Sep

21

Sukkot Priestly BlessingThe Wall Street saying of "sell on Rosh Hashannah and buy on Yom Kippur" is well known. But more traditional Jews know that Sukkot, the Harvest Festival, is the real bear. There is some secular history to this as farm finance was a major part of markets well into the last century. Anyway, what do the numbers show? Going back to the origins of the S&P Futures contract in 1982 we have the following:

                                                      SPZ              USZ

Sell RH; Buy YK         Avg.               -.7%               +.03%
                               St. Dev.         3.97%               1.58%

From YK-Sukkot        Avg.                -.45%             +.1%
                              St. Dev.            3.47%             .94%

This is interesting in that the large SD is in a period that can be no more than four trading days and sometimes is only one. This is where we are now, by the way, from last Friday's close until the close tomorrow.

Sukkot Avg. +.21% -.08% St. Dev. 4.38% 1.88%

I do not think there is anything to see here, and of course my "memories" were wrong. Sukkot was up. But if anyone wants the raw data to apply their own t squared, or whatever you quants do, ask me in the comments, and I will send it to you. And if you find something, let me know!


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