After 2013, the “Santa Rally” calendar effect vanished, probably because Santa has gone online and is also involved with crypto.
Below is a chart of the market’s performance (S&P 500 Index) in the last three days of the year plus the first two days of the new year.
The Santa Rally calendar anomaly was strong in the 1950s until the late 1970s. Then, Santa “was hit” by the high inflation, and since the late 1980s, the performance has been volatile. After 2013, the performance has been a combined loss of -7.6%. The combined loss in this and last year is nearly 3%.
Santa probably went online since 2013 and is also involved in crypto. This could be the time to declare this calendar anomaly dead.
Calendar anomalies do not last long after they make headlines due to crowded trades. If you’d like to profit from a calendar anomaly, try to identify one that no one in mainstream financial media is talking about. There is still time left before the AI finds them all.
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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