• 288 days Will The ECB Continue To Hike Rates?
  • 288 days Forbes: Aramco Remains Largest Company In The Middle East
  • 290 days Caltech Scientists Succesfully Beam Back Solar Power From Space
  • 690 days Could Crypto Overtake Traditional Investment?
  • 695 days Americans Still Quitting Jobs At Record Pace
  • 697 days FinTech Startups Tapping VC Money for ‘Immigrant Banking’
  • 700 days Is The Dollar Too Strong?
  • 700 days Big Tech Disappoints Investors on Earnings Calls
  • 701 days Fear And Celebration On Twitter as Musk Takes The Reins
  • 703 days China Is Quietly Trying To Distance Itself From Russia
  • 703 days Tech and Internet Giants’ Earnings In Focus After Netflix’s Stinker
  • 707 days Crypto Investors Won Big In 2021
  • 707 days The ‘Metaverse’ Economy Could be Worth $13 Trillion By 2030
  • 708 days Food Prices Are Skyrocketing As Putin’s War Persists
  • 710 days Pentagon Resignations Illustrate Our ‘Commercial’ Defense Dilemma
  • 711 days US Banks Shrug off Nearly $15 Billion In Russian Write-Offs
  • 714 days Cannabis Stocks in Holding Pattern Despite Positive Momentum
  • 715 days Is Musk A Bastion Of Free Speech Or Will His Absolutist Stance Backfire?
  • 715 days Two ETFs That Could Hedge Against Extreme Market Volatility
  • 717 days Are NFTs About To Take Over Gaming?
How The Ultra-Wealthy Are Using Art To Dodge Taxes

How The Ultra-Wealthy Are Using Art To Dodge Taxes

More freeports open around the…

Another Retail Giant Bites The Dust

Another Retail Giant Bites The Dust

Forever 21 filed for Chapter…

Trade In Counterfeit Goods Hits Half A Trillion Dollars

Trade In Counterfeit Goods Hits Half A Trillion Dollars

The counterfeit market has breached…

Frank Hogelucht

Frank Hogelucht

Individual investor, trading for a living since 2007, taking a statistical approach in combination with historical market data and addicted to developing market-neutral algorithmic trading…

Contact Author

  1. Home
  2. Markets
  3. Other

The SP 500 Between Now and Year-End

Cartoon

With Friday's triple witching, we're entering into the last couple of sessions of the running year, and the S&P 500 is already up +5.26% month-to-date, and up +11.46% year-to-date (on close of Thursday, December 16).

An interesting question is if the recent run-up in the markets or the fact that the S&P 500 is up year-to-date proves to be advantageous or disadvantageous for a continuation of the recent run-up until the end of the year. I therefore checked for the S&P 500′s year-end performance assumed one went long on close of December's triple witching Friday (or the 3rd Friday in December before 1974) - in this event on Friday, December 18 - and went into cash again on close of the last session of the year.

Table I below shows the date of the last session of the month ('End-of-Month Day'), the S&P 500′s historical (since 1930) performance ('Monthly Returns') between December's triple witching Friday (or the 3rd Friday in December before 1974) and the last session of the year, the respective number of sessions, the maximum gain and the maximum loss (drawdown) during the period under review in the past.

Key Performance Metrics

(* no close below trigger day's close during period under review)

It is interesting to note that

  • ... the S&P 500 closed at a higher level on the last session of the year on 40 out of 52 occurrences (or 76.92% of the time) ;
  • ... the S&P 500 lost more than -1.0% on only 6, but gained at least +1.0% on 26 out of those 52 occurrences ; and
  • ... the S&P 500 posted a median gain of +0.97% during the period under review (regularly 6 to 11 sessions).

But what happened over the course of the remainder of the year of the year if the S&P 500 not only was up year-to-date 10.00% or more, but up month-to-date and week-to-date as well (at time of writing the S&P 500 is up +0.13% on the running week), an extremely positive scenario (at least up to December's triple witching Friday on the then running year).

Table II below shows the date of the last session of the month ('End-of-Month Day'), the S&P 500′s historical (since 1930) performance ('Monthly Returns') between December's triple witching Friday (or the 3rd Friday in December before 1974) and the last session of the year, the respective number of sessions, the maximum gain and the maximum loss (drawdown) during the period under review in the past.

Key Performance Metrics
(* no close below trigger day's close during period under review)

Although the number of occurrences is limited, it is at least interesting to note that

  • ... the S&P 500 closed at a higher level on the last session of the year on 15 out of 17 occurrences (or 88.25% of the time) ; and
  • ... the S&P 500 posted a median gain of +1.11% during the period under review (regularly 6 to 11 sessions).

Conclusions:

I don't want to sound like a broken record, but from a statistical and historical point of view, this might still (despite any 'overbought' indications or indicators) not be the peak time to bet the farm on any short-term mean reversion tendency until the end of the year. Historically a positive year-to-date, month-to-date and week-to-date performance was advantageous for the S&P 500′s performance between December's triple witching Friday (or the 3rd Friday in December before 1974) and the last session of the year (subject to any force majeure).

Successful trading,

 

Back to homepage

Leave a comment

Leave a comment