Today over a coffee, me and a friend did a quick analysis on the Russell 2000. The reason was that I was holding a short, and was debating whether to close it or not. Not only the outcome of this analysis made my action clear, but it also surprised me quite a bit. Here are the monthly statistics for the month of December.

Wow, that looks damn good to me. Only 3 losing Decembers, and only one of them (2002) of more than 1% (it was down 5.7%). On top of that, December seems to be the strongest month for the Russell 2000 by far. The second best month winning-wise is March with “only” 20 positives. March is also the second strongest month mean-wise with a “meagre” mean return of 1.53%. Median-wise, the second strongest month is November with 2.76% (and 17 positives, so definitely a wild month). Isn’t that exciting?

The last punch is that the Russell 2000 is currently down 1.77% from the beginning of the month, so it’s a clear odds-on bet to me to go long. Not that I am taking the position (but I did close my short right after the futures market opened), just saying.