Are we at the dawn of this business cycle’s last inning?
My research shows that stocks have experienced a positive return in the November to April period in 52 out of the 61 years of my sample and a negative return in only nine years. The data comes from the Canadian Financial Markets Research Centre database at Western University and the index used in the calculations is the Equally Weighted CFMRC index.
To separate value from growth stocks, Dartmouth University professor Ken French sorts NYSE stocks by price-to-book from low to high, forms quintiles of stocks and calls the lowest quintile value stocks and the highest quintile growth stocks. Then within every value and growth quintile, he sorts stocks by a measure of operating profitability and forms OP quintiles from low to high.