Election Day Study
11/03/2004
Election Day Study (by Vic Niederhoffer and Duncan Coker)
| | ELECTION DAY STUDY | | | | | SPX INDEX DATA 1980-2003 | | | | | | | | | PREVIOUS ELECTIONS | | | | | | | | | | DAY BEFORE | DAY BEF CL-CL | DAY OF CL-CL | DAY AFT CL-CL | | November 3, 1980 | 1.23% | 1.77% | -1.84% | | November 5, 1984 | 0.69% | 1.09% | -0.73% | | October 31, 1988 | 0.16% | 0.03% | 0.00% | | November 2, 1992 | 0.97% | -0.67% | -0.67% | | November 4, 1996 | 0.42% | 1.05% | 1.46% | | November 6, 2000 | 0.39% | -0.02% | -1.58% | | | | | | | Number | 6 | 6 | 6 | | Average | 0.64% | 0.54% | -0.56% | | Standard Dev | 0.40% | 0.91% | 1.19% | | Z score | 3.92 | 1.46 | -1.15 | | Percent Pos | 100.00% | 66.67% | 16.67% | | | | | | | | | | | | 2004 ELECTION | | | | | DAY BEFORE | DAY BEF CL-CL | DAY OF CL-CL | DAY AFT CL-CL | | November 1, 2004 | 0.00% | 0.00% | 1.10% | | | | | | | | | | | | | ELECTION DAY STUDY | | | | | SPX INDEX DATA 1980-2004 | | | | | | | | | ALL ELECTIONS THROUGH 2004 | | | | | | | | | | DAY BEFORE | DAY BEF CL-CL | DAY OF CL-CL | DAY AFT CL-CL | | November 3, 1980 | 1.23% | 1.77% | -1.84% | | November 5, 1984 | 0.69% | 1.09% | -0.73% | | October 31, 1988 | 0.16% | 0.03% | 0.00% | | November 2, 1992 | 0.97% | -0.67% | -0.67% | | November 4, 1996 | 0.42% | 1.05% | 1.46% | | November 6, 2000 | 0.39% | -0.02% | -1.58% | | November 1, 2004 | 0.00% | 0.00% | 1.10% | | | | | | | Number | 7 | 7 | 7 | | Average | 0.55% | 0.46% | -0.32% | | Standard Dev | 0.44% | 0.85% | 1.26% | | Z score | 3.32 | 1.44 | -0.68 | | Percent Pos | 100.00% | 57.14% | 28.57% |
**What a world of difference retrospection can make !
*Seasonal patterns often don't work. Indeed, one has never seen a test that prospective seasonal patterns work in any form. "Regrettably, there is no easy money and there is much randomness in prices as this exercise illustrates."