0601 0.1237 0.1333 0.1466May 1, 1937 -0.4536 -0.1092 0.0308 -0.3478 -0.0137 0.0121 0.0207 -0.0951
Jan. 21, 1946 0.0035 -0.2923 0.4972 0.3748 -0.0289 0.0971 0.0848 0.0405Aug. 13, 1948 -0.1452 -0.3891 0.2577 0.1577 -0.0623 -0.0008 -0.0121 -0.0107Sept. 9, 1955 0.1938 0.1639 0.2618 0.2297 -0.1136 0.0222 0.0073 0.0479
March 3, 1959 0.4382 0.3829 0.0779 0.0887 0.1767 0.0715 0.0601 0.0278Dec. 6, 1265 -0.0014 -0.0022 0.0338 0.0015 0.0660 -0.0147 0.0221 -0.0214
Apr. 19, 1968 0.4105 0.1515 0.4253 0.3025 0.1850 0.0695 0.0835 0.0960May 1, 1973 -0.4681 -0.4079 0.6036 -0.0154 -0.0894 0.0143 -0.0172 0.0245Jan. 9, 1978 -0.1688 -0.6470 -0.0686 -0.0497 0.0098 0.0855 0.1669 0.1115Dec. 5, 1980 -0.1297 -0.3833 -0.3224 0.2436 0.1052 0.0854 0.1511 0.1467
Jan. 24, 1989 -0.1033 -0.1168 0.3371 0.2686 0.1718 0.2733 0.1886 0.1986Nov., 15, 1994 -0.0255 0.0592 -0.6126 -0.2743 -0.0184 0.0757 0.0911 0.0806
Feb. 2, 2000 -0.3752 -0.2521 0.2076 -0.0252 0.1677 -0.1283 -0.1176 -0.0839Sept. 21, 2004 0.1161 -0.0730 -0.0750 0.3101 0.1010 0.1809 0.0725 0.0580
Gould’s signal
Market may anticipate rate increase Historically, Fed has raised rates during a market
decline Traditional interpretation of Gould’s rule appears to
work better during a strong market rally Some sectors may offer protection when a Fed rate
hike occurs
QUESTIONS?