Trading Strategies Using Seasonal

Election Implications for Stock Investing

The presidential election just ended and, regardless of how your choice fared, it’s now time to comprehend what an Obama second term indicates for the stock market. It’s always extremely difficult...

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A Market’s Trick or Treat?

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This week I learned a great lesson of life in my tennis class. I found myself pitted against a better player and we were to play just one set. After the first two games, I was getting blown out while ...

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Diversify Baby, Diversify!

Late last week, I was in Las Vegas for a quantitative investing conference and a number of things happened to me. (Nothing dreadful, I promise!) And I know the saying about Vegas, but I’d like to sh...

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Goblins, Ghouls and the Halloween Effect

Halloween is fast approaching and like everyone else, I’m thinking about my costume.  In the past I’ve worn Lucha Libre masks and cowboy outfits, but generally I like it creepy.  One of my favor...

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The Halloween Effect

September and October have historically had low stock market returns with many serious declines or crashes occurring in October. Also the months of November to February have historically had higher th...

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Just Released: The Handbook of Equity Market Anomalies

The Handbook of Equity Market Anomalies is now available! To learn more about this book, please click here....

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“Sell in May and Go Away” generates 4% return

The “Sell in May and Go Away” theory was tested on the S&P 500 within Zacks’ Research Wizard. Buy portfolios were formed at the beginning of November and held until the end of April. Sell po...

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Some Observations from Ziemba on Trading Seasonal Anomalies

The following are some conclusions from the 2011 edition of the Stock Trader’s Almanac plus comments regarding how this compares to our own research. (From ”The best of times for stocks may be ahe...

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Best Seasonal Turn of the Year Trading Strategy using Index Futures

How did the anomalies do in practice this year? Ziemba has used the turn-of-the-year in an offshore BVI based pooled hedge fund whose historical graph versus the S&P500 is in Figure 26....

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Election Cycle Index Futures Trading Strategy

Investors with or without a political agenda could have made money by going long small cap index futures and short large cap index futures during democratic administrations. The right hand panel of Ta...

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Trading Turn of the Year using Futures

Although the market has begun to anticipate this strategy it can still generate profitable returns. In Rendon and Ziemba (2007) which can be found in the bibliography we computed the cash index and Ma...

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