Friday, August 17, 2007

spx Thanksgiving

Monday, November 24, 2003

Average % change in the S&P 500 for each day of the week of and after Thanksgiving

Mon

Tue

Wed

TGIVG

Fri

Mon

Tue

Wed

Thu

1980

-0.6%

0.7%

0.6%

0.2%

-2.4%

-0.2%

-0.2%

-0.2%

1981

-0.1%

1.6%

0.4%

0.8%

1.0%

-0.2%

-1.1%

0.3%

1982

-2.0%

-1.0%

0.7%

0.7%

-0.5%

3.2%

0.1%

0.1%

1983

0.6%

0.5%

0.1%

0.1%

-0.4%

0.8%

-0.9%

0.1%

1984

-0.6%

0.7%

0.2%

1.5%

-0.8%

0.4%

-0.8%

-0.7%

1985

-0.6%

0.2%

0.9%

-0.2%

-0.8%

0.2%

1.7%

-0.2%

1986

0.6%

0.3%

0.2%

0.2%

-0.1%

2.0%

-0.1%

-0.3%

1987

0.4%

1.4%

-0.9%

-1.5%

-4.2%

0.7%

0.6%

-3.5%

1988

-0.1%

0.4%

0.7%

-0.7%

0.5%

0.8%

1.0%

-0.4%

1989

-0.7%

0.1%

0.7%

0.6%

0.5%

0.0%

-0.6%

0.7%

1990

0.7%

-1.3%

0.2%

-0.3%

0.4%

0.5%

0.0%

-0.5%

1991

-0.2%

0.7%

-0.4%

-0.4%

1.6%

-0.1%

-0.2%

-0.7%

1992

-0.4%

0.6%

0.4%

0.2%

0.3%

-0.1%

-0.2%

0.0%

1993

-0.8%

0.4%

0.3%

0.2%

-0.3%

0.0%

0.0%

0.3%

1994

-0.7%

-1.8%

0.0%

0.5%

0.4%

0.2%

-0.3%

-1.1%

1995

-0.5%

0.6%

-0.3%

0.3%

0.2%

0.9%

0.2%

-0.4%

1996

1.1%

-0.1%

-0.1%

0.3%

-0.1%

-1.1%

-0.4%

-0.1%

1997

-1.7%

0.4%

0.1%

0.4%

2.0%

-0.3%

0.5%

-0.4%

1998

2.1%

-0.4%

0.3%

0.5%

-2.4%

1.0%

-0.3%

-1.8%

1999

-0.1%

-1.1%

0.9%

0.0%

-0.6%

-1.3%

0.6%

0.8%

2000

-1.8%

0.4%

-1.9%

1.5%

0.5%

-1.0%

0.4%

-2.0%

2001

1.1%

-0.7%

-0.5%

1.2%

0.6%

-0.7%

-1.8%

1.0%

2002

0.2%

-2.1%

2.8%

-0.3%

-0.2%

-1.5%

-1.5%

0.6%

2003

1980-2003:

Avg:

-0.17%

0.01%

0.24%

0.25%

-0.19%

0.19%

-0.14%

-0.36%

Annzd:

-34.7%

2.5%

80.2%

87.8%

-38.6%

61.1%

-30.4%

-59.5%

35%

65%

70%

70%

48%

52%

39%

39%

Since 1990

Avg:

-0.07%

-0.35%

0.14%

0.31%

0.20%

-0.27%

-0.24%

-0.32%

Annzd:

-15.8%

-58.4%

41.3%

114.4%

66.7%

-49.5%

-45.4%

-55.1%

38%

46%

54%

69%

62%

31%

38%

38%

Bottom line: one should go long the Wednesday prior to Thanksgiving and exit on the close of the Friday after.

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