This is a 44-year study from November 1964 to January 2008.
The study asks the question ''how profitable would it be to buy the DJIA on Nov 1st, and Sell it on Jan 1st the next year''.
Results
If you did this strategy alone (Bought the index on the first of November and sold it on the first of January), you would of returned 420.86% over this time period.
How does this strategy compare to holding the DJIA over the 44-time period? It fairs pretty well, considering your exposure to market risk is 83.33% lower. The DJIA gained a wooping 911% over the same time period if you were exposed to the market for the complete cycle.
On average, the DJIA gains 3.58% from November 1st to January 1st of the next year.
During the 44-year time period, they were only 4 occurences (1969.. - 13%, 1973.. -11%, 2007 ..-9%, 2008 ..-14%) where the market sold off more than 10%.
Only in 9% of the cases is the DJIA 'considerably lower (>9%)' in January than in November.
Only in 27% of the cases since 1964 is the DJIA lower in January than in November.
They were 0 occurences where the market sold off more than 15% during the months of November to January.
The Probability the DJIA is lower than 8245 by January 1st,2010 is theoretically 0 because a sell-off of that magnitude has never happened in the past 44 years.
Here is the equity curve had you followed the strategy of buying the Index in November and selling it 2 months later.
