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STUDY DETAILS

MOMMY, IS THERE A REALLY A SANTA CLAUS RALLY IN RETAIL STOCKS?


2013/12/19

ADAM BROUN KENSHO

Every year, the popular press talks about the Santa Claus Rally - the notion that stocks rally in the last week of the year. But academic literature to back this up is thin on the
ground. In this study, which took less than 5 minutes to complete using Acumen, we look at the aggregate performance of retail stocks over 10 years of history. The results show a
wide spread of returns, with American Eagle (AEO) making gains consistently every year for 10 years.

CYCLICAL ANALYSIS RESULTS


Study Period from 12/24 to 12/31 over the last 10 years.
The portfolio consists of: XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY, S&P 500.

1.51%

0.18%

0.15%

5.58%

-3.62%

10

40.00%

CUMULATIVE
PERCENT
RETURN

AVERAGE
PERCENT
RETURN

GEOMETRIC
MEAN
PERCENT
RETURN

BEST PERCENT
RETURN

WORST
PERCENT
RETURN

NUMBER OF
TRADES

PERCENT OF
TRADES
POSITIVE

^GSPC

XLB

XLE

XLF

XLI

XLK

XLP

XLU

XLV

XLY
Enable Zoom

Cumulative Return:

25
20
15
10
5
0
-5
-10
-15
-20

PATENT PENDING

Cumulative Return:

20

10

-10

-20
2004

2005

2006

2007

2008

2009

2010

2011

2012
PATENT PENDING

Study Results
Symbol

Name

Sector

Cumulative
Percent
Return

Average
Percent
Return

Geometric
Mean
Percent
Return

Best
Percent
Return

Worst
Percent
Return

Number
of
Trades

Percent
of
Trades
Positive

AEO

American Eagle Outfitters

Consumer Services

22.71%

2.08%

2.07%

4.36%

0.10%

10

100.00%

HTSI

Harris Teeter Supermarkets Inc.

Consumer Services

1.18%

1.18%

1.18%

1.18%

1.18%

100.00%

EXPR

Express

Consumer Services

4.59%

1.51%

1.51%

1.84%

1.27%

100.00%

AWAY

Homeaway Inc.

Technology

18.78%

9.25%

8.99%

16.83%

1.66%

100.00%

SIG

Signet Jewelers Limited

Consumer Services

10.27%

0.99%

0.98%

2.97%

-2.27%

10

70.00%

SSI

Stage Stores

Consumer Services

16.27%

1.79%

1.52%

23.13%

-8.53%

10

70.00%

KMX

Carmax Inc

Consumer Durables

4.46%

0.46%

0.44%

6.06%

-2.23%

10

70.00%

Trade History
Symbol

Buy
Date

Sell
Date

Percentage
Return

Buy
Price

Sell
Price

Cumulative
Dividends

HSNI

12/24/2008

12/31/2008

29.82%

5.60

7.27

0.00

HSNI

12/24/2009

12/31/2009

-1.70%

20.54

20.19

0.00

HSNI

12/23/2010

12/31/2010

-0.65%

30.85

30.65

0.00

HSNI

12/23/2011

12/30/2011

-3.13%

37.43

36.26

0.00

HSNI

12/24/2012

12/31/2012

-0.16%

55.17

55.08

0.00

NFLX

12/24/2003

12/31/2003

-4.02%

28.49

27.34

0.00

NFLX

12/23/2004

12/31/2004

6.94%

11.53

12.33

0.00

Recent Trading Ranges of Assets in Study


% From 50Ticker

Name

Last Close Price

Day Moving

% Return YTD

Current

Week Ago

Trading Range

Average

AAP

Advance Auto Parts Inc

109.36

9.03%

55.63%

OB

OB

ABG

Asbury Automotive Group Inc

53.02

3.95%

70.43%

OB

AEO

American Eagle Outfitters

14.38

-4.33%

-30.46%

AMZN

Amazon

402.20

11.29%

56.55%

OB

OB

AN

Autonation

49.84

1.12%

28.12%

ANF

Abercrombie & Fitch Company

32.91

-4.91%

-30.53%

OS

OS

ANN

Ann Inc

36.42

3.29%

7.50%

OB

ARO

Aeropostale Inc

8.50

-7.01%

-35.26%

OS

OS

ASNA

Ascena Retail Group

20.23

-0.66%

7.04%

AWAY

Homeaway Inc.

40.07

17.69%

83.39%

OB

OB

AZO

Autozone

473.19

5.28%

32.07%

OB

OB

BBY

Best Buy Co.

39.66

-4.73%

239.85%

OS

BIG

Big Lots

31.29

-12.73%

9.48%

OS

OS

BKE

Buckle

50.96

1.63%

15.82%

BKS

Barnes & Noble

14.60

-1.77%

-3.44%

BWS

Brown Shoe Company

27.68

13.64%

48.10%

OB

CAB

Cabela's Inc

64.61

4.65%

54.72%

OB

CASY

Caseys General Stores

71.13

-3.44%

35.72%

OS

OS

CATO

Cato Corp.

30.88

-1.12%

11.48%

CHS

Chico's Fas

18.66

5.44%

0.00%

OB

OB

CONN

Conn's

75.00

17.35%

147.61%

OB

OB

COST

Costco Wholesale Corp.

118.53

-1.55%

19.14%

CVS

Cvs Corp.

70.06

8.78%

43.95%

OB

OB

DDS

Dillard's

95.58

10.36%

15.49%

OB

OB

DG

Dollar General Corp.

60.08

2.43%

37.70%

OB

OB

DKS

Dick's Sporting Goods Inc

57.11

4.90%

25.27%

OB

DLTR

Dollar Tree

55.45

-3.82%

38.52%

OS

OS

DSW

Dsw Inc.

41.88

-3.91%

29.12%

EXPE

Expedia

67.61

15.38%

13.46%

OB

EXPR

Express

18.49

-16.86%

24.68%

OS

OS

FDO

Family Dollar Stores

64.49

-5.72%

2.30%

OS

OS

FINL

The Finish Line

27.77

9.40%

46.78%

OB

FL

Footlocker Inc

41.11

12.53%

22.13%

OB

OB

FRAN

Francesca's Holdings Corporatio

17.80

-1.91%

-30.50%

OS

FRED

Fred's

17.52

5.66%

26.68%

OB

OB

GCO

Genesco Inc.

73.13

4.47%

35.98%

OB

GES

Guess

31.09

-3.06%

25.72%

GME

Gamestop Corp.

49.25

-4.55%

92.61%

OS

GNC

Gnc Holdings Inc.

57.51

-1.00%

72.08%

GPI

Group 1 Automotive

70.18

4.45%

13.34%

OB

GPS

Gap

38.57

-1.28%

22.95%

GRPN

Groupon Inc

11.68

16.36%

142.32%

OB

HIBB

Hibbett Sports

66.98

9.94%

25.31%

OB

OB

HSNI

Hsn

62.50

10.75%

13.41%

OB

OB

HTSI

Harris Teeter Supermarkets Inc.

49.31

-0.13%

29.42%

JCP

J.C. Penney Company Inc. Holding Company

8.32

0.35%

-57.53%

JOSB

Jos. A. Bank Clothiers

57.03

10.07%

33.78%

OB

OB

JWN

Nordstrom

61.19

1.06%

16.66%

KMX

Carmax Inc

48.08

-2.66%

27.23%

OB

KR

Kroger Company

39.70

-4.80%

50.95%

OS

OS

KSS

Kohl's Corp.

54.95

-0.24%

26.76%

LAD

Lithia Motors

68.71

3.52%

86.97%

LB

Limited Brands

61.04

-1.61%

29.21%

Macy's Inc

52.27

7.51%

39.35%

OB

MNRO

Monro Muffler Brake

54.05

9.83%

59.28%

OB

OB

MW

Men's Wearhouse

52.01

9.56%

70.52%

OB

OB

NFLX

Netflix

375.67

9.29%

311.29%

OB

OB

NILE

Blue Nile

47.75

10.08%

22.72%

OB

OB

ODP

Office Depot

5.35

-0.25%

54.18%

ORLY

O'Reilly Automotive

128.76

1.99%

43.08%

PAG

Penske Automotive Group

46.25

9.32%

56.30%

OB

OB

PBY

Pep Boys-Manny Moe & Jack

12.20

-6.38%

21.88%

OS

PCLN

Priceline.com Inc

1190.95

6.76%

92.44%

OB

OB

PETM

Petsmart Inc

72.55

-0.50%

4.24%

PLCE

The Children's Place Retail Stores

56.17

4.50%

23.97%

OB

PSMT

Pricesmart

115.45

1.21%

52.81%

RAD

Rite Aid Corp.

4.99

-7.23%

305.69%

OS

RCII

Rent-A-Center Inc.

33.49

-2.66%

-5.13%

OS

ROST

Ross Stores

74.02

-2.00%

37.25%

OS

SAH

Sonic Automotive

24.66

6.72%

18.90%

OB

OB

SBH

Sally Beauty Holdings

30.00

10.16%

24.02%

OB

SFLY

Shutterfly

50.24

0.81%

70.36%

SHLD

Sears Holdings Corp.

45.94

-17.75%

12.52%

OS

OS

SIG

Signet Jewelers Limited

77.44

2.05%

40.90%

OB

SPLS

Staples

15.73

0.40%

36.43%

SSI

Stage Stores

21.87

4.51%

-12.24%

OB

SUSS

Susser Holdings Corp.

66.26

11.26%

85.34%

OB

OB

SVU

Supervalu Inc.

7.02

1.39%

147.18%

SWY

Safeway Inc.

33.08

-2.47%

84.50%

TFM

The Fresh Market

40.41

-13.76%

-18.43%

OS

OS

TGT

Target Corp.

62.49

-2.69%

4.85%

OS

OS

TIF

Tiffany & Co.

90.62

9.10%

55.17%

OB

OB

TJX

Tjx Companies

62.49

2.56%

48.96%

TRIP

Tripadvisor Inc.

83.13

0.79%

98.07%

TSCO

Tractor Supply Company

74.92

4.83%

70.21%

OB

ULTA

Ulta Salon Cosmetics & Fragrance

95.19

-20.21%

-2.10%

OS

OS

URBN

Urban Outfitters

36.48

-3.14%

-7.47%

OS

VSI

Vitamin Shoppe Inc

52.34

4.77%

-8.99%

WAG

Walgreen Company

59.04

0.76%

62.60%

WFM

Whole Foods Market

59.27

-0.40%

30.01%

OS

WMT

Wal-Mart Stores

77.43

-0.71%

12.79%

XLB

Materials Sector

44.93

2.09%

21.43%

OB

XLE

Energy Sector

86.67

0.37%

20.26%

XLF

Financial Sector

21.61

2.86%

31.74%

OB

XLI

Industrial Sector

51.26

4.09%

35.14%

OB

XLK

Technology Sector

34.96

2.97%

20.76%

OB

XLP

Consumer Staples Sector

42.55

0.28%

20.98%

XLU

Utilities Sector

37.83

-1.59%

7.14%

OS

OS

XLV

Healthcare Sector

54.91

2.34%

36.56%

OB

XLY

Consumer Discretionary Sector

65.66

2.96%

38.87%

OB

ZUMZ

Zumiez Inc.

26.37

-6.09%

36.77%

OS
PATENT PENDING

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