Five 3-Standard-Deviation Price-Moves Post-Election

Submitted by Eric Bush via Gavekal Capital blog,
Most of the time not a whole lot actually changes in the markets over the course of a month. For example, small cap stocks tend to outperform large cap stocks by a rather mundane 31 bps over the course of a month on average going back to 1996. There are, however, periods of time when extreme moves do occur over the course of a month. We have just experienced one of those times.
A three standard deviation price change is a pretty rare event especially outside of a crisis period. The US presidential election has clearly been that rare event catalysts. In the charts below, we have identified five different examples of a three standard deviation 1-month price change in four different asset classes: equities, commodities, fixed income, and currencies.
In equities, we have experienced an extreme move in the relative price change between small cap stocks against large cap stocks. As of 12/8/2016, the S&P 600 had outperformed the S&P 500 by over 12% over the previous month. This was the best 1-month outperformance since March 2000 and the first positive three standard deviation move since 2002.

This post was published at Zero Hedge on Dec 23, 2016.