Sat, Nov 29, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers June 2012

Peter Urbani' Statistics - Sell in May and buy a CTA.

Sell in May and buy a CTA

You will no doubt all be familiar with the old market adage - Sell in May and go away. This month, we examine this strategy and come up with a couple of suggestions of our own - specifically we suggest that one should Sell in May and Buy a CTA.

The exact origin of the phrase Sell in May and go away is unknown. However its usage has been traced back as far as the early 1930s and there is now a considerable body of research investigating the origins and efficacy of this old market aphorism.

One such study by Jacobsen and Zhang, Are Monthly Seasonals Real? A Three Century Perspective, finds that - "Over 300 years of UK stock returns reveal that well-known monthly seasonals are sample specific. For instance, the January effect only emerges around 1830, which coincides with Christmas becoming a public holiday. Most months have had their 50 years of fame, showing the importance of long time series to safeguard against sample selection bias, noise, and data snooping. Only - yet undocumented - monthly July and October effects do persist over three centuries, as does the half yearly Halloween, or Sell-in- May effect. Winter returns - November through April - are consistently higher than (negative) summer returns, indicating predictably negative risk premia. A Sell-in-May trading strategy beats the market more than 80% of the time over 5 year horizons."

Another by Haggard and Witte entitled The Halloween Effect: Trick or Treat? finds that the Halloween effect is robust to consideration of outliers and the "January effect."

Whatever the exact causes of these seasonal effects, and we suspect largely behavioural biases, the stylised effects thereof can be observed and investigated.

The chief ......................

To view our full article please login

This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.
New Managers
New Managers
New Managers

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Unlucky Paulson & Co. rebrands $1.6bn Recovery Fund after 13% drop[more]

    From Businessweek.com: A maturing U.S. economic recovery is prompting Paulson & Co. to change course. The $19 billion hedge fund firm, led by billionaire John Paulson, told investors on a conference call this month that the Paulson Recovery Fund will be renamed Paulson Special Situations Fund on Jan

  2. Opalesque Roundtable: Islamic Finance races ahead with Sukuk, the first managed account platform, and foreign demand[more]

    Komfie Manalo, Opalesque Asia: A number of developments took place within Islamic finance in the past years, including the launch of a Islamic managed account platform and the further growth of the sukuk space that saw this instrument evolve from being a type of an ABS security that was rarely

  3. Fund Profile - A complex hedge fund strategy works for United Technologies[more]

    From Institutionalinvestor.com: Reports that portable alpha is dead have been greatly exaggerated, as Mark Twain might have phrased it. Another Connecticut Yankee, giant United Technologies Corp., is gearing up to grow its successful, nearly decade-long portable-alpha program. The UTC strategy took

  4. Opalesque Exclusive: The unintended consequences of Basel III[more]

    Benedicte Gravrand, Opalesque Geneva: Bijesh Amin, co-founder and managing director of Indus Valley Partners (IVP), a technology solutions and services firm focused on the alternative asset management industry, has recently observed

  5. Legal - Six years after AIG takeover, lawsuit reveals another potential buyer[more]

    From Institutional investor.com: When former Treasury secretary Henry (Hank) Paulson Jr. testified in a suit last month about the U.S. government takeover of American International Group, his words were — mostly — numbingly familiar. Explaining the “punitive” terms set for the September 2008 bailout