Sell on Rosh Hashanah and Buy Back on Yom Kippur, from Jeff Hirsch
I tested the old Jewish trader axiom "Sell on Rosh Hashanah and buy back on Yom Kippur?".
Andy Aiken writes:
Historically, returns between the two holidays are negative, but not often enough so to be a reliable calendar trade. Average returns are distorted by 2008.
Year SPX change (%)
2000 -2.40%
2001 -1.94%
2002 -0.32%
2003 3.76%
2004 -0.92%
2005 -4.06%
2006 1.26%
2007 3.68%
2008 -17.76%
2009 -0.50%
2010 2.43%
2011 0.38%
2012 -2.21%
2013 1.77%
2014 -2.03%
2015 0.31%
% negative 56.3%
average return -1.16%
median return -0.41%
A 2004 paper suggests that the negative returns during this period may be due to lower-than-usual volume.