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Statistical Analysis - Category Archive


Dec 13
Sunday

Christmas Santa Rally 30 Year Statistics: Does the Santa Rally Exist?

Filed under Statistical Analysis, Stock Market Rally

We have been reading so much about Santa Rallies, the bears(and contrarions) claiming that “most investors are expecting a Santa Rally” hence as a contrarion it’s best to short the market. We looked into the last 30 years from 1978 up to 2008/2009. We picked 4 time points:

  • 7 Dec (Pre-Christmas) - we picked 7th for no particular reason, and did not exclude 1st Dec to make our numbers look good
  • Christmas - Last trading day before Christmas holidays (usually 22-23rd Dec)
  • Post-Christmas (last day of trading before Christmas - 1 March)
  • Post Christmas (last day of trading before Christmas - 1 April)
  • We calculated March minus April to see if there was a net fall between March to April. Continue…
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