January Barometer: Does It Actually Work?
Does the January Barometer work? We score January's sign against the base rate of positive years over full history, and again with January excluded.
#seasonality
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The September Effect: Is It Real? SPY Data
Is the September effect real? We count every SPY September on record: average and median return, hit rate, the three worst years, and a split by decade.
Santa Claus Rally: Hit Rate and Returns by Year
The Santa Claus rally, measured year by year from SPY: the seven-session window, its hit rate, mean and median return, the worst windows, and what followed.