English
Op de wachtlijst
De boeken... niet gratis trouwens
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatistiekenMarktstatistieken en edges1,327StrategieënBibliotheek met geteste strategieën18OnderzoeksrapportenHet onderzoek achter de algo’s301DocumentatieProBuilder-naslagwerk27Algo-ontwikkelprogrammaCursussen en lessen24Dit alles voedt de 24 algo’sBekijk de algo’s

Stats › Seizoenspatroon en kalender › January effect

The January effect faded in the broad market and lives on only in small caps

1891 to 1915 t = 2.88: 1.59+1.591891 to 1915t = 2.881916 to 1940 t = 3.21: 1.70+1.701916 to 1940t = 3.211941 to 1965 t = 2.19: 1.81+1.811941 to 1965t = 2.191966 to 1990 t = 1.95: 1.71+1.711966 to 1990t = 1.951991 to 2015 t = 0.81: 1.03+1.031991 to 2015t = 0.81

Mean January return in percent per month for the US market, by 25 year sub-period. The two highlighted periods fail the paper's t-test, its ANOVA and its Mann-Whitney test. The four sub-periods before 1891 are omitted here because three of the four have a negative January mean, which is a different story from decay.

January's mean return in the broad US market fell from 1.81% over 1941 to 1965 to 1.03% over 1991 to 2015, no longer significant on any of three tests. The small minus big January premium halved too, from 2.1% a month to 1.0%, but it is still there.

1.81%Mean January return, 1941 to 1965, t = 2.19
1.03%The same for 1991 to 2015, t = 0.81
2.1%Small minus big January premium per month, 1926 to 2017, t = 6.25
1.0%The same over 1976 to 2017, t = 2.39

Alleen voor leden

De rest van deze pagina is voor leden

Below this point there are 5 sections and 3 named sources, roughly 550 words of it. Every figure carries the source it came from and the date the data is from.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.