The end of November is nigh. Here’s a quick look at how the U.S. market has performed historically in December.
First the numbers…
From this 30,000 foot view, December has solidly outperformed the average month, with about twice the average return (with a third less volatility) and a 79% win rate.
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 December (red) versus the average month (grey) each year since 1930.
The graph shows that December has outperformed the average month with some consistency over the last 80 years.
To confirm, below is a 10-year rolling average of the excess return in December versus the average month.
This second graph confirms that with the exception of the 1930’s and 80’s, December has consistently trumped the averages in every decade.
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 December BULLISH.
See our monthly seasonality map for DAILY seasonality predictions in December. In a follow up post later this month I’ll drill down on Xmas and New Years seasonality.
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Filed under: Time-based | 4 Comments