Tracking the Memorial Day Effect

05/28/2014 7:00 am EST

Focus: STOCKS

During the last four years, the S&P 500 has fallen by more than 1% during the holiday-shortened Memorial Day week, notes the staff at BespokeInvest.com.

Memorial Day gives the country a chance to honor those who served our country. Memorial Day also marks the unofficial beginning to summer, and for those interested, below is a look at how the S&P 500 (SPX) (SPY) has historically performed during the shortened Memorial Day holiday work week. Since Memorial Day became an official federal holiday designated on the last Monday of May, the S&P 500 has averaged a nice gain of 0.56% during the four-day Memorial Day work week. The median gain has been even better at +0.61%, and the index has seen gains during this four-trading day stretch just over 60% of the time.

One big caveat to the strong Memorial Day week returns is that over the last four years, the S&P has done very poorly. As shown below, the S&P has fallen by more than 1% during each Memorial Day week over the last four years. The bulls are hoping that 2014 bucks this recent trend given how many trends from this bull market have already been bucked this year!

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The Most Volatile Stocks in the S&P 1500
For traders with a short-term time horizon who are looking for big moves over a short period, we have updated the list of the S&P 1500 stocks trading above $10 that have the largest intraday high-low ranges (based on the average percent spread between the intraday high and low over the last 50 days). The stocks are grouped based on whether they have a rising or falling 50-day moving average (DMA).

With biotech (IBB) and social media/cloud (SOCL) (FDN) stocks selling off hard over the last two months, the list below is dominated with stocks from the healthcare (XLV) and technology (XLK) sectors. In this month's list there are 17 stocks from the healthcare sector and 16 from technology.

As a sign of the increasing volatility in the market over the last several weeks, the number of stocks listed with average intraday ranges of 5% or more has been steadily increasing. In early February, only three stocks trading above $10 per share had an average daily range of more than 5%. Last month, that number increased to 17, and this month we saw an additional uptick to 18.

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Leading the way on the volatility scale is Ligand Pharmaceuticals (LGND), with an average daily range of 6.6%.  Other notable stocks on the list include First Solar (FSLR), 3D Systems (DDD), Trip Advisor (TRIP), OpenTable (OPEN), and Biogen (BIIB), which is also the highest priced stock on this month's list. Trading at just under $300 per share, BIIB averages an intraday daily range of $12.50 per day. That's a day trader's dream…or depending on their timing, nightmare.

By the Staff of BespokeInvest.com

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