{"id":19540,"date":"2022-07-11T23:03:52","date_gmt":"2022-07-11T21:03:52","guid":{"rendered":"https:\/\/quantpedia.com\/?p=19540"},"modified":"2025-06-04T14:23:13","modified_gmt":"2025-06-04T12:23:13","slug":"the-worst-one-day-shocks-and-the-biggest-geopolitical-events-of-the-past-century","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/the-worst-one-day-shocks-and-the-biggest-geopolitical-events-of-the-past-century\/","title":{"rendered":"The Worst One-Day Shocks and The Biggest Geopolitical Events of the Past Century"},"content":{"rendered":"<p class=\"wp-block-paragraph\"><strong>We dedicated several articles to how we created 100-year history for <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/extending-historical-daily-bond-data-to-100-years\/\">bonds<\/a>, stocks, and <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/extending-historical-daily-commodities-data-to-100-years\/\">commodities<\/a>. Now we analyze the 50 worst one-day shocks and the following days in each of the abovementioned asset classes. In addition to that, we also look at how the <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/100-years-of-multi-asset-trend-following\/\">Multi-Asset Trend-Following strategy<\/a> performed during the same periods. Further, the second part of this article focuses on critical geopolitical events (the starts of major wars, international crises, and deterioration of US presidents&#8217; health)<\/strong> <strong>and their effect on bonds, stocks, commodities, and the multi-asset trend-following strategy.<\/strong><\/p>\n\n\n<p><\/p><center>Video summary:<\/center><p><\/p>\n<figure class=\"wp-block-embed-youtube wp-block-embed is-type-video is-provider-youtube wp-embed-aspect-16-9 wp-has-aspect-ratio responsive-video wp-embed-aspect-4-3\">\n<div class=\"wp-block-embed__wrapper\">\n<iframe title=\"Contrarian Trading During Wars - Quantpedia Explains (Trading Strategies)\" width=\"800\" height=\"450\" src=\"https:\/\/www.youtube.com\/embed\/xK-eYmxR6Qk?list=PLxHtPNfvTm82UAYawJjOsdgM1zQ7c2T76\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" referrerpolicy=\"strict-origin-when-cross-origin\" allowfullscreen><\/iframe>\n<\/div>\n<\/figure>\n\n\n<h1 class=\"wp-block-heading\"><span style=\"font-size: 18pt;\"><strong>The Worst One-Day Shocks<\/strong><\/span><\/h1>\n\n\n\n<h2 class=\"wp-block-heading\"><span style=\"font-size: 14pt;\"><strong>One-Day shocks in Bonds<\/strong><\/span><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">First of all, we sorted the daily returns from the worst to the best. Then we took fifty worst one-day returns and analyzed the next couple weeks following the one-day shock.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The following figure represents the equity curves of bonds for one month after the one-day shock. The figure also shows the average return and the 10th and 90th percentile.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img fetchpriority=\"high\" decoding=\"async\" width=\"800\" height=\"404\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/1-Bonds.png\" alt=\"\" class=\"wp-image-19541\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/1-Bonds.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/1-Bonds-300x152.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img decoding=\"async\" width=\"676\" height=\"223\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/2-Bonds-tab.png\" alt=\"\" class=\"wp-image-19542\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/2-Bonds-tab.png 676w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/2-Bonds-tab-300x99.png 300w\" sizes=\"(max-width: 676px) 100vw, 676px\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">The previous table shows the distribution of performance during the one-day shock (1st-day column), bond market performance one week and one month after the shock, the average length of drawdown aftershock (#days until recovery), and maximal drawdown during the period that comes next after the shock (min until recovery column). The performance distribution is interesting as it shows that the bond market, on average, recovered after the one-day shock (50th percentile). But there are a significant number of events when the bond market continued to fall even one month after the one-day shock (percentiles 0th to 25th). So we surely can&#8217;t count on strong mean reversion after one-day shocks.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Secondly, we looked into how the Multi-Asset Trend-Following strategy performed during the same periods. And as we can see, the strategy performed much better compared to bonds. Trend strategy is diversified and not significantly influenced by negative one-day shock in bonds.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img decoding=\"async\" width=\"800\" height=\"404\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/3-BondsTrend.png\" alt=\"\" class=\"wp-image-19543\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/3-BondsTrend.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/3-BondsTrend-300x152.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"350\" height=\"223\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/4-BondsTrend-tab.png\" alt=\"\" class=\"wp-image-19544\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/4-BondsTrend-tab.png 350w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/4-BondsTrend-tab-300x191.png 300w\" sizes=\"(max-width: 350px) 100vw, 350px\" \/><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\"><span style=\"font-size: 14pt;\"><strong>One-Day shocks in Stocks<\/strong><\/span><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">Again, the first step was to sort 100 years of the daily returns from the worst to the best. Then we took fifty worst one-day returns and analyzed the month following the one-day shock. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The figure below represents the equity curves of stocks for one month after the one-day shock. The figure also shows the average return and the 10th and 90th percentile.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"404\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/5-Stocks.png\" alt=\"\" class=\"wp-image-19545\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/5-Stocks.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/5-Stocks-300x152.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"676\" height=\"223\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/6-Stocks-tab.png\" alt=\"\" class=\"wp-image-19546\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/6-Stocks-tab.png 676w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/6-Stocks-tab-300x99.png 300w\" sizes=\"(max-width: 676px) 100vw, 676px\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">Once again the performance distribution shows that the stock market, on average, recovered after the one-day shock (50th percentile). But as in bonds, there are a significant number of events when the stock market continued to fall even one month after the one-day shock (percentiles 0th to 25th).<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">And we also looked into how the Multi-Asset Trend-Following strategy performed during the same periods. As before, the trend strategy is diversified and not significantly influenced by negative one-day shock in stocks.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"404\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/7-StocksTrend.png\" alt=\"\" class=\"wp-image-19547\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/7-StocksTrend.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/7-StocksTrend-300x152.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"351\" height=\"223\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/8-StocksTrend-tab.png\" alt=\"\" class=\"wp-image-19548\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/8-StocksTrend-tab.png 351w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/8-StocksTrend-tab-300x191.png 300w\" sizes=\"(max-width: 351px) 100vw, 351px\" \/><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\"><span style=\"font-size: 14pt;\"><strong>One-Day shocks in Commodities<\/strong><\/span><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">Lastly, we sorted the daily returns of commodities from the worst to the best. We took fifty worst one-day returns and analyzed the month following the one-day shock.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The figure below represents the equity curves of commodities for one month after the one-day shock. The figure also shows the average return and the 10th and 90th percentile. <\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"404\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/9-Commodities.png\" alt=\"\" class=\"wp-image-19549\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/9-Commodities.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/9-Commodities-300x152.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"677\" height=\"223\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/10-Commodities-tab.png\" alt=\"\" class=\"wp-image-19550\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/10-Commodities-tab.png 677w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/10-Commodities-tab-300x99.png 300w\" sizes=\"(max-width: 677px) 100vw, 677px\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">On average, commodities are the asset with the weakest mean reversion characteristics. In most of the cases (50th percentile), commodities continue to fall even one month after the one-day shock.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">And we also looked into how the Multi-Asset Trend-Following strategy performed during the same periods. As the following table shows, the strategy has a positive average return during the periods which follow the biggest shocks in commodities.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"404\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/11-CommoditiesTrend.png\" alt=\"\" class=\"wp-image-19551\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/11-CommoditiesTrend.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/11-CommoditiesTrend-300x152.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"349\" height=\"223\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/12-CommoditiesTrend-tab.png\" alt=\"\" class=\"wp-image-19552\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/12-CommoditiesTrend-tab.png 349w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/12-CommoditiesTrend-tab-300x192.png 300w\" sizes=\"(max-width: 349px) 100vw, 349px\" \/><\/figure>\n\n\n\n<h1 class=\"wp-block-heading\"><span style=\"font-size: 18pt;\"><strong>Biggest Geopolitical Events of the Century<\/strong><\/span><\/h1>\n\n\n\n<p class=\"wp-block-paragraph\">Similar to the figures we illustrated above, we also analyzed time periods following the century&#8217;s most significant events. We sorted them into three categories:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Major Wars,<\/li>\n\n\n\n<li>International Crisis,<\/li>\n\n\n\n<li>USA President&#8217;s Health and Stock Market<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">We analyzed the performance of the US Market (stocks) and the multi-asset trend-following strategy during the periods mentioned above.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span style=\"font-size: 14pt;\"><strong>Major Wars<\/strong><\/span><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">In this section, we analyze nine wars and look at the performance of the US market and the multi-asset trend-following strategy during the periods following these events. The wars we examine are:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Ribbentrop-Molotov pact (prelude to start of WW2) &#8211; 23.8.1939<\/li>\n\n\n\n<li>Germany attacks France in WW2 &#8211; 10.5.1940<\/li>\n\n\n\n<li>Japan Pearl Harbor attack &#8211; 7.12.1941<\/li>\n\n\n\n<li>Start of Korean War &#8211; 25.6.1950<\/li>\n\n\n\n<li>Start of Suez War &#8211; 29.10.1956<\/li>\n\n\n\n<li>Start of Israel Arab War &#8211; 29.10.1973<\/li>\n\n\n\n<li>Iraq invasion of Kuwait &#8211; 2.8.1990<\/li>\n\n\n\n<li>Start of Iraq War &#8211; 20.3.2003<\/li>\n\n\n\n<li>Russia Attacks Ukraine &#8211; 24.2.2022<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">The following figure shows the performance of stocks during the periods following the major events as well as the average return (black line) and the 10th and 90th percentile (dashed red line). <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Quick analysis shows, that the performance of stock market after the start of the war is not uniform. Some wars impact stock market more than others. On average, the maximal risk up until one month is -17%. On average (black line in the chart), the stock market is not impacted a lot.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"399\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/13-Wars-Stocks.png\" alt=\"\" class=\"wp-image-19553\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/13-Wars-Stocks.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/13-Wars-Stocks-300x150.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"171\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/14-Wars-Stocks-tab.png\" alt=\"\" class=\"wp-image-19554\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/14-Wars-Stocks-tab.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/14-Wars-Stocks-tab-300x64.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">As the figure below shows, the average performance of the multi-asset trend-following strategy was positive even during major wars.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"399\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/15-Wars-Trend.png\" alt=\"\" class=\"wp-image-19555\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/15-Wars-Trend.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/15-Wars-Trend-300x150.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"775\" height=\"245\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/16-Wars-Trend-tab.png\" alt=\"\" class=\"wp-image-19556\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/16-Wars-Trend-tab.png 775w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/16-Wars-Trend-tab-300x95.png 300w\" sizes=\"(max-width: 775px) 100vw, 775px\" \/><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\"><span style=\"font-size: 14pt;\"><strong>International Crisis<\/strong><\/span><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">Secondly, we expanded our <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/factor-performance-in-cold-war-crises-a-lesson-for-russia-ukraine-conflict\/\">cold-war crisis study<\/a> and looked at the triggers of fifteen international crises, including:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Berlin Blockade &#8211; 18.6.1948<\/li>\n\n\n\n<li>First Soviet Atomic Bomb &#8211; 23.9.1949<\/li>\n\n\n\n<li>First Soviet Hydrogen Bomb &#8211; 20.8.1953<\/li>\n\n\n\n<li>Hungarian Revolution of 1956 &#8211; 4.11.1956<\/li>\n\n\n\n<li>Sputnik 1 &#8211; 4th Oct 1957<\/li>\n\n\n\n<li>Cuba &#8211; Bay of Pigs &#8211; 17.4.1961<\/li>\n\n\n\n<li>Berlin Wall Crisis of 1961 &#8211; 13.8.1961<\/li>\n\n\n\n<li>Cuban Missile Crisis &#8211; 22.10.1962<\/li>\n\n\n\n<li>Tet offensive (part of Vietnam War) &#8211; 30.1.1968<\/li>\n\n\n\n<li>Munich Olympic Games Massacre &#8211; 5.9.1972<\/li>\n\n\n\n<li>Iranian hostage crisis &#8211; 5.10.1979<\/li>\n\n\n\n<li>Start of Iraq-Iran War &#8211; 22.9.1980<\/li>\n\n\n\n<li>Kosovo bombing &#8211; 23.3.1999<\/li>\n\n\n\n<li>9\/11 &#8211; 11.9.2001<\/li>\n\n\n\n<li>Arab Spring (Egypt) &#8211; 25.1.2011<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">The following figure shows the performance of stocks during the periods following the major events, as well as the average return (black line) and the 10th and 90th percentile (dashed red line). We can see that the crisis period is usually short-lived, with an average maximal drawdown on the 8th day after the start of the crisis and nearly complete recovery one month after the crisis.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"320\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/17-Crisis-Stocks.png\" alt=\"\" class=\"wp-image-19557\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/17-Crisis-Stocks.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/17-Crisis-Stocks-300x120.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"283\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/18-Crisis-Stocks.png\" alt=\"\" class=\"wp-image-19558\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/18-Crisis-Stocks.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/18-Crisis-Stocks-300x106.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">As the figure below shows, the average performance of the multi-asset trend-following strategy was again positive during international crises.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"319\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/19-Crisis-Trend.png\" alt=\"\" class=\"wp-image-19559\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/19-Crisis-Trend.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/19-Crisis-Trend-300x120.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"671\" height=\"369\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/20-Crisis-Trend.png\" alt=\"\" class=\"wp-image-19560\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/20-Crisis-Trend.png 671w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/20-Crisis-Trend-300x165.png 300w\" sizes=\"(max-width: 671px) 100vw, 671px\" \/><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\"><span style=\"font-size: 14pt;\"><strong>USA President&#8217;s Health and Stock Market<\/strong><\/span><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">Lastly, we examined how the health of the US presidents affected the US market over the past 100 years. We analyzed the following events:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Eisenhower Hearth Attack &#8211; 25.9.1955<\/li>\n\n\n\n<li>Assassination of Kennedy &#8211; 22.11.1963<\/li>\n\n\n\n<li>Attempted Assassination of Reagan &#8211; 30.3.1981<\/li>\n\n\n\n<li>Trump tested positive for COVID19 &#8211; 2.10.2020<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">Surprisingly, the health of the US president does not affect the market as much as one might think. The following figure shows the performance of stocks during the abovementioned periods as well as the average return and the 10th and 90th percentile. We can see that, on average, the stock market was impacted by the US president&#8217;s health problems only for two trading days.<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"319\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/21-President-related-events-Stocks.png\" alt=\"\" class=\"wp-image-19561\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/21-President-related-events-Stocks.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/21-President-related-events-Stocks-300x120.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"107\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/22-President-related-events-Stocks.png\" alt=\"\" class=\"wp-image-19562\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/22-President-related-events-Stocks.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/22-President-related-events-Stocks-300x40.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"321\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/23-President-related-events-Trend.png\" alt=\"\" class=\"wp-image-19563\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/23-President-related-events-Trend.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/23-President-related-events-Trend-300x120.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image aligncenter\"><img loading=\"lazy\" decoding=\"async\" width=\"672\" height=\"139\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/07\/24-President-related-events-Trend.png\" alt=\"\" class=\"wp-image-19564\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/24-President-related-events-Trend.png 672w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/07\/24-President-related-events-Trend-300x62.png 300w\" sizes=\"(max-width: 672px) 100vw, 672px\" \/><\/figure>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-854363cc-8450-4dc0-a06a-c737766e9431\"><strong>Are you looking for more strategies to read about? <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/sign-up-for-our-newsletter\/\">Sign up for our newsletter<\/a> or visit our <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/blog\/\">Blog<\/a> or <a href=\"http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener\">Screener<\/a><\/strong>.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-65925002-6290-4d3b-b5cd-f3a277851ec8\"><strong>Do you want to learn more about Quantpedia Premium service? Check <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/how-it-works\/\">how Quantpedia works<\/a>, <a href=\"http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Home\/About\">our mission<\/a> and <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/pricing\/\">Premium pricing offer<\/a>.<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-34bf63ae-5a22-40a3-aeb4-769374e833d8\"><strong>Do you want to learn more about Quantpedia Pro service? Check its <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/how-it-works\/quantpedia-pro\/\">description<\/a>, watch <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/how-it-works\/quantpedia-explains\/\">videos<\/a>, review <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/how-it-works\/quantpedia-pro-reports\/\">reporting capabilities<\/a> and visit our <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/pricing-pro\/\">pricing offer<\/a>.<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-21942b3a-14d9-4c0f-b8ef-04d64675e253\"><strong>Are you looking for historical data or backtesting platforms? Check our list of&nbsp;<a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/links-tools\/?category=algo-trading-discounts\">Algo Trading Discounts<\/a><\/strong>.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Would you like free access to <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/pricing\/\" title=\"\">our services<\/a>? Then, <a href=\"https:\/\/lightspeed.com\/lp\/quantpedia-lightspeed-financial-services-group-one-free-year-promotion\" title=\"\">open an account with Lightspeed<\/a> and enjoy one year of Quantpedia Premium at no cost.<\/strong><\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-4c45d6c9-c8dd-4283-8743-bf573cfa4d45\"><strong>Or follow us on:<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-476e95ed-31a5-4c4d-b701-5203f9fb2e24\"><strong>Facebook <a href=\"https:\/\/www.facebook.com\/groups\/quantstrategies\">Group<\/a>, Facebook <a href=\"https:\/\/www.facebook.com\/quantpedia\/\">Page<\/a>, <a href=\"https:\/\/twitter.com\/quantpedia\">Twitter<\/a>, <a href=\"https:\/\/www.linkedin.com\/company\/quantpedia\">Linkedin<\/a>, <a href=\"https:\/\/quantpedia.medium.com\/\">Medium<\/a> or <a href=\"https:\/\/www.youtube.com\/channel\/UC_YubnldxzNjLkIkEoL-FXg\">Youtube<\/a><\/strong><\/p>","protected":false},"excerpt":{"rendered":"<p><strong><\/p>\n<p>We dedicated several articles to how we created 100-year history for <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/extending-historical-daily-bond-data-to-100-years\/\"><strong>bonds<\/strong><\/a>, stocks, and <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/extending-historical-daily-commodities-data-to-100-years\/\"><strong> commodities <\/strong><\/a>. Now we analyze the 50 worst one-day shocks and the following days in each of the abovementioned asset classes. In addition to that, we also look at how the <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/100-years-of-multi-asset-trend-following\/\"><strong>multi-asset trend-following strategy<\/strong><\/a> performed during the same periods. Further, the second part of this article focuses on critical geopolitical events (the starts of major wars, international crises, and deterioration of US presidents&#8217; health) and their effect on bonds, stocks, commodities, and the multi-asset trend-following strategy.<\/p>\n<p><\/strong><\/p>","protected":false},"author":24306,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[51,46,159,52,48],"class_list":["post-19540","post","type-post","status-publish","format-standard","hentry","category-uncategorized","tag-market-timing","tag-momentum","tag-own-research","tag-seasonality","tag-trendfollowing"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/19540","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/24306"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=19540"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/19540\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=19540"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=19540"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=19540"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}