Quote Originally Posted by adam ali View Post
Mike,

Have you parsed out historical returns for June in election years only? See link below:

http://www.ritholtz.com/blog/2012/05...lection-years/

Adam, I have parsed the election years. Pardon the unformated list below which is every rally that began in an election year in my database. Missing here will be any rally that began the year before and carried into an election year. There are plenty of rallies that started earlier in the year and carried into June for good gains. There just aren't any that entered June in a correction and began a healthy ascent.

Date (length of raly days) Percent Gain
1/6/1976 ( 67) 10.70%
4/20/1976 ( 21) -1.50%
6/17/1976 ( 46) -0.10%
9/1/1976 ( 21) -0.20%
11/4/1976 ( 3) -2.20%
11/18/1976 ( 66) 6.60%
4/2/1980 (175) 39.00%
12/17/1980 ( 22) 2.40%
1/4/1984 ( 15) -1.30%
3/16/1984 ( 14) -3.00%
5/1/1984 ( 15) -3.80%
6/4/1984 ( 23) -0.90%
8/1/1984 ( 38) 7.10%
10/18/1984 ( 20) -1.50%
12/18/1984 ( 66) 13.50%
5/31/1988 ( 40) 3.50%
11/30/1988 ( 77) 7.80%
4/14/1992 ( 8) -4.70%
7/9/1992 ( 32) -1.70%
9/10/1992 (109) 14.50%
1/19/1996 ( 29) 6.60%
4/16/1996 ( 44) 5.20%
8/1/1996 (145) 19.50%
2/3/2000 ( 39) 5.90%
4/25/2000 ( 10) -3.40%
5/16/2000 ( 4) -9.50%
5/30/2000 ( 42) 5.90%
8/17/2000 ( 18) -1.20%
9/28/2000 ( 2) -5.50%
10/26/2000 ( 10) -2.20%
12/5/2000 ( 8) -8.20%
12/27/2000 ( 3) -9.70%
3/29/2004 ( 22) -1.70%
5/25/2004 ( 31) -1.40%
8/18/2004 ( 97) 14.20%
1/31/2008 ( 25) -7.40%
4/1/2008 ( 59) 0.20%
7/29/2008 ( 27) -2.70%
9/25/2008 ( 2) -9.30%
10/16/2008 ( 4) -5.90%
11/4/2008 ( 2) -9.60%
12/2/2008 ( 29) 2.70%