All Ordinaries Index - December is Bullish following a 5% plus gain for the calendar year to November. Over the past 63 years the All Ordinaries Index has provided a regular upward bias for the month of December. Since 1950, December has produced an average gain of 2.09%, win rate 73%, with 46 up months & 17 down months. This mean return of 2.09% for December is over 3 times that of the average monthly return of 0.63% & is statistically significant at well north of the 1 in 20 level. Interestingly, when the calendar year to November managed a gain of 5% plus, December returns were even better, delivering an average gain of 2.57%, win rate 87.50%, with 28 up months & 4 down months (max 8.96%, min -2.71%). Full data set & analysis at (VIEW LINK)
Comments
Andrew McCauley
The turn of the month effect is not just a November anomaly. http://www.cfainstitute.org/learning/products/publications/faj/Pages/faj.v64.n2.11.aspx
James Marlay
I find these stats so interesting. Do you look at intra month patterns? This from Coppo earlier this week. In the last 20 years the Australian market has this bizarre trading trend where it rallies briefly at the begining of November (which it did this time was up +0.25%) and then from there falls by a average of -1.5% between early November in to the 3rd week of November & then in the last week begins its big late November to the new year rally that happens about 88% of the time.