Comments on: Sell in May and go away: fact or fallacy? http://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/ Prieur du Plessis’s international investment blog Sun, 29 Jan 2012 22:06:48 +0000 hourly 1 http://wordpress.org/?v=3.1.1 By: Ever Phttp://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/comment-page-1/#comment-29745 Ever P Fri, 07 May 2010 04:08:06 +0000 http://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/#comment-29745 It starting to look like the statistics will prove right in 2010. Thanks for the international charts. Here I thought it was just in the US where the markets take a nice vacation during the summer months. It starting to look like the statistics will prove right in 2010. Thanks for the international charts. Here I thought it was just in the US where the markets take a nice vacation during the summer months.

]]> By: Words from the (investment) wise May 3, 2009 | The Big Picturehttp://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/comment-page-1/#comment-11651 Words from the (investment) wise May 3, 2009 | The Big Picture Sun, 03 May 2009 12:11:57 +0000 http://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/#comment-11651 [...] also see my recent posts “Video-o-rama: Investors “look past the valley“, “Sell in May and go away: Fact or fallacy?” and “Donald Coxe - Investment recommendations (April 2009)” (And also make a [...] [...] also see my recent posts “Video-o-rama: Investors “look past the valley“, “Sell in May and go away: Fact or fallacy?” and “Donald Coxe – Investment recommendations (April 2009)” (And also make a [...]

]]> By: David Blairhttp://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/comment-page-1/#comment-11424 David Blair Fri, 01 May 2009 02:12:15 +0000 http://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/#comment-11424 The market calendar is just a piece of the puzzle. As a trader I take the axioms for what they are worth axiom + axiom = axiom and if the axiom matches the charts then the higher the probability for a successful trade (short or long). The market calendar is just a piece of the puzzle. As a trader I take the axioms for what they are worth axiom + axiom = axiom and if the axiom matches the charts then the higher the probability for a successful trade (short or long).

]]> By: David Wallacehttp://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/comment-page-1/#comment-11376 David Wallace Thu, 30 Apr 2009 04:37:23 +0000 http://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/#comment-11376 A lot of studies only look at the aggregate over time as support for the trading rule. It is important to look at the equity curve as well to see if the rule has stopped working.Here is a table for the Profunds Ultra Bull fund (2x SP500): Jan 1998, Feb 2009.Period Oct-Apr May-Sep 1998 62.7% -17.3% 1999 40.9% -8.8% 2000 -19.9% -4.0% 2001 10.0% -37.2% 2002 3.9% -52.6% 2003 32.1% 17.7% 2004 16.7% 1.9% 2005 -6.9% 11.6% 2006 20.3% 3.0% 2007 -1.6% 5.6% 2008 -49.1% -23.5% 2009 -53.3% 0.0% Total 55.6% -103.6%Aggregate says be long Oct-Apr, be short May-Sep. BUT not during bear markets.Did this rule stop working in 2003?Post 2000 bear, the May-Sep short was very rich. A period similar to that one is coming up.BUT who wants to be short with all that stimulus $ hitting and with all the trillions in low-yield money market accounts waiting to come back, not me.So how do we really use this rule? A lot of studies only look at the aggregate over time as support for the trading rule. It is important to look at the equity curve as well
to see if the rule has stopped working.

Here is a table for the Profunds Ultra Bull fund (2x SP500): Jan 1998, Feb 2009.

Period Oct-Apr May-Sep
1998 62.7% -17.3%
1999 40.9% -8.8%
2000 -19.9% -4.0%
2001 10.0% -37.2%
2002 3.9% -52.6%
2003 32.1% 17.7%
2004 16.7% 1.9%
2005 -6.9% 11.6%
2006 20.3% 3.0%
2007 -1.6% 5.6%
2008 -49.1% -23.5%
2009 -53.3% 0.0%
Total 55.6% -103.6%

Aggregate says be long Oct-Apr, be short May-Sep.
BUT not during bear markets.

Did this rule stop working in 2003?

Post 2000 bear, the May-Sep short was very rich.
A period similar to that one is coming up.

BUT who wants to be short with all that stimulus $ hitting and with all the trillions in low-yield money market accounts waiting to come back, not me.

So how do we really use this rule?

]]> By: Mr. Obvioushttp://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/comment-page-1/#comment-11322 Mr. Obvious Wed, 29 Apr 2009 12:16:08 +0000 http://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/#comment-11322 I'm probably not breaking any ground here, Prieur, but Ned Davis shows the results of the results of two hypothetical investment strategies. The first is $10,000 invested just from May 1 - October 31; the second, from Nov. 1 - April 30. Starting in 1950, the first strategy produces a net gain of $4,002; the second, $372,890. I'll pay taxes on that any day.Using the same strategies but with the dates of May 1 - Sept. 30 and Oct. 1 - April 30, instead, the results are even more staggering. Strategy 1 produces a gain of $2,684; the second $594,517. I’m probably not breaking any ground here, Prieur, but Ned Davis shows the results of the results of two hypothetical investment strategies. The first is $10,000 invested just from May 1 – October 31; the second, from Nov. 1 – April 30. Starting in 1950, the first strategy produces a net gain of $4,002; the second, $372,890. I’ll pay taxes on that any day.

Using the same strategies but with the dates of May 1 – Sept. 30 and Oct. 1 – April 30, instead, the results are even more staggering. Strategy 1 produces a gain of $2,684; the second $594,517.

]]> By: Guy Lernerhttp://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/comment-page-1/#comment-11320 Guy Lerner Wed, 29 Apr 2009 11:54:02 +0000 http://www.investmentpostcards.com/2009/04/29/sell-in-may-and-go-away-fact-or-fallacy/#comment-11320 PdP:This is very well said on your part:"Some you win, some you don’t! It seems that the axiom “sell in May and go away” in itself is a rather doubtful basis for timing equity investments. However, it may serve a useful purpose as input, together with other factors, to otherwise rational decision making."Probably can throw 95% of market analysis into that statement! PdP:

This is very well said on your part:

“Some you win, some you don’t! It seems that the axiom “sell in May and go away” in itself is a rather doubtful basis for timing equity investments. However, it may serve a useful purpose as input, together with other factors, to otherwise rational decision making.”

Probably can throw 95% of market analysis into that statement!

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