Without arguing for the validity one way or the other, let me share with you a simple test of Grantham's hypothesis.

This test is based on being invested in the Dow30 from October 1st of the second year of every US President's term through April 30th of the next year. This is a period of seven months. I'm calling this PY Best Periods. I then compare this to what I call PY Worse Periods which is the remaining forty-one months. Keep in mind the ROI and CAGR values on the left side are based on holding cash (treasuries) the remaining time, while the CAGR on the right are based on just the CAGR during the holding period.

10/1/1902 to       3/7/2024   Dow                                                                 
Results           ROI         CAGR   GSD    Sharpe  DDD3    BBW   Win %  Drawdown  CAGR Invested  CAGR Cash
PY Worse Periods  5740.91%    3.41%  17.66  0.09    10.84%  0.34  69%    -84.49%   3.31%          3.99%
PY Best Periods   190794.44%  6.42%  6.24   0.51    2.82%   2.45  77%    -32.96%   20.16%         4.23%

The period is from 10/1/1902 to present. I'm able to test it from 1902 since the Dow30 has daily data back to 1885.

This next test is for GTR1's S&P 500 Dividend Adjusted which makes a big difference as you'll see. It is from 10/1/1926 to present.

10/1/1926 to       3/7/2024  ^S5T                                                                
Results           ROI        CAGR   GSD    Sharpe  DDD3    BBW   Win %  Drawdown  CAGR Invested  CAGR Cash
PY Worse Periods  66721.21%  6.90%  18.66  0.25    10.22%  0.73  85%    -80.41%   7.43%          3.78%
PY Best Periods   50420.78%  6.60%  6.31   0.47    2.98%   2.39  80%    -32.96%   22.99%         3.98%