April has consistently been a winning month for the S&P 500.
Click on the chart to enlarge.
From 1960 to 2010 (for the $SPX). Calculations start at the open of the first trading day of the month and end on the close of the last trading day.
The following statistics and charts apply only to $SPX.
April Statistics:
- Average Monthly Profit/Loss = 1.35%
- Winning Months= 66.67%
- Worst March = 1970 loss of -9.05%
- Best March = 2009 gain of +9.98%
Profit Distributions:
Equity Curve:
For a simple seasonality setup, it sure makes a nice equity curve, generating a Sharpe Ratio of 1.03
Those who bet against March seasonality last month were correct. Do we bet against the S&P 500 in April?
How do the odds change, if any, if the market was up in March?
Your columns and insights are great!
Thank you
Hmmm. Didn’t look for that. I might look at it this weekend. Thanks!
Always love your posts.
I was wondering about the correlation between dividend payout days and the market.
Some ideas:
i.e. 31st was payout day so the 1st tends to be an up day with new influx of cash. This goes along with Bleier’s theory of the 1st being an “up” day.
Also 15th is payout day for the trusts, reits, etc. Is 16th an up day?
I have my own conclusions, but curious to see what the master statistician himself can dig up.
Thanks Green.
I always assumed the 1st day tended to be an up day since funds used the cash that typically comes into their accounts as workers get paid at the end of the month. I can easily test for the 1st day, not sure about the 15th, can probably figure that one out as well.