Ao minuto: EUA atacam Irão. MNE iraniano diz que país "reserva todas as opções" para se defender

[Pata-Hari]

Obrigado, Dorsey! está muito engraçado. O tpo de ontem tinha mesmo estatisticas mensais, era engraçado...

[dorsey]

Here we are nearly into May, which is in many ways an odd transition month with different meanings for different people. About midway up the East coast at this time of year we typically start gearing up for the pools to open in a few weeks. Further up the East Coast, however, in Vermont and Maines the evening temperatures are still dipping well into the 30s. We also have a handful of holidays to begin preparing for; Mother's Day, Memorial Day, Cinco de Mayo, and who could forget that we have 31 days of National Hamburger Month. (Must have been a slow day on Capitol Hill when that went through.) Anyway, with May comes different things for different people, but on Wall Street we're often reminded of the adage, "Sell in May and go away." We often get calls inquiring about the validity of market seasonality so below we outline some of the other things May brings.

First of all, years ago we began using the reference tool Stock Trader's Almanac, published by Yale Hirsch. For years this has been a fantastic source of information on the stock market and we always order a number of copies. We wouldn't plug it if we didn't find it very useful, and if you would like a copy you can reach them at 800-477-3400, ext 2. The background of their "Market Seasonality" theory is essentially that historically, the market performs better during the November-April time period than it does from May through October; significantly better as it turns out. According to the article, "(November- April) have been outstanding months since 1950. These six consecutive months gained 10106.89 Dow points in 52 years, while the remaining May through October months lost 360.80 points." Interestingly, the Stock Trader's Almanac switched from showing the results using the S&P 500 to using the Dow Jones Industrial Average a few years back because "tech stocks have made the sta id S&P 500 more volatile." We have continued to update the SPX study each year and wanted you to have some perspective on what seasonality has meant to either index. So the above numbers show the returns on the Dow, while the table below will focus on the SPX.


Below we have reproduced and updated the results of the S&P 500 using a 6-month switching strategy. The data begins in 1950 and now shows 53 years worth of history. To the left is the May 1 to October 31 period, while the November 1 to April 30 timeframe is shown to the right. You will note that on a compounded basis, the $10,000 investment grew to $14,803 during the May 1-October 31 period. That is a gain of about 48% for 52 years, which is an average annualized compounded rate of return of 0.75%. However, in looking at the November 1-April 30 period, that same $10,000 investment grew to $337,511 for a gain of 3,140%, or 6.9% on an annualized compounding basis.




SIX-MONTH SWITCHING STRATEGY
(re-printed and updated from the 2000 Stock Trader's Almanac, pg. 50)

S&P % Change Investing S&P % Change Investing
Year May 1 - Oct 31 $10,000 Nov 1 - Apr 30 $10,000
1950 8.1% $10,810 | 14.8% $11,480
1951 2.3 11,059 | 1.7 11,675
1952 5.1 11,623 | 0.4 11,722
1953 -0.3 11,588 | 15.2 13,504
1954 12.1 12,990 | 19.8 16,177
1955 11.5 14,484 | 14.3 18,491
1956 -5.8 13,644 | 0.4 18,565
1957 -10.2 12,252 | 5.8 19,641
1958 18.2 14,482 | 12.2 22,038
1959 -0.1 14,467 | -5.5 20,826
1960 -1.8 14,207 | 22.3 25,470
1961 5.1 14,932 | -4.9 24,222
1962 -13.4 12,931 | 23.5 29,914
1963 6.0 13,707 | 7.4 32,127
1964 6.8 14,639 | 5.0 33,734
1965 3.7 15,180 | -1.5 33,228
1966 -11.9 13,374 | 17.2 38,943
1967 -0.8 13,267 | 4.5 40,695
1968 6.1 14,076 | 0.3 40,817
1969 -6.3 13,189 | -16.1 34,246
1970 2.1 13,466 | 24.9 42,773
1971 -9.4 12,200 | 14.3 48,889
1972 3.6 12,640 | -4.1 46,885
1973 1.2 12,791 | -16.6 39,102
1974 -18.2 10,463 | 18.1 46,180
1975 2.0 10,673 | 14.2 52,737
1976 1.2 10,801 | -4.3 50,469
1977 -6.2 10,131 | 4.9 52,942
1978 -3.8 9,746 | 9.2 57,813
1979 0.1 9,756 | 4.4 60,357
1980 19.9 11,697 | 4.2 62,892
1981 -8.3 10,726 | -4.5 60,062
1982 14.8 12,314 | 23.0 73,876
1983 -0.5 12,252 | -2.1 72,325
1984 3.8 12,718 | 8.3 78,327
1985 5.6 13,430 | 24.1 97,204
1986 3.6 13,913 | 18.2 114,896
1987 -12.7 12,146 | 3.8 119,262
1988 6.8 12,972 | 11.0 132,380
1989 9.9 14,257 | -2.8 128,674
1990 -8.1 13,102 | 23.5 158,912
1991 4.6 13,705 | 5.7 167,970
1992 0.9 13,828 | 5.1 176,536
1993 6.3 14,699 | -3.6 170,181
1994 4.7 15,390 | 9.0 185,497
1995 13.0 17,391 | 12.5 208,685
1996 7.8 18,747 | 13.6 237,066
1997 14.1 21,390 | 21.6 288,272
1998 -1.2 21,138 | 21.5 350,250
1999 2.1 21,582 | 6.6 373,367
2000 -1.6 21,237 | -12.6 326,323
2001 -15.2 18,009 | 1.9 332,523
2002 -17.8 14,803 | ** 1.5 337,511

Avg. Annualized Compounded Return 0.75% | 6.99%

** Estimated based on returns from October 30th, 2002 - April 25th, 2003

There's no question that this is a great return whether you average it out, annualize it, compound it, or complicate it further; there is clearly a wide spread between an average annual return of 7% and an average return of less than 1%. And looking at the numbers a little closer we notice that from the May to October periods there are 21 out of 53 years that finished down in this study, while there were only 13 down years out of the other six months. Taking it a step further, there have been only three times when the November 1st to April 30th period has lost more than 10% (1969, 1973 and 2000) while the May to October time period there have been seven losing efforts that were costly to the tune of 10% or greater; more than twice as many.

The information above is very convincing, but it is interesting as well that there are "Market Timing" advocates out there that have shown studies that enhance the performance of the market seasonality model even further. One of these is referenced in this year's Stock Traders Almanac, and the particular approach places some "wiggle-room" into the strategy, that allows the tactical manager to perhaps exit the market a little later (than April 30th) or enter a little earlier (than November 1st) based upon the existing market environment at the time. This is exactly what we espouse, as the 53-year historical returns are spectacular using this 6-month switching strategy, most of your clients don't have 53-years to invest to try and replicate the returns. While this historical information is important to keep in mind, the bottom line is "how are the indicators stacking up?" It is uncanny how we often find the Sep-Nov time period to produce an oversold condition in the market place, whi le it has been a nearly annual event to see the market indicators produce a shift to defense within the April-June period. Case and point, take a look at the indicators on November 1st 2001 compared to where they stood by the time the seasonally strong period came to an end in April 29, 2002.

[djovarius]

Boa tarde / noite a todos,

O que posso é falar do famoso "Sell in May and go away".
Quem, desde a Segunda Guerra Mundial comprou sempre em Novembro e vendeu em Maio, sem excepções, teve uma rentabilidade (nos EUA) de mais de 2 mil por cento, ou seja, cerca de 7% ao ano.
Quem fez o inverso, comprando em Maio e vendendo em Novembro, no mesmo período, teria um ganho médio anualizado de apenas 0,4%, que nem sequer compensou pela inflação. No entanto, cuidado com as excepções à regra...

até já
dj

[Ulisses Pereira]

O Ulisses não sabe onde colocou isso!

Um abraço,
Ulisses

[Camisa Roxa]

Aqui há uns tempos ele publicou algumas estatísticas de sazonalidade retirado do Traders Almanac

[Pata-Hari]

Ontem alguém dizia na cnbc que maio é tradicionalmente um mês péssimo nas bolsas e que junho é o mês dos bottoms. Alguém tem estas estatisticas ou outras parecidas?