The S&P 500 Index (SPX) Joins The 'Death Cross' Party

Does the S&P 500 Index's (SPX) death cross tell us anything about where the market might go?

Aug 28, 2015 at 3:02 PM
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First, it was the Dow. Then came the Russell 2000 Index (RUT), which was followed by Apple Inc. (NASDAQ:AAPL). Now, it's the S&P 500 Index's (SPX) turn for a "death cross," with the 50-day moving average crossing below the 200-day trendline today. Courtesy of Schaeffer's Senior Quantitative Analyst Rocky White, the data below provides insight on how the broad-market barometer tends to react after a death cross has occurred. 

150828Death

From the above data, we can see how the SPX has historically struggled in the immediate aftermath a death cross signal -- averaging a one-month loss of 0.7%, and positive less than half the time. This, versus a one-month anytime return of 0.7% for the SPX, which is positive 61% of the time. However, the average SPX return gets better the further removed it is from a signal. 


The real concern arises when looking at the longer-term returns for the SPX in the wake of a the death cross. Going out a full year, the SPX has averaged an 8.86% anytime return, compared to just a 3.94% return post-death cross. Meanwhile, it should be noted that the SPX has come out positive 69% of the time after a signal, going out a year -- not much lower than the comparative anytime figure of 73%. 

Below you can find a full list of the S&P 500 Index death crosses since 1950. There have been 32 total, with the most recent in August 2011. 

150828SPXDEATH

 

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