A collection of studies, articles, and data series I've collected over the years on stocks and options.
Monday, April 28, 2008
Interview on seasonality on Traders Talk Live
Saturday, April 12, 2008
Seasonality Continues to Work
Seasonality Continues to Work
The "sell in May" strategy has continued to hold up despite its wide publication. Even since 2000, when the overall market as measured by the S&P 500 went nowhere, $10,000 invested in the S&P 500 in November and moved to cash in May would have grown to $11,140 versus dwindling down to $9.003 for buy and hold.
Investing in the best 3-month cluster, November through January inclusive then moving to cash during the other 9 months of the year would have done even better, turning $10k into $12,618, or 40.2% better than buy and hold with only 25% of the exposure to the stock market.
2000- March, 2008:
B&H: | 11-1 | 11-4: |
9.003 | 12.618 | 11.140 |
v BH: | +40.2% | +24.0% |
| | |
| 12/99 | 03/08 |
S&P 500 | 1469 | 1322.7 |
buy and hold: | | -9.9% |
11-1: | | +26.2% |
11-4: | | 24.0% |
Looking back further:
Dec 64-Mar 2008: S&P 500 Total Returns (including dividends, investing in 90 day Treasuries for other periods):
$10,000 would have grown to $624,542 dollars with reinvested dividends from December 1964 to March 2008 using a buy and hold strategy.
If one had invested only in November through April, then parked in 90 day Treasury bills for the other 6 months, one would have had a final $806,508, 29% more, although only exposed to half the risk!
Conversely, investing in the other 6 months, May to October, then parking in 90 day Treasury bills would have led to a flat nominal return with a grand total profit of $10 over the 44 years!
BH: | 11-1 | 11-4: | 5-10 |
624.542 | 470.644 | 806.508 | 10.010 |
| |||||
| Pres Yr: | | | | |
| Post | Mid | Pre | Ele | All: |
Month: | 1 | 2 | 3 | 4 | |
1 | -0.30% | 4.24% | 0.54% | 1.37% | |
2 | -1.12% | 1.06% | 0.88% | -0.28% | 0.14% |
3 | -0.12% | 0.14% | 1.82% | 0.82% | 0.67% |
4 | 1.03% | 0.45% | 3.24% | 0.97% | 1.43% |
5 | 1.47% | -0.50% | 0.15% | 0.42% | 0.38% |
6 | -0.79% | -1.83% | 1.84% | 2.04% | 0.29% |
7 | 1.57% | 0.24% | 1.19% | 0.01% | 0.77% |
8 | -1.29% | -0.50% | 1.19% | 0.67% | 0.01% |
9 | -0.51% | -1.89% | -0.76% | 0.19% | -0.69% |
10 | 1.22% | 3.08% | -1.10% | 0.70% | 1.02% |
11 | 1.49% | 2.65% | 0.68% | 1.59% | 1.62% |
12 | 0.54% | 1.72% | 3.20% | 1.10% | 1.62% |
All: | 0.36% | 0.36% | 1.40% | 0.73% | 0.72% |
| 4.4% | 4.4% | 18.2% | 9.1% | 9.0% |
There has never been a down pre-election year; 2007 was no exception: +3.5% on the S&P 500 before dividends.
Exact Average Returns 1980-Aug 07, spx: | | ||||
| Pres Yr: | | | | |
| Post | Mid | Pre | Ele | All: |
Month: | 1 | 2 | 3 | 4 | |
1 | 2.22% | -0.45% | 3.69% | 0.97% | 1.61% |
2 | -0.61% | 0.56% | 1.26% | 0.11% | 0.33% |
3 | -0.76% | 1.68% | 2.37% | -0.79% | 0.62% |
4 | 1.60% | -0.40% | 3.63% | 0.71% | 1.39% |
5 | 2.91% | 0.81% | 1.82% | 0.06% | 1.40% |
6 | 0.31% | -1.07% | 1.81% | 1.64% | 0.67% |
7 | 2.44% | -2.01% | 0.32% | -0.20% | 0.14% |
8 | -2.24% | 0.15% | 1.29% | 1.88% | 0.27% |
9 | -1.81% | -2.77% | -0.56% | 1.15% | -1.00% |
10 | 0.76% | 5.61% | -1.87% | 1.04% | 1.39% |
11 | 3.70% | 3.01% | -0.45% | 1.96% | 2.05% |
12 | 0.98% | 0.47% | 4.79% | 0.40% | 1.66% |
All: | 0.79% | 0.47% | 1.56% | 0.74% | 0.89% |
| Oct-Apr close only: | | | | | | | |
| | | | | | | 10k: | |
date | April | Oct: | 5-10: | 11-4: | 'Win? | Nov-May: | 5-10: | 11-4: |
2000 | 1452.4 | 1429.4 | -1.6% | -12.6% | - | -11.00% | 9,841 | 8,741 |
2001 | 1249.5 | 1059.8 | -15.2% | 1.6% | + | 16.80% | 8,347 | 8,883 |
2002 | 1076.9 | 885.8 | -17.8% | 3.5% | + | 21.27% | 6,866 | 9,195 |
2003 | 916.9 | 1046.9 | 14.2% | 5.8% | - | -8.41% | 7,839 | 9,725 |
2004 | 1107.3 | 1130.2 | 2.1% | 2.4% | + | 0.29% | 8,001 | 9,954 |
2005 | 1156.9 | 1207.0 | 4.3% | 8.6% | + | 4.25% | 8,348 | 10,809 |
2006 | 1310.6 | 1377.9 | 5.1% | 7.6% | + | 2.44% | 8,777 | 11,628 |
2007 | 1482.4 | 1549.4 | 4.5% | -14.6% | - | -19.15% | 9,174 | 9,927 |
2008 | 1322.7 | | | | | | | |