SPY Holiday vs Non-Holiday Trading Analysis (2000-2023)

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Hello. Would you like to create a new portfolio?

I want to compare the average returns per day in from Dec 25th to Jan 2nd (the following year) vs the average returns per day for dates not in this range. I also want to compare the standard deviation of returns for this period vs dates not in this period. Finally, I want to compare the average returns per day divided by the standard deviation of returns per day. Include the number of trading days in these windows so that I can later perform a two-sample t-test. Group by the following years:

2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023

SPY Holiday and Non-Holiday Trading Analysis (2000-2023)

Year	Holiday Trading Days	Non-Holiday Trading Days	Holiday Avg Return (%)	Non-Holiday Avg Return (%)	Holiday Stddev	Non-Holiday Stddev	Holiday Return per Risk	Non-Holiday Return per Risk
2000	4	247	0.0541	-0.0269	1.3402	1.5122	0.0403	-0.0178
2001	5	243	-0.4332	-0.0326	1.1333	1.3971	-0.3822	-0.0234
2002	5	247	-0.0310	-0.0837	1.3195	1.6746	-0.0235	-0.0500
2003	5	247	0.9496	0.0869	1.3832	1.0302	0.6866	0.0843
2004	6	246	0.0055	0.0437	0.2961	0.7087	0.0186	0.0617
2005	4	248	-0.4470	0.0283	0.5162	0.6505	-0.8658	0.0436
2006	4	247	0.1552	0.0591	0.5448	0.6328	0.2848	0.0934
2007	4	247	-0.5075	0.0336	0.6301	1.0056	-0.8054	0.0334
2008	5	248	0.6417	-0.1637	1.3028	2.6197	0.4925	-0.0625
2009	5	247	0.4176	0.1006	1.5164	1.6834	0.2754	0.0598
2010	5	247	0.0226	0.0628	0.1073	1.1406	0.2107	0.0551
2011	4	248	-0.1741	0.0210	0.9927	1.4575	-0.1753	0.0144
2012	4	246	0.0161	0.0633	1.1847	0.7984	0.0136	0.0793
2013	5	247	0.7062	0.1016	1.0701	0.6860	0.6599	0.1481
2014	5	247	-0.4062	0.0619	0.6107	0.7081	-0.6652	0.0875
2015	5	247	-0.1861	0.0136	0.7943	0.9784	-0.2343	0.0139
2016	4	248	-0.2410	0.0530	0.4633	0.8271	-0.5201	0.0641
2017	4	247	-0.0604	0.0814	0.2486	0.4270	-0.2429	0.1907
2018	5	246	1.4561	-0.0427	2.0491	1.0304	0.7106	-0.0414
2019	5	247	0.0605	0.1120	0.3992	0.7945	0.1516	0.1410
2020	5	248	0.4514	0.0816	0.4782	2.1234	0.9439	0.0385
2021	5	247	0.1868	0.1020	0.7052	0.8214	0.2649	0.1241
2022	4	247	-0.0252	-0.0690	1.2930	1.5328	-0.0195	-0.0450
2023	4	246	0.0881	0.0966	0.2966	0.8297	0.2971	0.1164

Observations

Volatility and Returns: The data shows that holiday periods often have higher volatility (as seen in 2008 and 2018) but can also yield higher returns, such as in 2003 and 2018.
Risk-Adjusted Returns: The return per risk metric indicates that holiday periods sometimes offer better risk-adjusted returns, notably in 2003 and 2018.
Negative Returns: Some years, like 2001 and 2007, show negative average returns during holiday periods, highlighting potential risks.

Explanation

The query analyzes the SPY ETF's daily returns from 2000 to 2023, comparing holiday and non-holiday periods. It calculates average returns, standard deviations, and return per risk for each period, providing insights into how the market behaves during these times.

Caution

Data Accuracy: While the analysis provides valuable insights, it's essential to verify the data and consider other factors before making investment decisions.
Market Conditions: Past performance is not indicative of future results. Market conditions can change, affecting future returns.

This analysis serves as a starting point for understanding market behavior during holiday periods. Always consult with a financial advisor for personalized advice.