Data &
Technology
Research
Reports
Report Solutions
Reports Library
Actionable
Strategies
Free
Resources
Simple Backtest Calculator
Simple Seasonality Calculator
The Kelly Criterion Calculator
Sentiment Geo Map
Public Research Reports
Free Webinar
Pricing
Company
About
Meet Our Team
In the News
Testimonials
Client Success Stories
Contact
Log inLoginSign up
< BACK TO ALL REPORTS

Seasonal Mean-Reversion Into The New Year

Jason Goepfert
2015-12-30
null

When people discuss seasonality, it is usually in terms of how often, and by how much, the general stock market rallies or declines during certain times of the year.

Those effects have mostly deteriorated over the years as they have become more well-known, but there are still pockets of consistency the further away we get from the broad stock market, such as in commodities or in individual stocks and sectors.

Alpha Architect recently highlighted a piece of academic research suggesting that seasonality was strongest in December and January for momentum names. Those with positive momentum did best in December, and those with the worst momentum did best in January. Investors bought winners at the end of the year and sold the losers to harvest tax benefits, then reversed it in the New Year.

Looking at our list of the most active ETFs for which we track sentiment, here are the best and worst performers so far in 2015:

20151230_seasonality

Over the past 15 years, the top-performing ETFs returned an average of +0.2% during the first week in January and were positive 53% of the time. The worst performers averaged +1.7% and were positive 73% of the time, so there was some evidence of mean-reversion on this level.

The effect dissipated the further out we look, as we'll discuss in the Daily Sentiment Report this evening. But for those looking to get in (or out) of shorter-term trades in the coming days, it pays to be aware of this seasonal mean-reversion effect.

DATA &
TECHnologies
IndicatorEdge
‍
BackTestEdge
‍
Other Tools
‍
DataEdge API
RESEARCH
reports
Research Solution
‍
Reports Library
‍
actionable
Strategies
Trading Strategies
‍
Smart Stock Scanner
‍
FREE
RESOUrCES
Simple Backtest
Calculator
Simple Seasonality
Calculator
The Kelly Criterion
Calculator
Sentiment Geo Map
‍
Public Research Reports
‍
Free Webinar
COMPANY
‍
About
‍
Meet our Team
‍
In the News
‍
Testimonials
‍
Client Success Stories
Pricing
Bundle pricing
‍
Announcements
‍
FAQ
© 2024 Sundial Capital Research Inc. All rights reserved.
Setsail Marketing
TermsPrivacyAffiliate Program
Risk Disclosure: Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

Testimonial Disclosure: Testimonials appearing on this website may not be representative of other clients or customers and is not a guarantee of future performance or success.