Annual Cycle of the S&P 500 Index: Unveiling the Stock Market's Yearly Rhythms

Presenter

Yegor Chelnokov

Campus

UMass Boston

Sponsor

Jason Roush, Honors College, UMass Boston

Schedule

Session 1, 10:30 AM - 11:15 AM [Schedule by Time][Poster Grid for Time/Location]

Location

Poster Board C17, Poster Showcase Room (163), Row 2 (C11-C20) [Poster Location Map]

Abstract

Over the many years of existence of financial markets, thousands of different approaches and perspectives have been developed for building trading models based on both fundamental and technical analysis. This research paper demonstrates a practical way of understanding the price movement of the largest U.S. index, the S&P 500, through the study of the annual cycle.

This work will be presented in two parts:

Part 1. Analysis of historical data and conducting Backtest:

In this part of the research, extensive historical data is used to conduct a Backtest which includes the analysis of the annual cycle on the S&P 500 index using three key mathematical calculation tools: Month-over-Month Average Price Change (MoMAPC), Month-over-Month Optimized Cyclicality Coefficient (MoMOCC), and Cumulative Profit (CP). Each of these tools is examined in the context of its specificity, the results of the analysis are compared, and, as a result, patterns of the S&P 500 annual cycle are identified.

Part 2. Fundamental analysis of identified patterns:

In this part of the research, a number of identified patterns of the annual cycle will be justified using four fundamental analysis tools: macroeconomic reports, monetary and fiscal policy, seasonal factors, and correlation with other financial instruments. Each of these aspects is analyzed to fully understand its impact on the S&P 500 annual cycle.

Through detailed mathematical calculations and subsequent fundamental analysis for their justification, the reader will be presented with a unique perspective on the price dynamics of the S&P 500 index. 

Keywords

Stock Market, S&P 500 Index, Cyclicality, Quantitative Calculation Methods, Fundamental Analysis

Research Area

Finance

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