ANNANDALE, Va. (MarketWatch) -- Here is today's investment pop quiz: Does the stock market perform better during Democratic or Republican presidencies?

The answers provided by almost everyone of whom I ask this question are almost unanimous: The stock market does better under Republican presidents.

They're wrong.

Consider the data compiled by Ned Davis Research, an institutional research firm. In a communication to his clients Thursday morning, Davis reported that the Dow Jones Industrial Average DJIA, -0.47% produced an annualized return of 7.21% during Democratic presidents, in contrast to an average of 3.6% during Republican presidents -- or almost precisely half as much, in other words.

Davis hastened to add that he is a political independent, and I should add that during my lifetime I have voted more often for Libertarian presidential candidates than for candidates of either of the major parties. So please don't accuse Davis of biasing his results, or my choosing to write a column on his research, for partisan political reasons.

To be sure, inflation is also higher on average during Democratic presidencies, so on an inflation-adjusted basis there is a smaller difference between the stock market's average returns during presidencies of the two parties. But the Democratic Party still comes out ahead: 2.5% annualized during Democratic presidencies, versus 1.7% during Republican presidencies.

When I mentioned Davis' results to several people on Thursday, the not-infrequent reaction was anger. This baffles me.

For example, just because the stock market has performed better during Democratic presidencies doesn't automatically mean that Democrats deserve the credit for that outperformance. The stock market is a discounting mechanism, after all, and you might be inclined to argue that some of the relatively poor performance in the latter portion of Republican presidencies has been caused by the anticipation of a Democratic victory in the subsequent election.

Some are making this argument right now, for example, claiming that the stock market's poor returns in recent weeks have been caused in no small part by Sen. Barack Obama being ahead in the polls.

By the same token, furthermore, you might be inclined to argue that some of the credit for the stock market's relatively good performance during Democratic presidencies really was caused by anticipation of a Republican victory in the subsequent elections.

You are entirely free to make such arguments, of course, and place any other interpretation you wish on the facts.

But facts remain facts even when you don't like them.