k

Period

pk

(Months)

Calendar

Based

Risk

Calendar

Effect

k

Period

pk

(Months)

Calendar

Based

Risk

Calendar

Effect

1

48.0

4-yr

Presidential

13

3.7

2

24.0

2-yr

Election

14

3.4

8-yr

Business Cycle

3

16.0

15

3.2

16-yr

Long Term

4

12.0

1-yr

Annual/Summer

16

3.0

1/4-yr

Quarter

5

9.6

17

2.8

6

8.0

8-yr

Business Cycle

18

2.7

7

6.9

19

2.5

8

6.0

1/2-yr

Sell in May

20

2.4

1-mo

Jan/Nov

9

5.3

21

2.3

10

4.8

8-yr

Business Cycle

22

2.2

8-yr

Business Cycle

11

4.4

23

2.1

12

4.0

1-mo

Jan/Nov

24

2.0

1-mo

Jan/Nov