Seasonal bias.

There are many statistics about the upside bias for November. I noticed the extremely positive historicals for November through December when the Dow was up 10% year to date by October month end. But the November carnage calls into question the seasonal bias for the remainder of the month.

Over the last 50 years, the S&P 500 finished November higher 70% of the time by an average +1.62%. Of those 50 years, however, the index managed a monthly drawdown of more than 5% (as we’ve already seen) just eight times before. And the index was never able to mount a comeback to close the month positive.

If we isolate the above occurrences to those years where the 5% decline occurred over the first 10 days of November, we’re left with just three occurrences: 1973, 1987, and 2000. Worse yet, it’s worth noting that of all the November returns for the last 50 years, those three years were the worst. Will 2007 reverse that trend?

Year/ Max Nov Drawdown/ Nov Close /Dec Close

1963/-5.95 /-1.05 /2.44

1973 /-11.63 /-11.39 /1.66

1974 /-8.12 /-5.32 /-2.02

1987 /-10.34 /-8.53 /7.29

1988 /-5.58 /-1.89 /1.47

1991 /-5.31 /-4.39 /11.16

1994 /-5.96 /-3.95 /1.23

2000 /-9.41 /-8.01 /0.41

AVG /-7.79 /-5.57 /2.95

% +ve /0 /0 /2.95

% -ve /100 /100 /12.50