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Yet shortening the follow-up period to 1 month - that is, measuring the subsequent 1 month change in the SP500 - leads to even more splotchy results: SP 500 above or below its 6 month arithmetic average versus next 1 month change, June, 1945-May, 2007, n 724: Next 1 month change in the SP 500: What this means is that at the extremes, the subsequent 1 month rate of return is not good, as is true when looking at the next 12 months SP500 performance.
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