In the last couple of weeks I have seen a bunch of articles based on calendar investing. What the heck is calendar investing you ask? In the simplest form calendar investing is buying and/or selling of stocks based on some defined period of the year. It can also mean buying/selling based on the day of the week and even the time of the day.
Just for fun I thought I would take a closer look at this issue. For the record let me say that I do not support investing in stocks (or any other securities) on the basis of the calendar. It just seems like an irrational thing to do. I am pretty sure I have never invested based on what month or day it is and I have no intention of doing so in the future. Having said that I must confess that I have an intellectual curiousity to investigate further.
First of all I had to select a database. I selected the Dow Jones Composite Index from the St. Louis Federal Reserve FRED database. This gave me a daily index to analyze going back to 1934. I do have other indexes kicking around but I was a bit worried about copyright issues. Hopefully the Fed or Dow Jones will not come after me. Anyways, I downloaded the data into a spreadsheet and computed the monthly returns going back to 1934. I should point out that the index represents market action only. Dividends, taxes, transaction costs, etc are excluded. I am providing 3 tables below for reference (1934-2012, 1934-1974 and 1975-2012. I separate the main data table into 2 parts at 1975. This is roughly when commission de-regulation went into effect.
| Dow Jones Composite Monthly Returns 1934 - 2012 | ||||||||||||
| Jan | Feb | Mar | April | May | June | July | Aug | Sept | Oct | Nov | Dec | |
| 1934 | 12.33 | -3.42 | -1.05 | -1.69 | -7.85 | 2.52 | -13.16 | 4.85 | -0.08 | -1.62 | 7.34 | -0.40 |
| 1935 | -3.66 | -3.00 | -2.15 | 8.60 | 2.59 | 7.10 | 7.21 | 2.02 | 1.55 | 5.22 | 4.03 | 2.04 |
| 1936 | 6.76 | 2.21 | 0.70 | -7.34 | 5.74 | 3.34 | 6.76 | 1.07 | 0.72 | 5.48 | 0.41 | -2.27 |
| 1937 | 3.04 | 1.06 | 0.43 | -6.54 | -1.15 | -5.17 | 8.60 | -5.49 | -13.57 | -11.25 | -8.46 | -4.75 |
| 1938 | -1.34 | 6.06 | -26.25 | 13.15 | -2.96 | 28.76 | 5.37 | -2.37 | 0.66 | 11.03 | -2.93 | 5.40 |
| 1939 | -7.29 | 4.65 | -12.81 | -1.97 | 8.00 | -5.87 | 10.67 | -6.92 | 16.21 | -1.00 | -4.49 | 2.53 |
| 1940 | -3.44 | 0.51 | 1.16 | 0.08 | -22.61 | 8.11 | 2.93 | 2.36 | 1.73 | 2.27 | -4.28 | 0.11 |
| 1941 | -3.80 | -1.76 | 1.38 | -5.16 | -1.21 | 5.68 | 5.23 | -0.80 | -1.36 | -6.21 | -3.75 | -4.18 |
| 1942 | 1.22 | -2.30 | -8.24 | -3.76 | 3.97 | 2.12 | 2.86 | 0.88 | 3.29 | 5.59 | -1.42 | 3.72 |
| 1943 | 6.26 | 5.11 | 5.22 | 1.12 | 4.80 | 0.53 | -5.02 | 0.59 | 2.41 | -0.76 | -7.14 | 5.25 |
| 1944 | 2.93 | 1.01 | 1.96 | -1.96 | 4.29 | 3.78 | 0.70 | -1.13 | -0.27 | 0.53 | 1.14 | 5.78 |
| 1945 | 0.02 | 5.91 | -4.52 | 8.90 | 1.67 | 1.04 | -2.70 | 3.39 | 5.11 | 2.82 | 3.91 | -0.25 |
| 1946 | 6.80 | -7.16 | 4.90 | 2.55 | 3.17 | -3.13 | -3.04 | -6.40 | -11.31 | -0.18 | 0.60 | 4.15 |
| 1947 | 0.85 | -0.80 | -1.81 | -4.74 | -1.12 | 4.49 | 4.62 | -2.03 | -0.76 | 1.48 | -2.43 | 3.32 |
| 1948 | -2.75 | -4.25 | 6.53 | 3.55 | 5.29 | 0.44 | -4.02 | 0.80 | -2.63 | 5.12 | -10.63 | 3.04 |
| 1949 | 1.04 | -4.25 | 2.50 | -1.86 | -3.47 | -1.68 | 4.79 | 1.60 | 3.25 | 2.55 | 1.10 | 5.73 |
| 1950 | 1.94 | 0.83 | 0.54 | 2.87 | 2.95 | -6.74 | 2.65 | 3.36 | 5.22 | -1.11 | 1.47 | 6.25 |
| 1951 | 7.08 | 0.64 | -3.07 | 3.29 | -3.24 | -4.51 | 7.89 | 2.48 | 2.10 | -3.22 | 0.29 | 2.18 |
| 1952 | 2.55 | -2.44 | 5.79 | -3.41 | 3.09 | 3.76 | 1.62 | -0.85 | -1.21 | -0.94 | 5.58 | 2.72 |
| 1953 | -0.06 | -1.61 | -1.75 | -2.51 | 0.18 | -1.77 | 2.02 | -5.51 | -0.03 | 3.99 | 1.96 | -1.58 |
| 1954 | 5.22 | 0.69 | 1.85 | 3.70 | 3.55 | 1.57 | 4.54 | -3.48 | 4.84 | -1.72 | 9.45 | 6.05 |
| 1955 | 0.18 | 2.03 | -0.25 | 4.37 | -0.56 | 3.71 | 1.81 | -0.03 | -1.33 | -2.35 | 7.34 | -0.47 |
| 1956 | -2.95 | 2.03 | 5.90 | 0.75 | -5.91 | 2.42 | 4.44 | -3.85 | -4.94 | 1.03 | -1.40 | 4.10 |
| 1957 | -2.40 | -3.10 | 2.04 | 3.06 | 1.44 | -1.04 | 1.16 | -5.26 | -6.06 | -4.50 | 0.52 | -3.01 |
| 1958 | 5.37 | -2.40 | 1.54 | 3.60 | 1.84 | 2.66 | 5.44 | 0.40 | 5.35 | 2.41 | 3.06 | 4.32 |
| 1959 | 1.61 | 1.24 | -0.36 | 2.86 | 1.69 | -0.49 | 3.49 | -1.28 | -4.41 | 0.95 | 0.43 | 2.34 |
| 1960 | -5.66 | 0.75 | -1.80 | -1.90 | 2.16 | 3.18 | -3.42 | 1.76 | -6.90 | 0.28 | 2.99 | 3.26 |
| 1961 | 6.13 | 2.25 | 2.02 | -0.57 | 2.23 | -1.99 | 2.40 | 3.06 | -1.16 | 2.39 | 1.90 | -0.47 |
| 1962 | -2.83 | 1.19 | -0.08 | -4.72 | -8.24 | -7.56 | 6.20 | 2.04 | -4.72 | 1.73 | 10.44 | 1.25 |
| 1963 | 5.09 | -2.05 | 2.56 | 4.86 | 2.24 | -1.74 | -1.71 | 4.71 | -1.13 | 1.20 | -0.11 | 1.65 |
| 1964 | 2.66 | 2.44 | 0.67 | 0.49 | 2.16 | 2.14 | 1.98 | -1.62 | 4.37 | 0.47 | -1.06 | -0.78 |
| 1965 | 3.42 | -0.06 | -0.84 | 2.24 | -1.37 | -5.17 | 2.95 | 2.16 | 3.09 | 3.47 | -0.37 | 1.77 |
| 1966 | 2.16 | -1.80 | -3.73 | 0.98 | -6.66 | -1.47 | -2.12 | -8.46 | -0.90 | 4.98 | -1.13 | -0.06 |
| 1967 | 8.49 | -1.19 | 2.52 | 2.18 | -1.85 | 1.80 | 5.15 | -1.80 | 1.50 | -6.55 | -0.58 | 2.09 |
| 1968 | -3.44 | -1.97 | -1.22 | 7.26 | 1.85 | 1.80 | -2.42 | 0.66 | 4.54 | 0.79 | 4.43 | -3.41 |
| 1969 | 0.84 | -5.67 | -0.01 | 0.13 | -1.47 | -7.40 | -6.55 | 2.15 | -2.89 | 4.44 | -5.82 | -2.68 |
| 1970 | -6.65 | 6.40 | 0.25 | -7.43 | -5.75 | -6.75 | 8.00 | 4.58 | 2.05 | -1.96 | 5.78 | 7.10 |
| 1971 | 5.43 | 0.89 | 2.31 | 5.51 | -3.79 | -0.67 | -3.71 | 6.63 | -1.28 | -3.62 | -1.61 | 7.78 |
| 1972 | 2.25 | 0.90 | 1.01 | 0.38 | 0.01 | -4.88 | -1.02 | 3.63 | -2.33 | 1.36 | 6.62 | -1.46 |
| 1973 | -4.21 | -4.50 | -0.01 | -3.92 | -4.06 | -2.31 | 3.18 | -3.91 | 7.81 | 0.67 | -11.33 | 5.34 |
| 1974 | -0.23 | 1.72 | -3.03 | -4.80 | -4.97 | -0.62 | -4.09 | -10.62 | -8.53 | 12.18 | -5.07 | -0.80 |
| 1975 | 13.84 | 3.41 | 2.17 | 4.45 | 1.38 | 5.05 | -5.71 | -0.44 | -3.72 | 5.91 | 2.34 | -0.06 |
| 1976 | 13.82 | 0.10 | 1.98 | 0.46 | -1.67 | 3.54 | -0.86 | -0.85 | 1.66 | -2.30 | 1.32 | 5.82 |
| 1977 | -3.89 | -2.23 | -0.85 | 2.18 | -1.36 | 2.18 | -2.33 | -4.25 | -0.50 | -3.70 | 2.32 | 0.29 |
| 1978 | -6.20 | -3.15 | 2.50 | 7.88 | -0.03 | -1.98 | 5.79 | 1.71 | -1.21 | -10.10 | 1.33 | -0.54 |
| 1979 | 4.60 | -3.53 | 6.44 | -0.56 | -1.54 | 3.05 | 2.24 | 3.95 | -1.48 | -8.11 | 3.71 | 1.35 |
| 1980 | 6.28 | -0.01 | -10.82 | 3.17 | 5.11 | 2.49 | 7.88 | 0.53 | 0.82 | 2.48 | 10.45 | -3.97 |
| 1981 | -0.82 | -0.09 | 5.62 | -1.65 | 0.72 | -2.28 | -1.77 | -6.66 | -4.82 | 3.16 | 4.91 | -2.68 |
| 1982 | -2.46 | -4.63 | -0.25 | 3.37 | -4.17 | -0.96 | -1.92 | 12.94 | -0.30 | 11.25 | 4.07 | 1.05 |
| 1983 | 3.14 | 3.86 | 1.78 | 6.25 | -0.28 | 3.48 | -2.67 | 0.69 | 2.02 | 1.07 | 3.36 | -1.53 |
| 1984 | -3.87 | -5.89 | 0.37 | -0.59 | -5.20 | 2.08 | -1.12 | 9.13 | 0.01 | 0.99 | -0.95 | 3.30 |
| 1985 | 5.93 | 0.88 | -1.61 | -1.67 | 6.93 | 1.81 | 0.97 | -0.42 | -3.15 | 3.14 | 6.40 | 4.63 |
| 1986 | 2.59 | 7.44 | 5.67 | -3.41 | 4.18 | 0.59 | -5.55 | 7.24 | -4.47 | 5.49 | 1.70 | -2.37 |
| 1987 | 11.58 | 3.29 | 1.22 | -1.17 | 1.52 | 5.26 | 4.80 | 1.97 | -2.44 | -22.63 | -7.35 | 5.29 |
| 1988 | 2.40 | 5.24 | -2.45 | 0.54 | -0.09 | 6.27 | -0.90 | -4.20 | 4.52 | 2.01 | -0.72 | 2.53 |
| 1989 | 7.89 | -3.17 | 1.24 | 6.01 | 2.22 | -0.29 | 9.21 | 6.71 | -2.22 | -6.29 | 0.85 | 1.84 |
| 1990 | -7.30 | 2.76 | 2.64 | -3.20 | 6.17 | -0.87 | -0.80 | -11.63 | -5.05 | 0.51 | 3.51 | 3.12 |
| 1991 | 6.61 | 5.08 | 0.35 | -0.14 | 5.05 | -5.10 | 4.40 | 0.58 | -0.66 | 3.28 | -5.52 | 10.29 |
| 1992 | -0.11 | 2.07 | -1.50 | 2.31 | 0.72 | -2.65 | 2.28 | -4.82 | 1.67 | 0.92 | 2.66 | 0.80 |
| 1993 | 1.77 | 2.14 | 2.17 | 0.21 | 1.16 | -0.32 | 1.96 | 3.08 | -2.50 | 3.21 | -0.33 | 1.35 |
| 1994 | 4.78 | -4.59 | -6.00 | 1.40 | -0.38 | -3.17 | 2.54 | 3.47 | -4.53 | 1.67 | -4.25 | 1.81 |
| 1995 | 1.81 | 4.56 | 2.34 | 3.63 | 2.19 | 2.44 | 4.56 | -1.06 | 3.76 | -0.67 | 5.98 | -0.51 |
| 1996 | 2.75 | 1.98 | 2.25 | 0.49 | 1.06 | 0.07 | -4.47 | 1.99 | 3.44 | 2.77 | 7.44 | -1.27 |
| 1997 | 4.27 | 0.24 | -2.65 | 6.30 | 4.23 | 3.33 | 7.57 | -5.58 | 5.94 | -3.66 | 4.45 | 2.03 |
| 1998 | -0.10 | 5.43 | 4.28 | 0.99 | -2.34 | 1.88 | -3.19 | -12.70 | 3.22 | 7.23 | 4.80 | 1.75 |
| 1999 | 0.99 | -0.80 | 3.65 | 9.70 | -1.69 | 1.49 | -2.31 | -0.61 | -4.90 | 3.89 | -1.49 | 4.24 |
| 2000 | -3.99 | -7.55 | 7.99 | 0.86 | -1.60 | -2.20 | 3.11 | 5.38 | -2.33 | 3.00 | -3.18 | 4.81 |
| 2001 | -0.65 | -2.57 | -4.71 | 6.18 | 1.64 | -4.80 | 0.08 | -4.35 | -13.62 | 0.99 | 6.95 | 3.02 |
| 2002 | 0.14 | 0.76 | 4.36 | -4.17 | -0.95 | -5.10 | -8.90 | -1.06 | -10.55 | 5.75 | 5.03 | -3.34 |
| 2003 | -4.07 | -3.41 | 2.61 | 8.19 | 4.94 | 0.50 | 2.57 | 1.99 | -0.14 | 5.64 | -0.19 | 5.74 |
| 2004 | -0.55 | 1.07 | -1.05 | -1.29 | 0.47 | 3.80 | -2.15 | 0.71 | 1.02 | 3.06 | 4.17 | 3.41 |
| 2005 | -2.49 | 2.93 | -1.02 | -3.05 | 2.41 | -0.55 | 4.90 | -1.06 | 2.36 | -1.69 | 3.99 | 0.55 |
| 2006 | 2.43 | 1.02 | 0.32 | 2.22 | -0.36 | 2.21 | -2.78 | 0.56 | 1.76 | 4.52 | 0.92 | -0.11 |
| 2007 | 2.88 | -0.61 | 0.92 | 4.99 | 3.72 | -2.87 | -1.91 | -0.17 | 2.42 | 1.95 | -3.53 | -0.95 |
| 2008 | -2.35 | -3.77 | 1.64 | 6.06 | 1.42 | -7.81 | -0.57 | 0.58 | -8.00 | -14.17 | -5.43 | -0.71 |
| 2009 | -9.32 | -13.00 | 6.26 | 8.78 | 3.00 | 0.93 | 8.10 | 2.73 | 2.43 | -2.16 | 6.84 | 2.53 |
| 2010 | -4.19 | 2.56 | 4.97 | 3.14 | -7.52 | -4.33 | 8.16 | -4.11 | 7.28 | 3.42 | -0.48 | 4.89 |
| 2011 | 1.10 | 2.10 | 1.57 | 3.99 | -0.96 | -1.04 | -2.56 | -5.06 | -6.12 | 10.32 | 0.66 | 1.84 |
| 2012 | 2.91 | 0.47 | 1.94 | 0.32 | -4.27 | 3.36 | 0.33 | -1.10 | 1.10 | -0.20 | -1.12 | 1.34 |
| Totals | 103.11 | -2.82 | 27.14 | 105.37 | 2.50 | 29.48 | 100.66 | -20.82 | -39.28 | 59.39 | 72.40 | 134.28 |
| Ave (+/-) | 1.31 | -0.04 | 0.34 | 1.33 | 0.03 | 0.37 | 1.27 | -0.26 | -0.50 | 0.75 | 0.92 | 1.70 |
| 5.56 | ||||||||||||
| Total Return May to Oct | 1.67 | |||||||||||
| Dow Jones Composite Monthly Returns 1975 - 2012 | ||||||||||||
| Jan | Feb | Mar | April | May | June | July | Aug | Sept | Oct | Nov | Dec | |
| 1975 | 13.84 | 3.41 | 2.17 | 4.45 | 1.38 | 5.05 | -5.71 | -0.44 | -3.72 | 5.91 | 2.34 | -0.06 |
| 1976 | 13.82 | 0.10 | 1.98 | 0.46 | -1.67 | 3.54 | -0.86 | -0.85 | 1.66 | -2.30 | 1.32 | 5.82 |
| 1977 | -3.89 | -2.23 | -0.85 | 2.18 | -1.36 | 2.18 | -2.33 | -4.25 | -0.50 | -3.70 | 2.32 | 0.29 |
| 1978 | -6.20 | -3.15 | 2.50 | 7.88 | -0.03 | -1.98 | 5.79 | 1.71 | -1.21 | -10.10 | 1.33 | -0.54 |
| 1979 | 4.60 | -3.53 | 6.44 | -0.56 | -1.54 | 3.05 | 2.24 | 3.95 | -1.48 | -8.11 | 3.71 | 1.35 |
| 1980 | 6.28 | -0.01 | -10.82 | 3.17 | 5.11 | 2.49 | 7.88 | 0.53 | 0.82 | 2.48 | 10.45 | -3.97 |
| 1981 | -0.82 | -0.09 | 5.62 | -1.65 | 0.72 | -2.28 | -1.77 | -6.66 | -4.82 | 3.16 | 4.91 | -2.68 |
| 1982 | -2.46 | -4.63 | -0.25 | 3.37 | -4.17 | -0.96 | -1.92 | 12.94 | -0.30 | 11.25 | 4.07 | 1.05 |
| 1983 | 3.14 | 3.86 | 1.78 | 6.25 | -0.28 | 3.48 | -2.67 | 0.69 | 2.02 | 1.07 | 3.36 | -1.53 |
| 1984 | -3.87 | -5.89 | 0.37 | -0.59 | -5.20 | 2.08 | -1.12 | 9.13 | 0.01 | 0.99 | -0.95 | 3.30 |
| 1985 | 5.93 | 0.88 | -1.61 | -1.67 | 6.93 | 1.81 | 0.97 | -0.42 | -3.15 | 3.14 | 6.40 | 4.63 |
| 1986 | 2.59 | 7.44 | 5.67 | -3.41 | 4.18 | 0.59 | -5.55 | 7.24 | -4.47 | 5.49 | 1.70 | -2.37 |
| 1987 | 11.58 | 3.29 | 1.22 | -1.17 | 1.52 | 5.26 | 4.80 | 1.97 | -2.44 | -22.63 | -7.35 | 5.29 |
| 1988 | 2.40 | 5.24 | -2.45 | 0.54 | -0.09 | 6.27 | -0.90 | -4.20 | 4.52 | 2.01 | -0.72 | 2.53 |
| 1989 | 7.89 | -3.17 | 1.24 | 6.01 | 2.22 | -0.29 | 9.21 | 6.71 | -2.22 | -6.29 | 0.85 | 1.84 |
| 1990 | -7.30 | 2.76 | 2.64 | -3.20 | 6.17 | -0.87 | -0.80 | -11.63 | -5.05 | 0.51 | 3.51 | 3.12 |
| 1991 | 6.61 | 5.08 | 0.35 | -0.14 | 5.05 | -5.10 | 4.40 | 0.58 | -0.66 | 3.28 | -5.52 | 10.29 |
| 1992 | -0.11 | 2.07 | -1.50 | 2.31 | 0.72 | -2.65 | 2.28 | -4.82 | 1.67 | 0.92 | 2.66 | 0.80 |
| 1993 | 1.77 | 2.14 | 2.17 | 0.21 | 1.16 | -0.32 | 1.96 | 3.08 | -2.50 | 3.21 | -0.33 | 1.35 |
| 1994 | 4.78 | -4.59 | -6.00 | 1.40 | -0.38 | -3.17 | 2.54 | 3.47 | -4.53 | 1.67 | -4.25 | 1.81 |
| 1995 | 1.81 | 4.56 | 2.34 | 3.63 | 2.19 | 2.44 | 4.56 | -1.06 | 3.76 | -0.67 | 5.98 | -0.51 |
| 1996 | 2.75 | 1.98 | 2.25 | 0.49 | 1.06 | 0.07 | -4.47 | 1.99 | 3.44 | 2.77 | 7.44 | -1.27 |
| 1997 | 4.27 | 0.24 | -2.65 | 6.30 | 4.23 | 3.33 | 7.57 | -5.58 | 5.94 | -3.66 | 4.45 | 2.03 |
| 1998 | -0.10 | 5.43 | 4.28 | 0.99 | -2.34 | 1.88 | -3.19 | -12.70 | 3.22 | 7.23 | 4.80 | 1.75 |
| 1999 | 0.99 | -0.80 | 3.65 | 9.70 | -1.69 | 1.49 | -2.31 | -0.61 | -4.90 | 3.89 | -1.49 | 4.24 |
| 2000 | -3.99 | -7.55 | 7.99 | 0.86 | -1.60 | -2.20 | 3.11 | 5.38 | -2.33 | 3.00 | -3.18 | 4.81 |
| 2001 | -0.65 | -2.57 | -4.71 | 6.18 | 1.64 | -4.80 | 0.08 | -4.35 | -13.62 | 0.99 | 6.95 | 3.02 |
| 2002 | 0.14 | 0.76 | 4.36 | -4.17 | -0.95 | -5.10 | -8.90 | -1.06 | -10.55 | 5.75 | 5.03 | -3.34 |
| 2003 | -4.07 | -3.41 | 2.61 | 8.19 | 4.94 | 0.50 | 2.57 | 1.99 | -0.14 | 5.64 | -0.19 | 5.74 |
| 2004 | -0.55 | 1.07 | -1.05 | -1.29 | 0.47 | 3.80 | -2.15 | 0.71 | 1.02 | 3.06 | 4.17 | 3.41 |
| 2005 | -2.49 | 2.93 | -1.02 | -3.05 | 2.41 | -0.55 | 4.90 | -1.06 | 2.36 | -1.69 | 3.99 | 0.55 |
| 2006 | 2.43 | 1.02 | 0.32 | 2.22 | -0.36 | 2.21 | -2.78 | 0.56 | 1.76 | 4.52 | 0.92 | -0.11 |
| 2007 | 2.88 | -0.61 | 0.92 | 4.99 | 3.72 | -2.87 | -1.91 | -0.17 | 2.42 | 1.95 | -3.53 | -0.95 |
| 2008 | -2.35 | -3.77 | 1.64 | 6.06 | 1.42 | -7.81 | -0.57 | 0.58 | -8.00 | -14.17 | -5.43 | -0.71 |
| 2009 | -9.32 | -13.00 | 6.26 | 8.78 | 3.00 | 0.93 | 8.10 | 2.73 | 2.43 | -2.16 | 6.84 | 2.53 |
| 2010 | -4.19 | 2.56 | 4.97 | 3.14 | -7.52 | -4.33 | 8.16 | -4.11 | 7.28 | 3.42 | -0.48 | 4.89 |
| 2011 | 1.10 | 2.10 | 1.57 | 3.99 | -0.96 | -1.04 | -2.56 | -5.06 | -6.12 | 10.32 | 0.66 | 1.84 |
| 2012 | 2.91 | 0.47 | 1.94 | 0.32 | -4.27 | 3.36 | 0.33 | -1.10 | 1.10 | -0.20 | -1.12 | 1.34 |
| Totals | 52.15 | 0.39 | 46.34 | 83.17 | 25.83 | 9.49 | 28.98 | -4.19 | -37.28 | 21.95 | 65.62 | 61.58 |
| Ave (+/-) | 1.37 | 0.01 | 1.22 | 2.19 | 0.68 | 0.25 | 0.76 | -0.11 | -0.98 | 0.58 | 1.73 | 1.62 |
| 8.14 | ||||||||||||
| Total Return May to Oct | 1.18 | |||||||||||
| Dow Jones Composite Monthly Returns 1934 - 1974 | ||||||||||||
| Jan | Feb | Mar | April | May | June | July | Aug | Sept | Oct | Nov | Dec | |
| 1934 | 12.33 | -3.42 | -1.05 | -1.69 | -7.85 | 2.52 | -13.16 | 4.85 | -0.08 | -1.62 | 7.34 | -0.40 |
| 1935 | -3.66 | -3.00 | -2.15 | 8.60 | 2.59 | 7.10 | 7.21 | 2.02 | 1.55 | 5.22 | 4.03 | 2.04 |
| 1936 | 6.76 | 2.21 | 0.70 | -7.34 | 5.74 | 3.34 | 6.76 | 1.07 | 0.72 | 5.48 | 0.41 | -2.27 |
| 1937 | 3.04 | 1.06 | 0.43 | -6.54 | -1.15 | -5.17 | 8.60 | -5.49 | -13.57 | -11.25 | -8.46 | -4.75 |
| 1938 | -1.34 | 6.06 | -26.25 | 13.15 | -2.96 | 28.76 | 5.37 | -2.37 | 0.66 | 11.03 | -2.93 | 5.40 |
| 1939 | -7.29 | 4.65 | -12.81 | -1.97 | 8.00 | -5.87 | 10.67 | -6.92 | 16.21 | -1.00 | -4.49 | 2.53 |
| 1940 | -3.44 | 0.51 | 1.16 | 0.08 | -22.61 | 8.11 | 2.93 | 2.36 | 1.73 | 2.27 | -4.28 | 0.11 |
| 1941 | -3.80 | -1.76 | 1.38 | -5.16 | -1.21 | 5.68 | 5.23 | -0.80 | -1.36 | -6.21 | -3.75 | -4.18 |
| 1942 | 1.22 | -2.30 | -8.24 | -3.76 | 3.97 | 2.12 | 2.86 | 0.88 | 3.29 | 5.59 | -1.42 | 3.72 |
| 1943 | 6.26 | 5.11 | 5.22 | 1.12 | 4.80 | 0.53 | -5.02 | 0.59 | 2.41 | -0.76 | -7.14 | 5.25 |
| 1944 | 2.93 | 1.01 | 1.96 | -1.96 | 4.29 | 3.78 | 0.70 | -1.13 | -0.27 | 0.53 | 1.14 | 5.78 |
| 1945 | 0.02 | 5.91 | -4.52 | 8.90 | 1.67 | 1.04 | -2.70 | 3.39 | 5.11 | 2.82 | 3.91 | -0.25 |
| 1946 | 6.80 | -7.16 | 4.90 | 2.55 | 3.17 | -3.13 | -3.04 | -6.40 | -11.31 | -0.18 | 0.60 | 4.15 |
| 1947 | 0.85 | -0.80 | -1.81 | -4.74 | -1.12 | 4.49 | 4.62 | -2.03 | -0.76 | 1.48 | -2.43 | 3.32 |
| 1948 | -2.75 | -4.25 | 6.53 | 3.55 | 5.29 | 0.44 | -4.02 | 0.80 | -2.63 | 5.12 | -10.63 | 3.04 |
| 1949 | 1.04 | -4.25 | 2.50 | -1.86 | -3.47 | -1.68 | 4.79 | 1.60 | 3.25 | 2.55 | 1.10 | 5.73 |
| 1950 | 1.94 | 0.83 | 0.54 | 2.87 | 2.95 | -6.74 | 2.65 | 3.36 | 5.22 | -1.11 | 1.47 | 6.25 |
| 1951 | 7.08 | 0.64 | -3.07 | 3.29 | -3.24 | -4.51 | 7.89 | 2.48 | 2.10 | -3.22 | 0.29 | 2.18 |
| 1952 | 2.55 | -2.44 | 5.79 | -3.41 | 3.09 | 3.76 | 1.62 | -0.85 | -1.21 | -0.94 | 5.58 | 2.72 |
| 1953 | -0.06 | -1.61 | -1.75 | -2.51 | 0.18 | -1.77 | 2.02 | -5.51 | -0.03 | 3.99 | 1.96 | -1.58 |
| 1954 | 5.22 | 0.69 | 1.85 | 3.70 | 3.55 | 1.57 | 4.54 | -3.48 | 4.84 | -1.72 | 9.45 | 6.05 |
| 1955 | 0.18 | 2.03 | -0.25 | 4.37 | -0.56 | 3.71 | 1.81 | -0.03 | -1.33 | -2.35 | 7.34 | -0.47 |
| 1956 | -2.95 | 2.03 | 5.90 | 0.75 | -5.91 | 2.42 | 4.44 | -3.85 | -4.94 | 1.03 | -1.40 | 4.10 |
| 1957 | -2.40 | -3.10 | 2.04 | 3.06 | 1.44 | -1.04 | 1.16 | -5.26 | -6.06 | -4.50 | 0.52 | -3.01 |
| 1958 | 5.37 | -2.40 | 1.54 | 3.60 | 1.84 | 2.66 | 5.44 | 0.40 | 5.35 | 2.41 | 3.06 | 4.32 |
| 1959 | 1.61 | 1.24 | -0.36 | 2.86 | 1.69 | -0.49 | 3.49 | -1.28 | -4.41 | 0.95 | 0.43 | 2.34 |
| 1960 | -5.66 | 0.75 | -1.80 | -1.90 | 2.16 | 3.18 | -3.42 | 1.76 | -6.90 | 0.28 | 2.99 | 3.26 |
| 1961 | 6.13 | 2.25 | 2.02 | -0.57 | 2.23 | -1.99 | 2.40 | 3.06 | -1.16 | 2.39 | 1.90 | -0.47 |
| 1962 | -2.83 | 1.19 | -0.08 | -4.72 | -8.24 | -7.56 | 6.20 | 2.04 | -4.72 | 1.73 | 10.44 | 1.25 |
| 1963 | 5.09 | -2.05 | 2.56 | 4.86 | 2.24 | -1.74 | -1.71 | 4.71 | -1.13 | 1.20 | -0.11 | 1.65 |
| 1964 | 2.66 | 2.44 | 0.67 | 0.49 | 2.16 | 2.14 | 1.98 | -1.62 | 4.37 | 0.47 | -1.06 | -0.78 |
| 1965 | 3.42 | -0.06 | -0.84 | 2.24 | -1.37 | -5.17 | 2.95 | 2.16 | 3.09 | 3.47 | -0.37 | 1.77 |
| 1966 | 2.16 | -1.80 | -3.73 | 0.98 | -6.66 | -1.47 | -2.12 | -8.46 | -0.90 | 4.98 | -1.13 | -0.06 |
| 1967 | 8.49 | -1.19 | 2.52 | 2.18 | -1.85 | 1.80 | 5.15 | -1.80 | 1.50 | -6.55 | -0.58 | 2.09 |
| 1968 | -3.44 | -1.97 | -1.22 | 7.26 | 1.85 | 1.80 | -2.42 | 0.66 | 4.54 | 0.79 | 4.43 | -3.41 |
| 1969 | 0.84 | -5.67 | -0.01 | 0.13 | -1.47 | -7.40 | -6.55 | 2.15 | -2.89 | 4.44 | -5.82 | -2.68 |
| 1970 | -6.65 | 6.40 | 0.25 | -7.43 | -5.75 | -6.75 | 8.00 | 4.58 | 2.05 | -1.96 | 5.78 | 7.10 |
| 1971 | 5.43 | 0.89 | 2.31 | 5.51 | -3.79 | -0.67 | -3.71 | 6.63 | -1.28 | -3.62 | -1.61 | 7.78 |
| 1972 | 2.25 | 0.90 | 1.01 | 0.38 | 0.01 | -4.88 | -1.02 | 3.63 | -2.33 | 1.36 | 6.62 | -1.46 |
| 1973 | -4.21 | -4.50 | -0.01 | -3.92 | -4.06 | -2.31 | 3.18 | -3.91 | 7.81 | 0.67 | -11.33 | 5.34 |
| 1974 | -0.23 | 1.72 | -3.03 | -4.80 | -4.97 | -0.62 | -4.09 | -10.62 | -8.53 | 12.18 | -5.07 | -0.80 |
| Totals | 50.96 | -3.21 | -19.20 | 22.20 | -23.33 | 19.99 | 71.68 | -16.63 | -2.00 | 37.44 | 6.78 | 72.70 |
| Ave (+/-) | 1.24 | -0.08 | -0.47 | 0.54 | -0.57 | 0.49 | 1.75 | -0.41 | -0.05 | 0.91 | 0.17 | 1.77 |
| Total Return Nov to April | 3.18 | |||||||||||
| Total Return May to Oct | 2.13 | |||||||||||
In summary from 1934 to 2012 the difference of return is 5.56 - 1.67 or 3.89%. Frankly I was suprised when I saw this number. I knew there was a difference but I did not expect it to be so large. The real question is (or was) the return difference exploitable? Pre-1975 I seem to remember reading that the commissions were around 3%. If you are inning and outing of the market every May 1st and November 1st there would have been significant costs back pre-1975. I doubt very much that a calendar based strategy would have worked pre-1975. Pre-1975 the return difference is only 3.18 - 2.13 or 1.05%.
If we look at the return profile from 1975 to 2012 we see that the return difference is 8.14 - 1.18 or 6.96%. This is a significant number in my opinion. For some reason the calendar return difference has gone up a lot. We do know that post 1975 commissions declined significantly and market turnover increased. We do have to be careful here - this is not a rigorous statistical study. A few extreme data points in our sample might move the numbers quite a bit.
Now, what about causation? To be honest I do not know what would cause such a large return differential (market index only). I can speculate as to the reasons but i will refrain from doing so. Maybe some of my readers can provide some further information.
So the real question is can someone in and out of the market May and November and acheive superior returns? I still believe that big money cannot benefit from this anomoly.There is too much market impact at May 1st or November 1st to make this an exploitable strategy. Can a small investor exploit this anomoly? This is more interesting. Although the data does seem to suggest some anomoly is going on I think a deeper statistical work complete with causation analysis would need to be done.
Currently I would not employ such a strategy even though the data is compelling.
No comments:
Post a Comment