# marketcorollary

> Do market signals actually predict returns? Two studies, one skeptical method.

marketcorollary is skeptical, reproducible research on whether market signals predict returns.
All figures are computed from public data (1949-01 to 2026-05 for factors) and refreshed automatically.

## Key findings

- Of 35 folk market signals tested (27 daily indicators + 8 annual rules),
  exactly ONE survives false-discovery correction: turn-of-year (Santa Claus) seasonality — and it is
  calendar-internal and untradeable.
- The Super Bowl Indicator is right 53% of the time, WORSE than the 67%
  base rate of always guessing the market rises.
- The moon, Mercury/Venus/Mars retrogrades, solar and lunar eclipses, supermoons, blue moons, great
  comets, geomagnetic storms, sunspots, Friday the 13th, Brood X cicadas, papal conclaves, the
  skyscraper curse and the groundhog are all statistically insignificant on 98-141 years of data.
- Of 12 academic equity factors, 9 clear the t>3 significance bar. Most premia shrank
  after publication. The size premium is effectively dead.
- The best risk-adjusted factor is Momentum within small caps (Sharpe 0.81).
- Market timing (200-day moving average) does not beat buy-and-hold on return; it reduces drawdowns.
- CAPE is currently 31 vs a long-run median of 20 (90th percentile).

## Pages

- [Home](https://psikle.com/): overview and Q&A
- [Factor reference](https://psikle.com/factors.html): 12 equity risk premia, scored
- [Folklore battery](https://psikle.com/folklore.html): 35 superstitions, permutation-tested
- [Coincidence Oracle](https://psikle.com/oracle.html): satirical chatbot that answers investment questions
  using only the tested-and-failed signals (real data, deliberately worthless advice — not investment advice)
- [Methodology](https://psikle.com/methodology.html): data, statistics, caveats

## Sources

- Ken French Data Library (factor returns)
- Shiller monthly S&P 500 + CAPE
- Yahoo Finance + historical archives (daily prices)

Disclaimer: research documentation, not investment advice.