Tabell’s Market Letter – September 04, 1987

,6 , …….. ——– — ,, ! TABELL'S MARKET II , LETTER I ! (– — – – —–.- – J f!7ak11 //nc. 600 ALEXANDER ROAD, PRINCETON, NEW JERSEY 08540 MEMBER NEW YORK STOCK EXCHANGE, INC MEMBER NATIONAL ASSOCIATION OF SECURITIES DEALERS, INC (609) 9872300 September 4, 1987 I..'.'.. -he-1' ,correction whlClll'irougnCtile-Dow -toa- POlnCluf'unaertIiF'260Ul';veI-at;; -. –'-.'.–..–,- Thursday's close and still lower early Friday does not, in and of itself, appear to be too disturbing. Through September 3, it is only the third largest correction of 1987, having been surpassed by short-term declines in both April and May. Moreover, most downside objectives for the averages have now been reached. What is interesting is the timing, the downswing having begun on August 25. This fits in with a pattern we have noted in the past, the downward bias for the month of September. The following table summarizes the 1088 monthly changes that have taken place in the DowJones Industrial Average since It was first calculated in 1897. It shows, from left to right, the mean percentage change for each month over the past 91 years, the standard deviation (a measure of the dispersion of individual values around that mean), and the number of months in which the Dow was up or down. As the final total shows, the mean of all percentage changes was a bit over one half of one percent, and, over the 91 years, the Dow has posted 620 up months and 468 down months. Mooio /1e.!.i!L StJ–De!J. I1lJLJ1i..lU /jwClt.blJOWCl ZCo!!ff … Cll.1.-S.lUZi'L..! .Jan 1 1 1.67 38 33 0.9'1 1.67' Fob -0.35 4 10 3 48 1.8 3.i2 Milr () -, I' 0.76 08; '5.1'12 6.78 ;1 . 9 37 0.33 0.21 4 o. P, 0.37 M2 1.lJ(1 – ' — . . -JIJl 0.37 0 -..4 1. '13 5.81 ') 6JJ .6-9 ,,,' 46 4.2 ;6 – 4il 35 1 .60 .0.).2 1 6 1 j Ldl, ) ''7-' ('i!J Ser- 1 .81 -1.30 5.91 6.09 6 37 2 1 , 61 r. -z Jo 3.1 S 9.2; Ocl 0.13 5.;; 50 40 0.7-1 0.08 Nov 0.80 'J.84 ;5 35 0.38 0.63 DeL' 1.31 '1.23 64 6 1.2; I 7'-' 7'-' ToLal 0.57 5.59 620 168 The final two columns represent bits of arcana of interest only to statisticians. The two statistics, z-score and Chi-Square, are standard tests of statistical significance. Both attempt to measure the probability of attaining by chance a subset of given characteristics from a larger set of values whose properties are known, in this case the 1088 known values of monthly percent changes in the Dow. The z-test relates to mean and the Chi-Square to fixed attributes, in this case, direction — up or down. In the case of September, we have a record of 90 months with a mean change of -1.3. In 37 Septembers, the Dow was up for the month, and in 53 it was down. The z-test tells us that the chances of choosing a sample of 90 with a mean of -1.3 by pure chance from the 1088 months are considerably less than 1 in 200, and the ChiSquare figure shows the same thing with respect to choosing a sample with 37 up- and 53 downmonths. The table quite clearly shows that, in terms of mean, September shows the highest degree of statistical significance of any month under study, surpassing even the well-documented tendency toward a December rally. A couple of sidelights are, perhaps, worthy of note. Part of the downward bias in September stems from its including two of the' worst declines of the 1929-1932 period, September, 1931, the second worst (after October, 1929) month in stock-market history, and September, 1930. However, interestingly enough, the tendency towards a weak September has become especially pronounced since the start of the current secular bull market in 1974. The Dow today is almost five times its level at the low of that year. Yet, since 1974, eleven out of thirteen Septembers have been downward months. Thus the weakness of early September, 1987 conforms to the historical pattern. AWTebh Dow Jones Industrials0200) 2580.04 S I P 500 (1200) 318.62 Cumulative Index (9/3/87) 4008.27 ANTHONY W. TABELL DELAFIELD, HARVEY, TABELL, INC. NO statement or epresslon of oplfllon Of any olher malter herem contamed IS, or IS to be deemed to be, directly or Ifldlfeclly, an oller Of the sollcllatlon 01 an offer to buyor sell any security relerred to or mentioned The matter IS presenled merely lor the convenlCnce of thesubscnber While we believe the sources of our Information to be reltable we In noway represent or guaranlee lhe accuracy theroof nor 01 Ihe statements made herem Any action to be faken by the subscriber Should be based on hiS own rnvestlgatlon and mformatlon Delafield. Harvey. Tabell Inc. es a corporation and tts officers or employees. may now h.we, or may later take. pOSllions or trades In respect to any securities mentioned Ifl thiS or any future Issue. and such posItion may bo dlfloren! from any views now or hmeaUere… pressed In Ihl; or any other Issue Delafield. Harvey, Tabell Inc, which IS registered wllh lhe SECas an Investment adVisor, may give adVice 10 115 Iflveslmenl adVISOry and othe' CUSlomers Ifldependenlly of any 51 elemenlS made In thiS or Ifl any other Issue Furlher mformatlon on any security menlloned herem IS available on reQuest