Claim check: Stairs up, elevator down
“Markets take the stairs up and the elevator down.”
What the data says
Holds Yes, in this data: daily returns had negative skew in 5 of 6 markets and statistically clear negative skew with the same sign in both halves in 4; in S&P 500 skewness was -0.34, the worst day -10.9% and the best day +10.5%.
The effect shows up in most markets, passes the significance guard, and has the same sign in both halves of the history.
Who says it
Wall Street saying often attributed to traders; cited in crash commentary.
Origins are as commonly cited and were not independently verified.
How we tested it
Skewness of daily returns: a negative value means the biggest moves are down moves (slow climbs, sudden drops). The t-stat of skewness is skew / sqrt(6 / n); it must be below -2 and negative in both halves. We also report the average down day and up day and the worst and best day. Only daily returns are tested, not the length of rallies and declines.
Results
| Market | Days | Skew | t-stat | First half | Second half | Average down day | Average up day | Worst day | Best day |
|---|---|---|---|---|---|---|---|---|---|
| S&P 500 | 4239 | -0.34 | -9.0 | -0.45 | -0.28 | -0.74% | +0.70% | -10.9% | +10.5% |
| Gold | 4239 | -0.54 | -14.4 | -0.49 | -0.59 | -0.77% | +0.75% | -10.3% | +6.4% |
| Silver | 4239 | -1.14 | -30.3 | -0.73 | -1.36 | -1.39% | +1.37% | -28.5% | +9.1% |
| Commodities | 4239 | -0.52 | -13.9 | -0.26 | -0.69 | -0.86% | +0.80% | -7.9% | +4.8% |
| Agriculture | 4239 | -0.08 | -2.0 | 0.12 | -0.25 | -0.63% | +0.66% | -4.9% | +6.3% |
| EUR/USD | 4387 | 0.00 | 0.1 | -0.01 | 0.05 | -0.39% | +0.39% | -2.8% | +3.2% |
Skewness of daily returns, by market
Stability across the two halves of history
A saying that only works in one half of the history is not much of a rule. Each row shows the effect in the full history, the first half and the second half; green means the claimed effect was present.
| Market | Skewness, full | First half | Second half |
|---|---|---|---|
| S&P 500 | -0.34 | -0.45 | -0.28 |
| Gold | -0.54 | -0.49 | -0.59 |
| Silver | -1.14 | -0.73 | -1.36 |
| Commodities | -0.52 | -0.26 | -0.69 |
| Agriculture | -0.08 | 0.12 | -0.25 |
| EUR/USD | 0.00 | -0.01 | 0.05 |
The honest caveat
Rally and drop legs depend on how turning points are defined.
Descriptive statistics from historical data, before costs. Not a forecast and not investment advice.
Questions
Markets take the stairs up and the elevator down.
Yes, in this data: daily returns had negative skew in 5 of 6 markets and statistically clear negative skew with the same sign in both halves in 4; in S&P 500 skewness was -0.34, the worst day -10.9% and the best day +10.5%.
How was this claim tested?
Skewness of daily returns: a negative value means the biggest moves are down moves (slow climbs, sudden drops). The t-stat of skewness is skew / sqrt(6 / n); it must be below -2 and negative in both halves. We also report the average down day and up day and the worst and best day. Only daily returns are tested, not the length of rallies and declines.
Markets used
S&P 500 · Gold · Silver · Commodities · Agriculture · EUR/USD