• The Halloween strategy suggests that investors should be fully invested in stocks from November to April and not invested in stocks from May to October.

  • Variants of this strategy and accompanying axioms have existed for more than a century.
  • There is evidence that this strategy has worked well for several years, but no one has offered a satisfactory explanation for why it works.
  • The Halloween indicator is interesting because it is not only a mystery, but also an empirical anomaly.