AORD - Last 3 days of December & 1st 2 days of January
Since 2000, the All Ordinaries Index (AORD) has displayed a positive seasonal tendency over the last 3 trading days of December & first 2 trading days of January.
5-day average return 1.04%, standard deviation 1.19%, win rate 17 from 22 events.
In terms of statistical significance, the conditional 5-day average return of 1.04% versus the unconditional 5-day average return (drift) of 0.09%, is statistically significant well beyond the conventional 1 in 20 by chance level (P < 5%).
With regard to return skew, 10 of these events sported an absolute gain of greater than 1% while no events posted an absolute loss on the southern side of -1%.
Disclaimer: Past performance is not a guide to future performance and may not be repeated. Past performance does not diminish the risk expectancy of any strategy. By its very nature ‘risk’ means you could & most likely will experience losses. No representation or warranty is given as to the accuracy or completeness of any information provided. It is your responsibility to consider whether any financial product or service is suitable for you based on your risk profile, investment objectives, & investment horizon. Data is for educational & informational purposes only.
5-day average return 1.04%, standard deviation 1.19%, win rate 17 from 22 events.
In terms of statistical significance, the conditional 5-day average return of 1.04% versus the unconditional 5-day average return (drift) of 0.09%, is statistically significant well beyond the conventional 1 in 20 by chance level (P < 5%).
With regard to return skew, 10 of these events sported an absolute gain of greater than 1% while no events posted an absolute loss on the southern side of -1%.
Disclaimer: Past performance is not a guide to future performance and may not be repeated. Past performance does not diminish the risk expectancy of any strategy. By its very nature ‘risk’ means you could & most likely will experience losses. No representation or warranty is given as to the accuracy or completeness of any information provided. It is your responsibility to consider whether any financial product or service is suitable for you based on your risk profile, investment objectives, & investment horizon. Data is for educational & informational purposes only.