The 'Black Friday Indicator' may be telling us something about the S&P 500 over the next year

Brendan McDermid | Reuters

Shoppers at a Best Buy store in Brooklyn, New York.

The S&P 500 rose 0.39 percent on "Black Friday," the day after Thanksgiving when people kick off their holiday shopping — but history actually suggests that could be a bad sign for the 12 months to come.

According to data compiled by Kensho, a market analysis tool, stock market returns on Black Friday actually have a direct negative correlation for the year ahead. That means the more the market gains on Black Friday, the worse it will do over the following year.

Correlation is expressed as a number between -1 and 1. A correlation of 1 means the two figures always move perfectly in sync, while a correlation of -1 means that when one goes up, the other always goes down. The correlations between Black Friday performance and various, subsequent time periods are outlined here:

The negative returns aren't limited to just a full year out, but even a month, a quarter, six months — however you want to look at it. The data track market performance going back to November 1980.

Something about investor excitement on Black Friday just doesn't translate into future performance.

Since 1980, the two best-performing Black Fridays were in 2000 and 2007. Both days saw stock market returns around 1.5 percent. But in the months after, the market really fell. In each case, the market's highs were already in the rearview mirror, having topped out earlier in the year. The Black Friday gains were actually an aberration from a giant bear market that had already begun, whether or not people realized it at the time. Massive losses in 2001 and 2008 were soon coming.

The correlations suggest that for each additional 1 percent the market gains on Black Friday, you can expect it to lose 4 percent in the upcoming year.

Take all this with a large grain of salt, because the correlation itself isn't huge. The point is that if people are trying to use Black Friday's gains to suggest investors are optimistic about retail sales and the rally will continue, they could be reading too much into it.

Disclosure: NBCUniversal, parent of CNBC, is a minority investor in Kensho.