The Thanksgiving Indicator - John Rothe | Portfolio Manager, Quant, Tech Geek, And Sometime Superhero To My Kids

The Thanksgiving Indicator

One of the seasonal indicators we use in the Praxis Fund is based on Thanksgiving. Historically, the Monday before Thanksgiving to the first few days of Janaury are bullish for the US stock market. Since 2000, investors utilizing this seasonal indicator would have enjoyed a total return of 45.87 percent*, while the S&P 500 index total return was NEGATIVE 17.12 percent*. The Thanksgiving indicator translated into an 8.36 percent average rate of return while being invested in the market only 11 percent of the time.

The Thanksgiving Indicator:

Buy the S&P 500 the Monday before Thanksgiving
Sell the S&P 500 the third trading day of January
Total Closed Trades:         12 (1.10/yr)
Largest Gain:             +6.94%
Largest Loss:             -3.08%
Max. Drawdown (peaks):   -13.32% on 12/01/08
Max. Drawdown (entry):    -8.05% on 12/01/08
Max. Drawdown (real) :    -3.08% on 01/07/03
Total Gain:              +45.87%
Percent Invested:         11.00%
CAR While Invested:       +8.36%
Ulcer Index:               2.84
UI While Invested:         1.55
Winning Years:            72.73%
*(as of 12/2/10)

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