industry responses to fed policy changes cfa society houston wednesday, april 8, 2015 julie r....

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%

Click icon to add picture

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.

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

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

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

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


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


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


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


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


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


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


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


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


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


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


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


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


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


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


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?

industry responses to fed policy changes cfa society houston wednesday, april 8, 2015 julie r....

Documents

month rate

discount rate

target federal funds

median returns

unusual times

step signal annualizedassuming

daily returns

step signal stumbling