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Statistik › Saisonalität und Kalender › Santa-Claus-Rally

The Santa Claus rally has been measured, and the last decade it worked in was the 1970s

1900s: 0.11%+0.11%1900s1910s: 0.09%+0.09%1910s1920s: 0.12%+0.12%1920s1930s: 0.24%+0.24%1930s1940s: 0.09%+0.09%1940s1950s: 0.10%+0.10%1950s1960s: 0.11%+0.11%1960s1970s: 0.16%+0.16%1970s1980s: 0.11%+0.11%1980s1990s: 0.03%+0.03%1990s2000s: -0.04%-0.04%2000s2010s: 0.01%+0.01%2010s

Average daily return on the Dow in the last week of December plus the first two weeks of January, by decade, 1900 to 2018. The two highlighted decades are the only ones where the effect is significant on a t-test and passes the paper's trading simulation. Rest-of-year averages over the same decades run 0.00% to 0.06%.

Peer reviewed measurement of the Santa Claus rally exists and is split. A 1926 to 2014 study finds it, concentrated in small firms. A 2000 to 2021 study finds no effect in any subperiod. The decade tables show it passing in the 1960s and 1970s only.

0.16%Average daily return in the window, 1970s, t = 1.94
-0.04%The same for the 2000s, not significant
0.01%The same for 2010 to 2018, not significant
TwoDecades since 1900 where the trading simulation passed

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