One aspect of repetition in markets which comes up every year as we approach December – that can be traded by all market participants – is the idea of a 'Santa Claus' rally in US equity indices and a positive expectancy and predictability of equity returns.
Assessing the performance and the seasonal form of the S&P500, NAS100 or Dow in December is complicated. We need at least 20 years of monthly returns to consider the sample statistically significant.
However, the capital markets have evolved so radically over the past 20 years, with incredible technological advancements and the rise of algorithmic trading that accounts for about 80% of the daily S&P500 volume.
That said, one consideration that hasn't changed over the past 20 years is the idea that active money managers (e.g. hedge funds and investment managers) must beat benchmark returns to meet their marketed objectives.
#trading-strategies #market-behavior #santa-claus-rally #algorithmic-trading #investment-performance
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