Bullish November

27Oct10

The end of October is nigh. Here’s a quick look at how the U.S. market has performed historically in November.

First the (misleading) numbers…

From this 30,000 foot view, November has performed more or less in line with all other months over the last 80 years.

But averages can be misleading because they say nothing about how consistent an observation has been or whether it’s waxing or waning, so below I’ve assumed a trader was only long the S&P 500 in November (red) versus the average month (grey) each year since 1930.


[logarithmically-scaled, growth of $10,000]

Note the run of losing Novembers prior to 1948.

This clearly skewed our stats (despite not being as applicable in today’s market), so in the graph and stats below I’ve drilled down on November’s performance from 1949 onwards.


[logarithmically-scaled, growth of $10,000]

Since 1949, November has outperformed the broader market in every decade, and on average, has turned in about twice the return as the average month.

Like all seasonality plays, this one has by no means been a sure thing and doesn’t by itself justify a trade, but I think that there’s clearly been a positive edge to the month so I’m calling the calendar month bias for November BULLISH.

See our monthly seasonality map for daily seasonality predictions in November.

Happy Trading,
ms

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4 Responses to “Bullish November”

  1. 1 John B. Egan

    Interesting.. You might want to just compare alternate even years as those Novembers would be election years.

    Good stuff..Thx !

    • 2 MarketSci

      Hello John – interesting comment – I took a look at all even years (including presidential and mid-term elections). There is quite a difference in terms of average return (election years being higher than non-election years), but given the low number of observations we’re talking about here, by my criteria the results aren’t significant enough to justify calling one more bullish than the other. Thanks for the idea! michael


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