Aug

19

Statistically speaking the month of September has the worst returns of any month — A Reader of Dailyspeculations.

The data I have easily available is only monthly Dow from Oct 1928, but doing a quick random-resort Monte Carlo provides interesting results. After calculating the % change for each month and then determining the average change for each month, one gets:

high month: December, +1.34%
low month: September, -1.66%

Then resort the actual % moves amongst the actual months, compute again the average move for each month, and then pull out the high month and low month for this random resort. Do this 1000 times and get a mean "high month % change" and a mean "low month % change" and sd's for each. And here they are:

mean high month % change for 1000 random resorts: +1.33%

sd of high month % change for 1000 random resorts: 0.28%

mean low month % change for 1000 random resorts: -0.62%

sd of low month % change for 1000 random resorts: 0.31%

So if we look at the actual -1.66% for September, it has a z of -3.38 compared to the random resorts. But also interesting is the fact that the actual high month of December is right on the nose with the random resorts.

Just more of that voodoo that up moves tend to be consistent with randomness, but down moves aren't.

Martin Lindkvist adds:

Old man Bacon almost always says it best: "But by the time Labor Day has passed the general form change is well under way." In "Secrets of Professional Turf Betting" - from the "Picking September's Wake Up Longshots" chapter.


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