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


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

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

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

  4. 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.