Down Days Nowhere Near Historic Extremes by Jennifer Thomson, Gavekal Capital Blog
The recent market correction has moved our down days market internals indicators from multi-year extreme lows (i.e. little to no volatility on the downside), but none of them has reached a level historically consistent with meaningful lows in price. For the MSCI World Index, the six-month sum of days that have finished down by 1% or more hit 12 last week, just short of the 13 registered back in March (the most extreme value since 2012):
Similarly, 2% down days over the last two quarters have barely moved out of the 0-1 range that has characterized the last three years:
Finally, there has been just one day in the last six months when the MSCI World Index finished down by 3% or more:
By region, MSCI Europe leads the number of 1% down days with 25 (compared to 15 and 16 for MSCI North America and MSCI Asia Pacific, respectively). The discrepancy is smaller when we look at 2% down days, with each region experiencing 5-7 over the last two quarters. Down days of 3% or greater have been most prevalent in MSCI Asia Pacific (3 days over six months), but all remain very near low levels characteristic of the last several years.
MSCI Asia Pacific
MSCI North America