The retailers that are being crushed by Amazon have rallied in the past two weeks ahead of the holiday shopping period, but if history is a guide, they could underperform again after Thanksgiving.
Bespoke Investment Group's "Death by Amazon" index includes 62 brick-and-mortar retailers whose businesses have been hurt by Amazon and internet shopping. Since its peak in September 2015, the index has lost a third of its value, and it has declined by 15 percent this year alone, while the S&P 500 is up 15 percent.
But so far this month, retail stocks have bounced with the XRT, SPDR S&P Retail ETF, up 5.3 percent, while the S&P 500 is up just 0.9 percent. In the same period, Amazon is up 3 percent.
"The retail stocks have done great this month," said Paul Hickey, co-founder of Bespoke. "I don't think necessarily people are going to start changing their habits, going back to brick-and-mortar this holiday season. … The only argument you can make in their favor is they're down so much."
Since 2000, the S&P retail sector on average has underperformed the broader market from Thanksgiving through year end. The median move has been a 0.4 percent gain, compared with the 1.5 percent move in the S&P 500.
Amazon in the same period has been up 70 percent of the time with a median move of 1 percent, since 2000.
Hickey said Apple's new iPhone X could steal some of the gift-shopping business from retail this year. "I think Amazon will still have a pretty good year ... but if it's anyone, it's the traditional retailers that could have the most headwinds," said Hickey.
Among the stocks in the Death by Amazon index are Macy's, Kohl's, TJX, Ulta, Wal-Mart, Williams-Sonoma, Bed Bath and Beyond, Big Lots, CVS, Costco Wholesale, Foot Locker, Fred's, Target GNC Holdings, J.C. Penney, Nordstrom, Kroger and Sears Holdings.