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
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4 comments:

  1. EconomicDisconnectMay 9, 2011 at 3:24 PM

    Is this better than the Dr. Pepper recipe or just better than the KFC spice blend?

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  2. AnonymousMay 9, 2011 at 4:15 PM

    Now that your secret sauce recipe is known, no longer can it win the prize at the Chili Cook Off.

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  3. JakeMay 9, 2011 at 10:20 PM

    GYSC- just about right in the middle of the two.

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  4. LHMay 11, 2011 at 5:27 PM

    jake, glad to see you back in the groove. i do fixed income, find myself more & more attuned to economic releases and macro policy these days, your rapid interpretations respected! welcome to SF. pleased you made it out here.

    ReplyDelete