Saturday, September 8, 2007

S&P 500 Returns By Month of Year

Previously, we've looked at performance of the S&P 500 index based by day of the week, and by day of the month.

Now, we look at S&P 500 performance (1926 to 2006) by Month.

Only one month has a negative return, and that is, September.

Results:

  1. Jan: 1.71%
  2. Feb: 0.26%
  3. Mar: 0.63%
  4. Apr: 1.49%
  5. May: 0.27%
  6. June: 1.37%
  7. July: 1.86%
  8. Aug: 1.27%
  9. Sept: -0.76%
  10. Oct: 0.66%
  11. Nov: 1.18%
  12. Dec: 1.79%


There is also a common saying, Sell in May, and Go Away. According to Stock Trader's Almanac if you invested $10,000 in the Dow Jones Industrial Average, and used the strategy of investing in Stocks from November through April, and switch to fixed income from May through October, over 56 years, that amount grows to $544,323. But if the opposite strategy was used (fixed income November through April, stocks in Dow Jones from May to October), compounded to a loss of $272.

The results from Stock Trader's Almanac and the Monthly Statistics of the S&P 500 seem to match. From November through April, we have:

  1. Nov: 1.18%
  2. Dec: 1.79%
  3. Jan: 1.71%
  4. Feb: 0.26%
  5. Mar: 0.63%


Not a bad return. November through January, seems to be a very good return period.

We also notice that June through August is also a good return period:

  1. June: 1.37%
  2. July: 1.86%
  3. Aug: 1.27%


Sources


  1. All Financial Matters Blog
  2. CNN article on Sell in May and Go Away
  3. Appendix B of Ken Fisher's The Only Three Things That Count

3 comments:

Ryan said...

Interesting article. I would think you could even further those returns by over-weighting Tech, Bio-tech, and retail during the Nov-March period. There is some research I came across that I will try and dig up on the cyclicals of bonds and see if we can't match it up to what you've found.

-Ryan "ryan4891" from stockpickr

Ryan said...

Here is the link to the research I was talking about.

http://www.globalfinancialdata.com/articles/Season.pdf

techfarmer said...

Ryan,

Good Post.

I created a new Blog Entry regarding this.

Seasonal Patterns in Interest Rates?