Holiday Turns:  Emperical Data


Market Summary:  6/27/15 


The Russell 2000 index has reversed.  In addition, the S&P 500 volatility has declined to pre-2008 crisis levels.  We now have yet another potential reversal during or just prior to (or just after) a holiday week.


This is how the Russell looked when the reversal was identified. 


Other notable reversals that occurred prior to, during, or just after a holiday week: 

  • Week of 5/23/08:  S&P 500 makes a high on the Monday prior to Memorial Day:   S&P then crashes over 53%.
  • Week of 7/3/14:  Russell 2000 makes a high on the Tuesday of the July 4th week:  Subsequent decline is 9%
  • Week of 9/5/14:  Russell 2000 makes a high on the Wednesday after the Labor Day weekend:  Subsequent decline is 12%
  • Week of 6/26/15:  Russell 2000 makes a high on the Wednesday prior to the July 4th week:  Subsequent decline:  27%
  • Going way back:  The all time market high of 1929, occurred on September 3rd, of that year.  That date was the Tuesday following the Labor Day Weekend.  Subsequent decline was 84 - 89%

Updated IWM (Russell 2000), from time of reversal identification to the low: