Go Short In April & July

Author: Kenneth ([email protected])

Published: Thursday April 1, 2021

Efficient markets states that stock’s return is indifferent in each trading day. But, the calendar effects phenomenon shows a different average return in each month. My research suggests going short the S&P500 in April and July. I used 10 years of market data and in these months the S&P500 lost more than 1% of its value.