March Almanac: Strength Early, Weakness Late
By: Christopher Mistal & Jeffrey A. Hirsch
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February 23, 2017
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Tempestuous March markets tend to drive prices up early in the month and batter stocks at month end. Julius Caesar failed to heed the famous warning to “beware the Ides of March” but investors have been served well when they have. Stock prices have a propensity to decline, sometimes rather precipitously, during the latter days of the month.
 
March is the end of the first quarter, which brings with it Triple Witching and an abundance of portfolio maneuvers from The Street. March Triple-Witching Weeks have been quite bullish in recent years, DJIA up 9 of the last 11. But the week after is the exact opposite, DJIA down 19 of the last 29 years—and frequently down sharply for an average drop of 0.5%. Notable gains during the week after for DJIA of 4.9% in 2000, 3.1% in 2007, 6.8% in 2009, and 3.1% in 2011 are the rare exceptions to this historically poor performing timeframe. 
 
Normally a decent performing market month, post-election year payments to the Piper take a toll on March as average gains are trimmed significantly (see Vital Statistics table below). In post-election years March ranks: 5th worst for DJIA and Russell 1000; NASDAQ is 4th worst while S&P 500 and Russell 2000 are the best at 6th worst. In 11 post-election years since 1973, NASDAQ has advanced just five times, most recently in 2013 (+3.4%).
 
[Post-Election Year March Performance]
 
Saint Patrick’s Day is March’s sole recurring cultural event. S&P 500 gains on Saint Patrick’s Day have proved to be greater than the gains on the day before or the day after over the last 31 years. The fact that the holiday often lands in bullish option expiration week is the most likely reason its respectable record. 
 
Since 1986, the S&P 500 posts an average gain of 0.49% on Saint Patrick’s Day (or the next trading day when it falls on a weekend), a gain of 0.20% the day after and the day before averages a 0.27% advance.
 
After St. Patrick’s Day, bullish days virtually disappear. Only the 24th is bullish while March 21, 23 and 28 are bearish. It is this part of the month that has been prone to declines as end-of-quarter portfolio restructuring can trigger broad weakness. The frequency of important/major economic data also declines. 
 
March (1950-2016)
  DJI SP500 NASDAQ Russell 1K Russell 2K
Rank 5 4 6 4 3
# Up 44 44 29 26 28
# Down 23 23 17 12 10
Average % 1.2   1.2   0.9   1.2   1.5
4-Year Presidential Election Cycle Performance by %
Post-Election 0.4   0.6   -0.3   0.8   1.2
Mid-Term 1.3 1.3 1.7 2.0 2.8
Pre-Election 2.0 1.9 3.1 2.0 3.1
Election 1.0 1.2 -0.9 0.1 -1.1
Best & Worst March by %
Best 2000 7.8 2000 9.7 2009 10.9 2000 8.9 1979 9.7
Worst 1980 -9.0 1980 -10.2 1980 -17.1 1980 -11.5 1980 -18.5
March Weeks by %
Best 3/13/09 9.0 3/13/09 10.7 3/13/09 10.6 3/13/09 10.7 3/13/09 12.0
Worst 3/16/01 -7.7 3/6/09 -7.0 3/16/01 -7.9 3/6/09 -7.1 3/6/09 -9.8
March Days by %
Best 3/23/09 6.8 3/23/09 7.1 3/10/09 7.1 3/23/09 7.0 3/23/09 8.4
Worst 3/2/09 -4.2 3/2/09 -4.7 3/12/01 -6.3 3/2/09 -4.8 3/27/80 -6.6
First Trading Day of Expiration Week: 1990-2016
#Up-#Down   20-7   19-8   14-13   17-10   15-12
Streak   U5   D1   U4   D1   D1
Avg %   0.2   0.1   -0.2   0.06   -0.3
Options Expiration Day: 1990-2016
#Up-#Down   14-13   17-10   11-16   15-12   10-16
Streak   U2   U2   U2   U2   U2
Avg %   0.2   0.1   -0.1   0.1   -0.1
Options Expiration Week: 1990-2016
#Up-#Down   20-7   20-7   17-10   19-8   15-12
Streak   U5   U5   U5   U5   U5
Avg %   1.1   0.9   0.03   0.8   0.3
Week After Options Expiration: 1990-2016
#Up-#Down   10-17   7-20   13-14   7-20   13-14
Streak   D2   D5   D4   D5   D5
Avg %   -0.3   -0.1   0.2   -0.1   0.1
March 2017 Bullish Days: Data 1996-2016
  1, 7, 14, 15 1, 3, 7, 13, 15 1, 3, 13, 17 1, 3, 7, 13, 15 3, 7, 13, 17
  17, 27 17, 24 20, 27 17, 24 27, 31
March 2017 Bearish Days: Data 1996-2016
  21, 23, 24, 28, 31 21, 23, 28 2, 21, 28 21, 23, 28 10, 28