Seasonal Trades Inwards Stocks

Readers of this weblog convey seen my discussions of diverse seasonal trades inward commodities futures (e.g. come across this article). Recently, Mark Hulbert of the NYTimes drew our attending to a seasonal merchandise inward stocks. The strategy is really simple: each month, purchase a lay out of stocks that performed the best inward the same calendar month a twelvemonth earlier, in addition to brusque the same lay out of stocks that performed poorest inward that calendar month a twelvemonth earlier. The average annual provide is to a greater extent than than 13% before transaction costs, in addition to since it is marketplace neutral, this already considerable provide tin post away survive leveraged to ii or three times higher. Also, since it turns over the stocks exclusively in i lawsuit a month, transaction costs should non survive a major problem. The strategy was developed past times Profs. Steven Heston in addition to Ronnie Sadka, in addition to details tin post away survive establish online here. Besides its simplicity, the strategy is non every bit affected past times survivorship bias inward the information laid every bit a mean-reverting strategy, since survivorship bias would tend to lower its backtest surgical physical care for past times excluding really poorly performing stocks that nosotros would short. All inward all, it seems to survive a marketplace neutral strategy made for retail trading!