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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