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11/03/2004
Election Day Study (by Vic Niederhoffer and Duncan Coker)

 

  ELECTION DAY STUDY    
  SPX INDEX DATA 1980-2003    
       
PREVIOUS ELECTIONS      
       
DAY BEFORE DAY BEF CL-CL DAY OF CL-CL DAY AFT CL-CL
November 3, 1980 1.23% 1.77% -1.84%
November 5, 1984 0.69% 1.09% -0.73%
October 31, 1988 0.16% 0.03% 0.00%
November 2, 1992 0.97% -0.67% -0.67%
November 4, 1996 0.42% 1.05% 1.46%
November 6, 2000 0.39% -0.02% -1.58%
       
Number 6 6 6
Average 0.64% 0.54% -0.56%
Standard Dev 0.40% 0.91% 1.19%
Z score 3.92 1.46 -1.15
Percent Pos 100.00% 66.67% 16.67%
       
       
2004 ELECTION      
DAY BEFORE DAY BEF CL-CL DAY OF CL-CL DAY AFT CL-CL
November 1, 2004 0.00% 0.00% 1.10%
       
       
  ELECTION DAY STUDY    
  SPX INDEX DATA 1980-2004    
       
ALL ELECTIONS THROUGH 2004      
       
DAY BEFORE DAY BEF CL-CL DAY OF CL-CL DAY AFT CL-CL
November 3, 1980 1.23% 1.77% -1.84%
November 5, 1984 0.69% 1.09% -0.73%
October 31, 1988 0.16% 0.03% 0.00%
November 2, 1992 0.97% -0.67% -0.67%
November 4, 1996 0.42% 1.05% 1.46%
November 6, 2000 0.39% -0.02% -1.58%
November 1, 2004 0.00% 0.00% 1.10%
       
Number 7 7 7
Average 0.55% 0.46% -0.32%
Standard Dev 0.44% 0.85% 1.26%
Z score 3.32 1.44 -0.68
Percent Pos 100.00% 57.14% 28.57%

**What a world of difference retrospection can make !

*Seasonal patterns often don't work. Indeed, one has  never seen a test that prospective seasonal patterns work in any form.  "Regrettably, there is no easy money and there is much randomness in prices  as this exercise illustrates."  

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