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End Of Year Seasonality After 10% Gain at Trader’s Narrative




End Of Year Seasonality After 10% Gain


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This is a guest post by Wayne Whaley, CTA:
year end seasonality study Nov-Dec table of data.png

Before presenting my latest seasonality study - which may be the most statistically significant - here is a short summary of the previous three studies that I have shared with you. Enjoy.

End of Year Positive Bias
Since 1950, the average annual return on the S&P 500 index has been 8.05%. Over half of that (4.25%) annual return has on average occurred in the three months, November to January.

(Abnormally) Positive Septembers
September is usually the weakest month of the year. But when September has a positive return, the last 3 months of the year have a strong positive bias (21-4) and an average gain of 4.84%. For full details, see: When September Flexes Its Muscle

Positive Septembers - Negative Octobers
If the a positive September is followed by a negative October, then the odds for the last two months of the year go to 10-1 with an average gain of 4.71%.

Seasonality When Jan-Oct Returns Are +10%
If the first ten months of the year provide a 10% or more return, then the final two months of the year are 21-3, with an average gain of 4.99% (see table to the left for details). Perhaps more interestingly, there was not a one percent loss in the the 24 observations.

If the end of the year rally doesn’t materialize with the tail wind of the above statistics at its back, it should be viewed as very bearish for the first quarter of 2010.

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One Response to “End Of Year Seasonality After 10% Gain”  

  1. 1 wayne

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    I probably should have included in the post that September was up 3.57%, October was down 1,97% and the first ten months of 2009 were up 14.72%

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