What Happens Next for Stocks?

Ned Davis ran a great study that I thought I would replicate with a different dataset. They wanted to know what stocks did in Nov/Dec after the market was up as much as it was YTD in 2013 (I used 20% though I think it was up around 23%).

Since 1900, Nov/Dec returns averaged 2.7% (not bad!).  72% of Nov/Dec periods were positive.  

Since 1900, in years where the market was up over 20% YTD, Nov/Dec returns averaged 5.4%.  87% of Nov/Dec periods were positive.  

(Returns are slightly better when using real returns.)