Turn of Year Stock Market Seasonality Model

by | Nov 19, 2014 | News, Stock Market Comments

Last week, Tom and I discussed stock market seasonality on our weekly podcast, which you can find here: https://mullooly.net/stock-market-seasonality/7785 We’ve found that stock market seasonality studies are extremely interesting and useful, however they’re no substitute for a game plan. We rely on point and figure charts and relative strength to dictate our plan for investing here at Mullooly Asset. As Tom likes to say, “When the charts change, we will change”. That doesn’t mean we don’t pay attention to things like market seasonality studies though.

Our discussion last week revolved around, “Sell in May and go away”. I recently read about another seasonality study that examines the period of November 19th-January 19th each year. Of course, this is timely because today is November 19th. This study is referred to as the Turn of Year model. Andrew Thrasher, a technical analyst, shared his thoughts on this model created by Wayne Whaley.

Whaley looks at S&P 500 returns from 11/19 through 1/19 from 1950-2012, and breaks them into three categories: 3%+, 0-3%, and negative. During that time frame, when the S&P 500 has been up more than 3% there was only down year in 30 instances. Conversely, six out of eight years with -10+% S&P 500 returns were preempted by Turn of Year periods with -3+% results.

Another really interesting example of stock market seasonality. I thought it followed up nicely to our podcast from last week so I wanted to share it. I highly recommend checking out Andrew and Wayne’s posts, which I’ve linked to below.




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