Rosh Hashanah-Yom Kippur

David Gaffen quotes Yale Hirsh on this calendar trade at MarketBeat Blog (link). A common problem with seasonality trades, is that once a pattern becomes widely known, traders jump the trade, making the signals less reliable.

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What’s working now is the reverse — selling on Rosh Hashanah, buying on Yom Kippur – the idea being that more people are closing out positions in advance of spending the holidays with family.

It’s not a bad strategy. On average, from 1971 to 2005, the S&P 500 has fallen 0.4% between those days, with a number of real doozies, including a 2.2% decline in 2005 and a 1.9% drop in 2004. (The data doesn’t include 2006, when the market rose 1.6%.)

“Perhaps it’s Talmudic wisdom, but selling stocks before the eight-day span of the high holidays has avoided many declines, especially during uncertain times,”
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