The Tom Brady "Greatest of All Time" Effect and Its Impact on the Super Bowl Stock Market Predictor.

Since its inception in 1967, the National Football League's (NFL's) Super Bowl has been popular, controversial, and extensively researched. One line of research has studied the surprising correlation between the league affiliation of the Super Bowl winner and stock market performance, referred to as the Super Bowl Stock Market Predictor (SBSMP). Changes in the Standard & Poor's 500 (S&P 500) Index are examined across the entire history to date, and the recent 22 seasons when Tom Brady was the predominant NFL quarterback. Holding period returns, terminal portfolio values, and risk metrics are provided. Overall, an investment policy of buying the S&P 500 in years when the National Football Conference (NFC) wins, and investing in Treasury issues in American Football Conference (AFC) years, beats a buy-and-hold strategy. Both of these strategies outperform the practice of going long in the S&P 500 in NFC years and shorting the S&P 500 in AFC years. Tom Brady appears to be a confounding factor to the overall SBSMP, reversing its polarity. Although correlated, no causation for the correlation has been found or presented here. The SBSMP should therefore be used with great caution and enjoyed as an interesting culmination to the NFL season. [ABSTRACT FROM AUTHOR]