Today officially marks the beginning of the Santa Claus Rally.
As we already discussed earlier this month, the SCR period runs during the final 5 trading days of the year and the first 2 of the following year.
So due to the holiday schedule, the 2022 SCR goes from today December 23rd through Wednesday January 4th.
The average performance during these 7 days is 1.33% and is positive 79.2% of the time. This is a big difference from all the other 7 day periods throughout the year, that only average 0.24% returns. They’re also positive less than 60% of the time.
So we’ve found that there’s real alpha during this period. [Read more…]