Market Insights: S&P 500 low volatility streak ends at 58 days
It has been a very long time since we've seen the S&P 500 index move up or down more than 1% on a closing basis. In fact, it has been 58 days, with the streak ending yesterday as the index fell 1.45%. Over the last 50 years, this streak is ranked the 8th longest on record. It had also been 58 days since we last saw greater than a 1% down move (20th longest) and has been 76 days, and still counting, since we last saw greater than a 1% up move (7th longest). What we found interesting though is the fact that this type of low volatility streak ending to the downside has actually been a more positive future signal in the past than the streak ending to the upside. As the following chart from the very insightful Bespoke Investment Group shows, there has been quite a difference in the average forward performance of the market index when one of these streaks ends. What this is essentially saying is that if a streak like this is broken, it has historically been better, on average, for it to be broken to the downside than the upside, especially in the near-term (one month).
Source: Bespoke Investment Group