Monday, May 9, 2011

Secret Sauce Continues to Grip It and Rip It

The secret sauce was first revealed back in July 2008 when I had about 50 readers (and had no idea how to make charts "pretty").

What is the secret sauce? An alternative to the "sell in May, go away"; sell the S&P 500 at the end of May and then invest in the Long Government / Credit bond index (rather than sit in cash). The "strategy" (I wouldn't necessarily call it that) takes advantage of data (mining) that shows the Long G/C has outperformed the equity market for the May through October time frame. The result is better annualized performance (14.1% vs. 10.7%) with less volatility (12.1% vs. 15.8% standard deviation).

Growth of $1 (log chart shown last year here).

Rolling Ten Year Performance

Source: Barclays Capital, S&P