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Strategies & Market Trends : Buying SPLITs and other Strategies -- Ignore unavailable to you. Want to Upgrade?

To: rolatzi who wrote (815)	4/3/2006 1:58:06 PM
From: Terry Whitman	Respond to of 1163

Thanks for sharing that with us, Rolatzi. Been away on vacation the past week, so I wasn't able to reply. Not sure I understand exactly what you looked at. Since it was 800 weeks, but only 160 longs, and 210 shorts, did you take the general market dir. into account? The end of the month/first of the month bullish effect has been known for decades. I first read about it in a book that was published at least 25 years ago. That data was old- it would be good to know if this effect has maintained for the past 15 years. I suspect it has. The data I saw showed that the last day of the month, and the first 2 days of the next month pretty well racked up most of the gains for the entire month period, the rest of the month adding up to neutral. Interesting that Mondays have been bullish since 1990. Since it's generally been a bull market since 1990, perhaps EVERY day of the week is bullish, no? I think it's Hirsch's 'Stock Almanac' that emphasizes a down friday followed by a down monday is bearish for the near term.. Wonder if That actually plays out?? Regards, TW

To: rolatzi who wrote (815)	4/11/2006 1:49:19 PM
From: Terry Whitman	Read Replies (1) \| Respond to of 1163

I decided to go ahead with the 'End-First' of the month study. Here's what i found out: I looked at the SPX and RUT over the past 6 years. This a good period to look at, because it's been 3 years of Bear ('00-'03), and 3 years of Bull('03-'06). Here's the strategy- BUY at the close of the 3rd to last day of the month (same as the Open of the next to last day of the month for an index). Sell at the Close of the 2nd day of the following month. These are trading days, of course, not calendar days. So, you're long for 4 days each month. Over the 6 yr. period, trading the SPX by this strategy would have returned +35.2%, non-compounded. Buy and Hold would have returned +2.4%. The RUT did better, returning 69.2%, uncompounded- but Buy and Hold did nearly as well, giving you 68.7% The real advantage to this strategy is found when you look at the Bear market portion of this period (4/00 to 4/03): The strategy on the SPX would have returned +8.4%, whereas Buy and Hold returned -40% !! Net difference of +48.4%! The RUT was similar for the bearish market period, with the 'end-first of the month' strategy yielding +21.1%, whereas Buy and Hold gave you -23.9%, for a net difference of +45% ! The conclusion- This is a conservative strategy that worked very well in bear markets, but underperformed during the bullish period. I may use this strategy for entry and exit on my retirement account, since I am limited to long index funds trading at the close.