Tuesday, November 27, 2012

December Historical Sector Analysis: Ho!Ho!Ho!


Is the Santa Clause rally for real?  Based on my sector and S&P 500 TR analysis over the last twenty-five months of December the data suggests that it is indeed for real.  Over the last twenty-five months of December the S&P 500 TR has finished in positive territory twenty-two times.  After removing the high and low returns for statistical analysis the S&P 500 TR has achieved a mean return of +2.31%.  The S&P 500 TR has provided a fairly consistent return over the last twenty, fifteen and ten months of December as well.  Again after removing the high and low returns for these time periods, the mean return for the S&P 500 TR has been +1.78%, +2.16% and +1.67%.

Performance and Consistency

Three sectors have historically stood out in the month of December.  These sectors have provided both consistency and performance.  The sectors are Real Estate, Health Care and Telecom.  All three sectors have finished as a top three mean performer over the last twenty-five, twenty, fifteen and ten months of December. 

The Utility sector has been extremely efficient in the month of December.  The average utilities fund has finished in positive territory twenty-four times over the last twenty-five years in the month of December.  The only down year was a very small average loss of .08%.  Though the total return and mean return of utilities has not been as robust as the previously mentioned sectors, which makes sense based on the sectors lower standard deviation, the historical performance was worth noting.

Every sector I research and the S&P 500 have enjoyed the month of December over the last twenty-five years. Unlike most months, not a single sector experienced a negative mean return for the time periods examined.  Hopefully you can find something useful in the data that you can apply to your own investment strategy.  Based on historical performance for the month of November I allocated the AFL Cyclical Sector Folio I manage evenly between the following sector ETFs:

Consumer Discretionary Select Spider ETF (XLY)

Industrial Select Sector Spider (XLI)

Technology Select Sector Spider (XLK)

SPDR S&P Telecom (XTL)

 

So far so good for the month of November.  My AFL Cyclical Sector Portfolio is up .95% as of the close on November 26th, while the S&P 500 TR is down .18%.  I will have the final monthly data posted in early December when we examine how all of the sectors stood up to their twenty-five year historical performance track record.

 

December
Cons Disc
Health Care
Energy
Financials
Cons Staples
Technology
1987
11.05%
8.89%
6.95%
4.73%
2.18%
14.85%
1988
3.39%
2.01%
3.35%
0.24%
2.56%
6.25%
1989
-0.31%
1.34%
8.06%
-2.05%
2.28%
1.16%
1990
5.08%
2.96%
-4.03%
6.63%
4.67%
4.87%
1991
11.10%
15.58%
-2.83%
11.27%
11.68%
12.69%
1992
1.81%
0.90%
-1.07%
4.93%
1.69%
3.75%
1993
2.21%
4.59%
0.08%
3.07%
2.24%
4.76%
1994
0.59%
0.12%
-2.08%
0.88%
0.34%
1.91%
1995
-0.88%
6.33%
7.60%
1.36%
2.34%
-4.04%
1996
-2.18%
2.16%
0.73%
-1.06%
-0.18%
-1.74%
1997
2.20%
-0.18%
-1.12%
5.54%
2.70%
-2.91%
1998
8.90%
8.02%
-1.60%
3.01%
4.59%
15.91%
1999
7.37%
9.17%
5.31%
-2.33%
-0.31%
24.74%
2000
3.71%
5.21%
20.64%
10.72%
4.44%
-1.15%
2001
3.72%
-0.55%
7.38%
2.91%
1.57%
0.86%
2002
-6.36%
-4.17%
1.29%
-4.06%
-1.95%
-13.63%
2003
2.12%
4.26%
12.01%
4.40%
1.68%
0.29%
2004
5.18%
6.39%
-2.41%
3.88%
4.81%
3.47%
2005
0.06%
1.82%
3.24%
0.83%
0.36%
0.27%
2006
1.59%
0.06%
-4.05%
2.99%
2.37%
-0.99%
2007
-4.19%
-2.48%
7.36%
-3.61%
-1.21%
0.23%
2008
7.20%
6.92%
-3.61%
1.56%
2.00%
3.69%
2009
4.03%
3.70%
4.07%
1.04%
1.54%
6.74%
2010
3.63%
5.54%
8.15%
9.61%
4.92%
5.46%
2011
0.30%
1.94%
-2.29%
1.02%
1.02%
-2.51%
# Of Up Years
20
21
15
20
21
18
Mean
2.89%
3.44%
2.37%
2.62%
2.11%
3.21%
Standard Deviation
3.56
3.22
4.71
3.52
1.71
5.40
Trailing 10yr Mean
1.59%
2.65%
1.98%
1.51%
1.57%
1.24%
Trailing 15 yr Mean
2.84%
3.13%
2.91%
2.37%
1.97%
2.26%
Trailing 20 Yr Mean
2.14%
3.04%
2.39%
2.22%
1.78%
1.89%
December
Telecom
Nat Resources
Real Estate
Utilities
Industrials
S&P 500
1987
6.12%
7.73%
1.56%
0.87%
6.59%
7.61%
1988
2.49%
2.84%
0.55%
0.64%
2.85%
1.74%
1989
4.41%
4.85%
0.08%
3.94%
1.44%
2.40%
1990
4.17%
-0.76%
0.86%
1.39%
4.40%
2.79%
1991
9.54%
1.01%
8.19%
4.95%
9.68%
11.44%
1992
3.77%
0.83%
4.54%
2.75%
4.19%
1.23%
1993
3.22%
2.53%
3.03%
1.83%
3.63%
1.21%
1994
0.56%
-0.03%
8.45%
-0.08%
1.84%
1.48%
1995
2.06%
4.71%
6.66%
4.06%
-1.61%
1.93%
1996
-0.29%
0.45%
10.20%
0.82%
0.06%
-1.98%
1997
3.70%
-0.99%
2.60%
5.02%
0.63%
1.72%
1998
14.98%
-1.93%
-0.61%
5.65%
3.87%
5.76%
1999
14.49%
5.99%
4.03%
4.48%
6.01%
5.89%
2000
-2.64%
16.14%
6.48%
5.39%
5.90%
0.49%
2001
1.20%
5.95%
2.77%
2.18%
4.34%
0.88%
2002
-9.57%
3.09%
1.24%
0.65%
-2.52%
-5.87%
2003
5.21%
10.68%
3.34%
5.94%
5.19%
5.24%
2004
3.91%
-2.33%
5.37%
3.08%
2.65%
3.40%
2005
-0.10%
3.46%
0.90%
0.96%
1.61%
0.03%
2006
2.49%
-3.62%
-0.38%
1.23%
-0.21%
1.40%
2007
-1.80%
5.63%
-5.30%
0.60%
-2.45%
-0.69%
2008
4.16%
-1.46%
15.56%
0.02%
4.06%
1.06%
2009
4.24%
3.17%
6.56%
5.17%
5.11%
1.93%
2010
6.31%
9.35%
4.44%
4.35%
6.81%
6.68%
2011
-0.01%
-4.93%
4.38%
1.86%
-0.75%
1.02%
# Of Up Years
19
17
22
24
20
22
Mean
3.36%
2.66%
3.71%
2.69%
2.88%
2.31%
Standard Deviation
3.70
3.82
3.03
1.88
2.67
2.41
Trailing 10yr Mean
2.26%
2.16%
3.23%
2.24%
1.90%
1.67%
Trailing 15 yr Mean
3.17%
2.85%
3.16%
3.12%
2.77%
2.16%
Trailing 20 Yr Mean
2.80%
2.53%
4.11%
2.78%
2.45%
1.78%
Rank
25 Year
20 Year
15 Year
10 Year
1
Real Estate
Real Estate
Telecom
Real Estate
2
Health Care
Health Care
Real Estate
Health Care
3
Telecom
Telecom
Health Care
Telecom
4
Technology
Utilities
Utilities
Utilities
5
Cons Disc
Nat Resources
Energy
Nat Resources
6
Industrials
Industrials
Nat Resources
Energy
7
Utilities
Energy
Cons Disc
Industrials
8
Nat Resources
Financials
Industrials
S&P 500 TR
9
Financials
Cons Disc
Financials
Cons Disc
10
Energy
Technology
Technology
Cons Staples
11
S&P 500 TR
Cons Staples
S&P 500 TR
Financials
12
Cons Staples
S&P 500 TR
Cons Staples
Technology

 

 

Jon R. Orcutt is the founder of Allocation For Life, Author of The Allocation For Life Investment Newsletter, Author of "Master The Markets With Mutual Funds: A Common Sense Guide To Investing Success" and manager/creator of the AFL Models available to Allocation For Life subscribers at Folio Investing.

 

www.allocationforlife.com