RELATED TOPICS -->  | How to use and interpret the SATC data | Sell in May and go away |
                                        |
Coupling Seasonality with Market Timing  |

OTHER    MONTHS--> | January | February | March       | April       | May          | June        |
                               | July
      | August    | September |
October  | November  | 

This is a public page to demonstrate our use of seasonaly analysis. It covers the month of December only. Subscribers have acccess to other months of the year from the links provided above.

The data below represents seasonality traits for the month of December. The 1st section covers a general observation. The 2nd section shows 25 years of December JSE growth compared to the other months. The 3rd section covers historical data for the whole month from the first trading day to the last. The 4th section covers the first half of the month, from the first trading day to the exact midpoint of the month to ensure an equal distribution of trading days between the two halves. The 5th section covers the second half of the month. The 6th section covers the best performing period of the month and the 7th section covers the best week-days of the month.

NOTE : It is recommended you read the "How to use and interpret SATC" tutorial in the RELATED TOPICS link to get the most out of the charts.

1. DECEMBER GENERAL OBSERVATIONS
The month of December is historically the most powerful month on the JSE. It is the month that has the strongest persistence with seasonality displaying a Sharpe ratio of 0.56. December also has the highest win rate of all the months of 70.8% over a 24 year period. The gains had from December have waned slightly over the last 10 years from a average of 5.3% to the current 4.2% but apart from this the rolling 5 and 10-year averages are moving more or less in tandem.

December is a tale of two contrasting halves however with the bulk of gains coming from the 2nd half. The 1st half of December is historically the poorest 1st half out of all the other 11 months with a loss rate of 54.2%! The 1st half of December is also a very volatile period with a low Sharpe ratio of 0.19. The poor showing of the 1st half is a result of large upswings in some years followed by large down-swings, which neutralize each other as opposed to a persistent low return rate.

The behaviour of the 1st half has been a relatively persistent  trend over time. The gains for the 2nd half of December are literally double those of the 1st half and have the highest confidence rating of all the other months' 2nd halves with a Sharpe ratio of 0.7. The probability of positive gains in the 2nd half of December are a stunning 72% with 60% of historical gains being over 1% (26.97% CAGR)

December, with its powerful 2nd half, coupled with January, with its incredibly powerful first half, are a manifestation of the so-called "Turn of the year" seasonal effect.

Statistically, the best period for December is from the 14th to the 31st, or the nearest trading days before these dates if they fall on weekends/holidays. This is slightly longer than the 2nd half of December which typically commences of 16th/17th December and is known as the "SANTA CLAUSE RALLY". This has a win rate of 83% and a very high statistical confidence. It is worth punting a few warrants or SSF's over this period.

The best performing day for December is Monday (58% win ratio), followed by Wednesday and then Thursday. Incidentally, Wednesdays and Thursdays are also the best performing days for the entire year. Tuesdays and Fridays are not good days for December at all, with Fridays averaging negative returns and having only a 44% win ratio. Friday is also the worst performing day on the JSE over 25 years, contrary to trends on U.S markets.

Most of the findings for December for the JSE listed above correlate very closely to a 90-year study conducted on the Dow Jones Industrial index by Josef Lakonishok and Seymour Smidt in 1988. But the JSE has its own seasonal anomalies that differ from the US markets as well.
 
2. ALL THE MONTHS


3. DECEMBER (WHOLE MONTH)


4. DECEMBER (FIRST HALF OF THE MONTH)


5. DECEMBER (SECOND HALF OF THE MONTH)


6. DECEMBER (STATISTICALLY BEST PORTION OF THE MONTH) "SANTA CLAUSE RALLY"


7. DAY OF THE WEEK ANALYSIS


OTHER    MONTHS--> | January | February | March       | April       | May          | June        |
                               | July
      | August    | September |
October  | November  | 
 
Make a Free Website with Yola.