quinta-feira, 10 de dezembro de 2009

Rally de natal - taking his name in vain

Eu sempre fui um defensor de que rally de natal é bullshit ( ehehehe pegou até bem ). Ai tem mais um que pensa como eu.

By Mark Hulbert, MarketWatch

ANNANDALE, Va. (MarketWatch) --Will the real Santa Claus Rally please stand up?

I ask because, even though lots of advisers refer to something called a Santa Claus Rally, there is little agreement on what, exactly, it involves.
cynic might suspect that these advisers are simply exploiting Santa's good name to justify whatever positive forecast they might otherwise have for the month of December.
But, surely, advisers wouldn't be so shameless to do that, would they?

Consider the range of meanings that I have found advisers to give to the "Santa Claus Rally":
•At some point during the month of December, the stock market rallies.
•The entire month of December tends to be a good one for the stock market.
•The stock market performs particularly well starting around Christmas and lasting until the beginning of the new year.

And these were the meanings that I gleaned from just a cursory review of the advisers I monitor and of the financial press. I'm sure more meanings would have emerged if I spent more time looking, but you get the idea.

Do any of these definitions have strong support in the historical record? To find out I examined the Dow Jones Industrials Average back to 1896, when it was created.

It turns out that the first definition -- that the stock market will rally at some point during December -- is true but pointless, since the stock market rallies during every period of the year. There has never been any month of the calendar in which the stock market didn't at some point stage a rally.

Consider next the second definition that some give to a so-called Santa Claus Rally -- the notion that December as a whole is a particularly strong month for the stock market. At first blush the evidence for this proposition would appear to be strong. The average return for all non-December months since 1896, for example, is 0.5%. For Decembers, in contrast, the average return is 1.4%.

But there is less here than meets the eye. It turns out that, though December's average is better than that of non-Decembers, June and July have even better average returns than December does. When ranked according to average returns, December is in third place.
Furthermore, there is not much consistency to December's return from year to year. In fact, December on average was one of the worst performing months during several of the decades in the early part of the last century. And, one year ago, the Dow lost 0.6% during December.

This volatility in December's year-to-year returns greatly reduces, if not eliminates, any statistical confidence one can have that December will be a good month for the stock market. In fact, several years ago, after subjecting the Dow's monthly returns to a number of complex statistical tests, two finance professors concluded that "it seems that there is no consistent monthly pattern in the stock market." (Read study on monthly stock market returns.)

One of the professors' related findings is that the primary source of December's apparent strength in the historical record comes from the period after Christmas through the end of the year. This period corresponds to two seasonal patterns that have been well documented in other contexts: the so-called "turn of the month" and "turn of the year" effects.

So the third of the three definitions of a Santa Claus Rally does have strong historical support.
But notice carefully what this means: The Santa Claus Rally that really exists does not arrive until Christmas is upon us.
Just like the man himself.

Mark Hulbert is the founder of Hulbert Financial Digest in Annandale, Va. He has been tracking the advice of more than 160 financial newsletters since 1980.

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