Jan

1

For the S&P 500 index, December 2006 was the seventh consecutive up-month. Looking at monthly returns since 1950, there were ten occasions of up-streaks of seven or more months, (the second column is the number of consecutive up months):

Stem-and-leaf of streak N = 276
Leaf Unit = 0.10

117      000000000000000000000000000000000000000000000000000000000000000+
(63) 1   00000000000000000000000000000000000000000000000000000000000000
96   2   0000000000000000000000000000000000000000000000
50   3   0000000000000000000
31   4   000000000000
19   5   000
16   6   000000
10   7   000
7    8   0000
3    9   0
2    10
2    11  00

Returns for the month after seven ups was higher than for all months, but not significant:

Two-sample T for month if up seven vs. all monthly returns

  N Mean Standard Deviation Standard Error Mean
Month if up Seven 10 0.0160 0.0437 0.014
All Monthly Returns 683 0.0073 0.0408 0.0016

 

Month if up seven T=0.62

And in the current case, month eight will be January, which is historically a good month also (although again this is not significant):

Two-sample T for January vs. all monthly returns

  N Mean Standard Deviation Standard Error Mean
January 56 0.014 0.0480 0.0064
All Monthly Returns 683 0.0073 0.0408 0.0016

 

Finally, here is a regression of January with prior Decembers (since 1973), which shows a trend towards reversal (but is not significant):

Regression Analysis: January vs. the previous December

The regression equation is: January = 0.0221 - 0.303 previous December

  Coefficient Standard Error Coefficient T P
Constant 0.0221 0.0095 2.33 0.026
Previous December -0.3027 0.2631 -1.15 0.258

 

S = 0.0504452
R-Sq = 4.0%
R-Sq(adj) = 1.0%


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