Friday, August 17, 2007

spx seasonality

Seasonality: investing 100% in Nov-Feb, May-June, else 100% cash 10/84-7/00.

Model:

B&H:

Diff:

10k =>

246,889

155,404

91,485

rr:

22.6%

19.0%

3.6%

Average DD:

1,092

2,281

(1,190)

Worst DD:

28,472

53,456

(24,984)

Worst %DD:

11.5%

34.4%

-22.9%

Using the median rather than the mean gives a similar picture:

NASDAQ stats, 10/84 - 7/00:

Month:

Average:

Rank:

Z Value:

Median:

Rank:

All:

1.65%

2.14%

1

4.64%

1

167.12%

3.83%

1

2

3.52%

3

104.67%

3.10%

2

3

0.83%

8

-45.67%

1.91%

6

4

-0.14%

11

-99.87%

0.86%

10

5

1.82%

6

9.55%

3.04%

4

6

2.19%

4

30.04%

1.59%

8

7

0.30%

9

-75.09%

0.91%

9

8

-0.12%

10

-98.34%

3.10%

3

9

0.87%

7

-43.52%

0.77%

11

10

-0.84%

12

-138.74%

1.73%

7

11

2.15%

5

27.88%

0.27%

12

12

4.23%

2

144.43%

2.82%

5

Nov-Mar

3.07%

Note that the top 6 months by median return are:

January 3.83%

February 3.10%

August 3.10%*

May 3.04%

December 2.82%

March 1.91%

These are similar to the top 6 by mean but not identical; note that August had a negative mean return but ranked third by top median return.

Typical Year:

Typical Year, 100 = prior December close, based on average monthly change:

Month:

Mean:

Index:

12/31:

100.00

1

4.64%

104.64

2

3.52%

108.33

3

0.83%

109.23

4

-0.14%

109.07

5

1.82%

111.05

6

2.19%

113.48

7

0.30%

113.82

8

-0.12%

113.69

9

0.87%

114.67

10

-0.84%

113.71

11

2.15%

116.15

12

4.23%

121.07

Presidential Year: Monthly percentage change broken down by presidential year versus month.

Pres Yr:

All:

Post

Mid

Pre

Ele

all:

1.65%

1.73%

0.58%

3.12%

1.15%

1

4.64%

6.94%

0.24%

9.48%

1.91%

2

3.52%

-1.81%

4.45%

3.55%

7.90%

3

0.83%

-0.95%

1.00%

4.54%

-1.28%

4

-0.14%

1.17%

-0.19%

1.06%

-2.60%

5

1.82%

6.24%

2.27%

0.92%

-2.17%

6

2.19%

0.72%

1.15%

3.17%

3.70%

7

0.30%

4.15%

-3.13%

3.34%

-3.16%

8

-0.12%

1.81%

-5.96%

3.76%

-0.06%

9

0.87%

0.95%

-1.31%

0.11%

4.67%

10

-0.84%

-0.65%

1.23%

-4.22%

0.66%

11

2.15%

1.18%

3.78%

1.40%

2.24%

12

4.23%

1.07%

3.45%

10.38%

2.05%

- note that the preelection-election year pattern holds, but less dramatically than for the S&P500; the average preelection month did best (3.12%), followed by the average postelection month (1.65%), then election (1.15%).

- December is a phenomenal month across all years, averaging 4.23% average across all years;

- The best 6 month span appears to be postelection October through midterm March, inclusive.

Unfortunately, using this information does not add much value at the simplest level; if you invested in every Presidential year except midterm years, your results would have been as follows:

Presidential: investing every year except midterm:

Model:

B&H:

Diff:

10k =>

163,119

155,404

7,715

rr:

19.4%

19.0%

0.4%

Average DD:

2,139

2,281

(142)

Worst DD:

56,110

53,456

2,654

Worst %DD:

34.4%

34.4%

0.0%

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