Is any month more likely to out-perform? The average monthly return in the 20 year sample is about +0.9%. I counted how often each month did better than that and applied the standard R function prop.test (see below).

The resultant p-value 0.2088 is only weakly suggestive of an effect.

Overall, I don't think month of the year effects are worth much for trading the all ords.

cheers,

Chemist

Code:

> plus
[1] 13 9 10 13 11 6 12 10 8 10 10 16
> plus.n
[1] 21 21 21 21 20 20 20 20 20 19 20 20
> prop.test(plus,plus.n)
12-sample test for equality of proportions without continuity
correction
data: plus out of plus.n
X-squared = 14.4557, df = 11, p-value = 0.2088
alternative hypothesis: two.sided
sample estimates:
prop 1 prop 2 prop 3 prop 4 prop 5 prop 6 prop 7 prop 8
0.6190476 0.4285714 0.4761905 0.6190476 0.5500000 0.3000000 0.6000000 0.5000000
prop 9 prop 10 prop 11 prop 12
0.4000000 0.5263158 0.5000000 0.8000000

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