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.