Bad Week Ahead for Russell 2000?

I took a look at weekly returns for the Russell 2000 for the week ending the second Friday in June when it is the second year of the election cycle. There have been five such weeks since the creation of the Russell 2000 index in 1987, and the index was down each time. Here is the data:

Russell 2000 return for week ending second Friday in June
Second Year of Election Cycle      
YEAR 1st Fri 2nd Fri      
2006 737.45 701.39 -4.89%    
2002 470.51 459.07 -2.43%    
1998 454.24 441.59 -2.78%    
1994 252.1 250.58 -0.60%    
1990 169.7 168.93 -0.45%    
      -2.23%    

The last three weekly returns in 1998, 2002 and 2006 were especially bad. It will be interesting to see if the pattern persists given we are coming off a big down day on Friday (Russell index down 5%) and the market already is somewhat oversold.

The 2010 reconstitution of the Russell Indexes will take place after the market closes on June 25, 2010. This should lead to increased volume in Russell 2000 stocks over the next few weeks.

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3 responses to “Bad Week Ahead for Russell 2000?

  1. Hi QI, how are you? How you been handling the market volatility lately? Are you in cash, long, long/short or short?

  2. quantinvestor

    Calvin- I’m mainly in closed-end funds and mutual funds- about 60% fixed income, 40% equities. But some of the equity positions are related to tender offers, or not straight equities. I recently bought some GCF which invests mainly in currencies.
    I also hold a few very long term positions in taxable accounts that I don’t plan to trade (e.g. BRKA, MSFT, CSCO).

  3. Got it, sounds like you are a bit cautious here, just like me. 🙂

    Keep up the good writings on this blog.

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