Calendar Effects

…the “Sell in May” effect may be stronger during secular (but not cyclical) bear markets. However, there probably is no reward on average for being long stocks during either the good or bad seasons in bear markets. Conversely, there probably are rewards for holding stocks during both the good and bad seasons in bull markets.

…simple analyses suggest that the TOTM effect may help reduce the loss frequency and average in-the-money expiration loss for selling index put options.

…evidence does not support Charles Nenner’s belief in a relationship between sunspot activity and stock returns (intermediated by magnetic effects on investors).

…investors may be able to exploit a stock price effect by focusing on the associated abnormally positive return during the first calendar quarter.

…a simple test indicates that the turn-of-the-month effect holds in both rising and falling markets, but is not useful for simple timing during falling markets.

…best guess is the U.S. stock market will show first relative strength and then relative weakness in the week preceding presidential inauguration days (less so for Democrats). The week after inauguration tends to be quiet.

…evidence from long-run data indicates that the January return for a broad U.S. stock index is weakly predictive of returns for the ensuing February-December. However, the predictive power of January is not appreciably greater in this regard than that of five other months.

…a broad index of U.S. stocks exhibits noticeable and persistent outperformance in the month of January over the long run, but the effect may be diminishing.

…the conventional wisdom to “Sell in May” has worked well for U.S. stocks on average since the 1950s, but did not consistently work well before then.

…spectral analysis confirms the probable existence of U.S. stock market cycles that coincide with election cycles.

…evidence indicates that an up/down January is predictive of February-December outperformance/underperformance for the broad U.S. stock market (but not for most other equity markets). However, it may not support an effective market timing strategy as a standalone signal.

…the Darlings of the Dow strategy offered solid returns over the short post-publication period of 2002-2007, but the level of data mining bias in these returns is unknown and strategy adjustments have impaired out-of-sample testing.

…investors may be able to exploit a two-year reversion effect signaled by past returns of the broad value-weighted U.S. stock market.

…the January effect for small-capitalization stocks persists throughout the past 60+ years.

…there is some evidence that the U.S. stock market is unusually weak (strong) during January-May (June-December) of presidential election years.