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


Exact Average Returns 1945-Aug 07, spx:



Pres Yr:






Post

Mid

Pre

Ele

All:

Month:

1

2

3

4


1

0.92%

-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








No comments:

Post a Comment