This text examines the influence of main shopper holidays, Thanksgiving and Christmas, on monetary markets. Utilizing historic value information from 2004 to 2024, we analyze each day efficiency tendencies within the 10 buying and selling days earlier than and after every vacation to find out whether or not seasonal spending influences asset costs. Our findings counsel that seasonal shopper spending influences monetary markets, with Amazon benefiting round Thanksgiving and gold throughout Christmas.
Introduction
There are occasions of the 12 months when folks spend greater than standard. Valentine’s Day brings increased spending on flowers and chocolate, whereas Halloween drives costume and sweet gross sales. Nonetheless, Christmas and Thanksgiving stand out as world’s peak shopper holidays, with considerably increased spending ranges. Among the many most influential procuring occasions within the Western Hemisphere, Thanksgiving and Christmas are each culturally and economically vital. Thanksgiving, celebrated on the fourth Thursday of November within the U.S., marks the beginning of the vacation procuring season. The next day, Black Friday, has grow to be one of many largest retail occasions, with companies providing deep reductions. Equally, Christmas, on December twenty fifth, drives buying of presents, decorations, meals, and journey.
These spending surges additionally have an effect on monetary markets. One well-known phenomenon is the Santa Claus Rally—the tendency for shares to rise in the previous few buying and selling days of December and the primary few days of January. That is a part of a broader idea often called seasonality—recurring tendencies that happen at particular occasions of the 12 months. Monetary markets typically react to those seasonal consumption patterns, and merchants have developed funding methods to reap the benefits of them.
Seasonality is well-known to traders in addition to researchers. At Quantpedia, we have now analyzed over 100 seasonal buying and selling methods throughout commodities and shares, revealing predictable patterns in sure sectors throughout particular occasions of the 12 months. Our subsequent objective is to evaluate how these main shopper holidays affect monetary markets and whether or not these patterns current worthwhile funding alternatives past pre-holiday impact.
First, we introduce the info and methodology utilized in our examine. We then current our outcomes and focus on key tendencies in asset efficiency round Thanksgiving and Christmas.
Methodology & Information
Our funding universe consists of 5 exchange-traded funds (ETFs): DIA, XLY, XLP, GLD, and AMZN. Historic value information was sourced from Yahoo Finance and Investing.com. Information have been pulled from EODHD.com – the sponsor of our weblog. EODHD presents seamless entry to +30 years of historic costs and elementary information for shares, ETFs, foreign exchange, and cryptocurrencies throughout 60+ exchanges, out there through API or no-code add-ons for Excel and Google Sheets. As a particular provide, our weblog readers can take pleasure in an unique 30% low cost on premium EODHD plans.The funding interval spans from November 18, 2004, to December 31, 2024.
To evaluate the influence of holiday-driven consumption on monetary markets, we analyzed each day performances within the 10 buying and selling days earlier than (D-10) and 10 buying and selling days after (D+10) every vacation (Thanksgiving and Christmas). Solely buying and selling days have been thought of to take care of consistency, as monetary markets are closed on sure vacation dates. For every ETF, we calculated the common efficiency on every relative day (D-10 to D+10) throughout all years. For instance, to find out AMZN’s efficiency on D-10, we collected its each day efficiency on D-10 for every year from 2004 to 2024, then calculated the common of those values. This course of was repeated for all ETFs and all relative days to acquire a historic pattern of efficiency round Thanksgiving and Christmas.
We hypothesize that XLY, AMZN, and GLD outperform benchmark ETFs (DIA and XLP) as a result of elevated shopper spending throughout Thanksgiving and Christmas. Intensive vacation buying is prone to be mirrored within the stronger efficiency of consumer-focused ETFs (XLY, AMZN) and gold (GLD), in comparison with broad market benchmarks.
Outcomes
On this part we summarize the important thing tendencies noticed in our evaluation of Thanksgiving and Christmas. Our findings are finest illustrated utilizing column graphs.
Thanksgiving
For Thanksgiving, we observe that shopper discretionary (XLY) barely outperforms shopper staples (XLP). The identical sample seems when evaluating XLY to DIA, the broad market index. We current the visible interpretation of averages of performances on every relative day throughout all years for each XLY (Determine 1) and DIA (Determine 2).
Determine 1 XLY Common Efficiency round Thanksgiving (D-10 to D+10, 2004–2024)
Determine 2 DIA Common Efficiency round Thanksgiving (D-10 to D+10, 2004–2024)
We imagine this outperformance is basically pushed by Amazon (AMZN), which holds a 20% weight in XLY. To check our speculation, we analyzed the unfold between XLY and DIA and located a transparent drift round Thanksgiving (Determine 3). This implies that the buyer discretionary sector will get a seasonal enhance throughout this era.
Determine 3 XLY-DIA Common Efficiency round Thanksgiving (D-10 to D+10, 2004–2024)
Since AMZN makes up a good portion of XLY, we needed to measure how a lot of XLY’s outperformance over DIA comes from Amazon. Our speculation is that AMZN is the primary driver of this unfold. We illustrate this concept on Determine 4, with blue line representing the outperformance of XLY over DIA and black line representing the 20% weighted AMZN. Evidently the magnitude of XLYs outperformance motion is near AMZNs motion. In different phrases, the outperformance of XLY over DIA can primarily be attributed to AMZN which constitutes for 20% of XLY.
Determine 4 AMZN contribution to XLY-DIA round Thanksgiving (D-5 to D+3, 2004–2024)
Determine 5 AMZN Common Efficiency round Thanksgiving (D-10 to D+10, 2004–2024)
A more in-depth take a look at AMZN’s efficiency (Determine 5) reveals a transparent upward drift between D-5 and D+3, suggesting that Amazon’s inventory advantages from the vacation procuring interval. This pattern can be seen within the fairness curve (Determine 6), which tracks AMZN’s efficiency from D-5 to D+3 throughout years 2004 to 2024. Taking a look at an extended time-frame, Amazon has proven a constant upward drift since 2004 because of rising reputation of on-line procuring.
Determine 6 AMZN fairness curve (2004–2024)
We suggest a method of shopping for AMZN on D-5 and holding the place till D+3, with D standing for Thanksgiving Day. The technique delivers a median annual return of 5.18% with a volatility of 9.30%. The utmost drawdown noticed over the total interval is 15.88%. The Sharpe Ratio, which displays risk-adjusted returns, stands at 0.56, whereas the Calmar Ratio, evaluating annual return to most drawdown, is 0.33 (Desk 1).
Desk 1 Efficiency Desk AMZN (D-5 to D+3, 2004–2024)
When testing for gold (GLD) efficiency, no vital pattern seems round Thanksgiving. In contrast to shopper discretionary shares, gold costs don’t present a powerful sample throughout this era.
Christmas
Shifting to Christmas, we see a distinct sample. The well-documented pre-holiday impact is strongest on D-1, the day earlier than Christmas, for AMZN, XLY, and DIA. Nonetheless, after D-1, no clear tendencies seem for many ETFs.
Apparently, gold (GLD) behaves in another way round Christmas in comparison with Thanksgiving. A powerful and constant pattern seems when shopping for GLD on D-2 (December twenty third) and holding it till D+5, roughly the primary buying and selling day of the New Yr (Determine 7).
Determine 7 GLD Common Efficiency round Christmas (D-10 to D+10, 2004–2024)
This seasonal value drift is seen within the fairness curve (Determine 8), supporting the concept that gold demand rises throughout Christmas.
Determine 8 GLD fairness curve (2004-2024)
We suggest a method of shopping for GLD on D-2 (December twenty third) and holding the place till D+5, with D representing Christmas Day. The technique delivers a median annual return of two.41% with a volatility of two.39%. The utmost drawdown over the total interval is 3.82%. The Sharpe Ratio stands at 1.01, whereas the Calmar Ratio is 0.63 (Desk 2).
Desk 2 Efficiency Desk GLD (D-2 to D+5, 2004–2024)
Conclusion
We studied the influence of Thanksgiving and Christmas, main shopper holidays, on monetary markets, specializing in the efficiency of 5 ETFs. The outcomes counsel that seasonal results exist, however they fluctuate by asset and timing.
For Thanksgiving, the info exhibits a transparent drift in AMZN’s efficiency from D-5 to D+3. For Christmas, a powerful pre-holiday impact happens on D-2, notably for AMZN, XLY, and DIA. The exception is GLD, which exhibits a constant seasonal pattern. Shopping for gold on D-2 (December twenty third) and holding it till D+5 (across the first buying and selling day of the New Yr) leads to a visual value drift.
General, our findings verify the presence of seasonal market patterns linked to main procuring holidays. The patron discretionary sector advantages from elevated spending round Thanksgiving, whereas gold sees a seasonal enhance throughout Christmas. These findings counsel that seasonal shopper spending can influence monetary markets, creating potential alternatives for traders.
Creator: Margaréta Pauchlyová, Quant Analyst, Quantpedia
Are you in search of extra methods to examine? Join our e-newsletter or go to our Weblog or Screener.
Do you need to study extra about Quantpedia Premium service? Examine how Quantpedia works, our mission and Premium pricing provide.
Do you need to study extra about Quantpedia Professional service? Examine its description, watch movies, evaluate reporting capabilities and go to our pricing provide.
Are you in search of historic information or backtesting platforms? Examine our record of Algo Buying and selling Reductions.
Would you want free entry to our companies? Then, open an account with Lightspeed and revel in one 12 months of Quantpedia Premium without charge.
Or observe us on:
Fb Group, Fb Web page, Twitter, Linkedin, Medium or Youtube
Share onLinkedInTwitterFacebookConfer with a buddy
