June on Par

31May11

The end of May is nigh. This is a quick look at how the U.S. market has performed historically in June.

First the numbers…

From this 30,000 foot view, June has performed inline with the average calendar month in terms of average return, return relative to standard deviation, and % winning months.

But averages can be misleading because they say nothing about how consistent an observation has been or whether it’s waxing or waning, so below I’ve assumed a trader was only long the S&P 500 in June (red) versus the average month (grey) each year since 1930.

[logarithmically-scaled, growth of $10,000]

June strongly outperformed the average month between 1930 and 1950, but since then has failed to produce outsized returns.

The following graph makes this clearer. Below is the rolling 10-year average of the excess monthly return in June versus the average month.

Again, after performing strongly in the 1930′s and 40′s, June has not consistently outperformed or underperformed the average calendar month.

Like all seasonality plays this one has by no means been a sure thing and doesn’t by itself justify a trade, but I’m calling the calendar month bias for June as NEUTRAL.

See the monthly seasonality map for daily seasonality predictions in June.

Happy Trading,
ms

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