It appears to be the world's easiest trade: Taking a bullish position on stocks for the year's last five trading sessions. Over the entire history of the S&P 500, not only has the index tended to rise over the last days of a year, but it has tended to do so with greater consistency.
Going back to 1928, the S&P 500 has returned 0.14 percent in the average five-day period. But in the last five days of the year, the S&P has enjoyed an average return of 1.19 percent, according to Carter Worth, Sterne Agee's chief market technician. (Technically, the S&P 500 wasn't created until 1957, but historical data from the earlier 90-stock S&P index is used to extrapolate earlier S&P 500 performance.)
And while the standard deviation of the S&P's average five-day return is 2.64 percent, the standard deviation around the average gain in the waning days of the year is only 1.87 percent, Worth found. That tells us that we can expect less variation around the average—which is logical, since light trading is to be expected.
Worth has generally maintained a bearish outlook on the overall market. But when it comes to the last few days of the year, "the odds are high that they play out well," he said in a recent note to clients. "There is not only a higher-than-average return over the last five days, but there is less variability around the average."
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So will the last five trading days of 2014, which begin with Wednesday's short session, bring the expected holiday cheer?