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 | | | | | | | |
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