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2013issue C0522-25

Half-year seasonality as an equity regime overlay

From 1979 to 2012, S&P 500 calendar halves differ in index points and still differ in percentage return, worst-case depth, and half-year Sharpe. The historical workflow treats that average, exceptions included, as a seasonal overlay for long aggressiveness and stop tightness.

  • The historical workflow treats the November-April and May-October windows as a seasonal overlay that raises or lowers long aggressiveness and stop tightness, not as a stand-alone calendar system.
  • Point-change bias overweights later years in raw index-point totals, which is why the split is also compared on percentage changes.
  • On a percentage basis the November-April window still showed a higher best reading, a milder worst reading, and a better half-year Sharpe, while leading in 22 of 33 years.
  • Editorial view: a seasonal pattern with frequent exceptions can still serve as regime context for a single equity idea without becoming a complete system.
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Current trackSeasonal analysis54 readings

What the long sample records

The archive follows the S&P 500 from November 1979 through November 2012, a span in which the index moved from 101.82 to 1,412.16. The case is built around two complementary six-month regimes: the November-April window, conventionally ending in April and treated as the historically stronger equity half-year, and the May-October window treated as the weaker seasonal regime.

Over that span, net index-point change was +1,380.8 across November-April halves and -70.4 across May-October halves.

Why point totals misstate the split

Nominal point totals overweight later years because each percentage move equals more points at higher index levels. That point-change bias is why the comparison is also run on percentage changes.

Percentage windows still differ

Average half-year change was 7.3 percent (15.1 percent annualized) in the November-April window versus 1.9 percent (3.9 percent annualized) in the May-October window, a 5.4 percentage-point average gap.

In the tabulated sample, the November-April half had a higher best reading (24.1 percent versus 19.9 percent) and a milder worst reading (-12.6 percent versus -30.1 percent) than the May-October half. Half-year standard deviation was 9.9 percent versus 10.7 percent. Half-year Sharpe ratios were 0.23 versus -0.29 when a 5 percent risk-free rate is assumed.

Exceptions inside the average

In 22 of the 33 years examined, the November-April half outperformed the May-October half.

The 2008 May-October half fell 30.1 percent, compared with a 10.6 percent decline in the November-April span counted as ending in April 2008. The six months ended April 1987 gained 18.2 percent and preceded that year's October break.

A later subsample

In the November 1994 through November 2012 subsample, average half-year changes were 6.8 percent versus 0.7 percent. The November-April window led in 13 of 18 years, and half-year Sharpe ratios using a 2 percent risk-free rate were 0.48 versus -0.11.

Used as a seasonal overlay

The split is treated as an average with frequent exceptions and is used to raise or lower long aggressiveness and stop tightness rather than as a stand-alone calendar system.

Editorial reading: the calendar half is context for how a single equity idea is sized and risk-managed, not a buy-or-sit-out rule.

S&P 500 half-year percentage returns, 1980–2012

November–April halves beat May–October in most years of the 1979–2012 sample, though several summers still posted large gains and several winters posted losses. Bars are the Nov–Apr and May–Oct percentage changes printed in Figure 1 of the source table.
November–April halves beat May–October in most years of the 1979–2012 sample, though several summers still posted large gains and several winters posted losses. Bars are the Nov–Apr and May–Oct percentage changes printed in Figure 1 of the source table.S&P 500 · calendar half-year · 1980-01-01T00:00:00.000Z to 2012-12-31T00:00:00.000Z

Figure 1 lists October 1979 as a starting index level only; percentage half-year returns begin with the 1980 row. 2008’s May–October drop of −30.1% is the sample’s worst printed half.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
15 of 21 in the Seasonal analysis track
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All readings on this track · 21 readings
  1. 1986Two gates for setup and operator readiness
  2. 1990Time-only cycle dates in a Treasury bond case study
  3. 1990Constant-dollar regimes, the value line, and nested cycles
  4. 1992The four-year election cycle as an equity regime map
  5. 1992A semiconductor seasonal-index before the relative-strength overlay
  6. 1992Lock the holiday window as a regime, then veto resistance
  7. 1995Regime-aware stock screening with intermarket context
  8. 1996Standard-error bands, width gates, and weekday counts
  9. 1999Constructing seasonal factors from centered moving averages
  10. 2000Seasonal window, then weekly breadth
  11. 2004Copper as a regime map for cycles and recessions
  12. 2008Election-cycle windows as a mechanical seasonal system
  13. 2012A 2012 case study in Kondratieff-wave and presidential-cycle overlays
  14. 2012The October to May window as a mechanical portfolio procedure
  15. 2013Half-year seasonality as an equity regime overlay
  16. 2014Seasonal cycles as a regime overlay
  17. 2015Seasonal oil window as a defined-risk spread case
  18. 2017Calendar regimes, RSI events, and sector rotation rules
  19. 2018Seasonal windows as testable entry and abstention rules
  20. 2019Calendar rotation of seasonal and regime questions
  21. 2020Constructing calendar interval votes for cycle workbooks
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