Over several time horizons op-ex week in December has been the most bullish week of the year for the SPX. The positive seasonality actually has persisted for up to 3 weeks. I demonstrated this most recently in the the blog exactly a year ago. I’ve updated that study below to include last year’s stats.
The stats still appear extremely strong. I normally only show equity curves in my subscriber letter, but I’m in a good mood this morning, so below is a curve using a 5-day holding period.
Aside from the big pullback in 2000, it has been a strong steady move higher. This would seem to confirm the bullish edge.