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Quantitative Investing: Strategies to exploit stock market anomalies for all investors by Fred Piard

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Appendices

Appendix 1: Summer and Winter returns since 1950

The following table gives the Dow Jones Industrial Average return season by season from 1950 to 2011 (source of yearly seasonal returns: Market Seasonality: Capitalizing Upon Summer Decline by M. Blumer on Seeking Alpha website, source of total returns and drawdowns: my own calculation).

These statistics are from May to May. It means that the line N counts returns from May 1st of year N to Apr 30th of year N+1. It also means that compounding the returns of summer and winter on line N doesn’t give the return of year N.

Appendix 2: A New Kind of Quantitative Indicator ...

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