Re: Halloween effect in the stockmarket
I made a post earlier this year about the same strategy. I used the DJIA from the 40's through today. You would have been much better off investing in stocks from Oct 15th - April 15th, and t-bills from April 15th - Oct 15th.
In todays markets it would be very easy to take advantage of this strategy, you can simply sell short a s&p, covered by your cash position. By doing so, you still collect dividends from you cash position, dont have to pay capital gains on your cash position, plus you essentially get the risk free rate built into the premium on the futures.
F for me by being late/lazy and not finding the link.
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