Archive for September, 2011
TAA Model for October, 2011
This is a monthly feature at the MarketSci Blog. Our Tactical Asset Allocation (TAA) model selects up to four assets from a diversified basket of asset classes on the final trading day of each month. Below is the new allocation for today’s close. Click to read more about the TAA model. I eat my own cooking, so I’ve devoted a healthy share of [...]
Filed under: Tactical Asset Allocation | 6 Comments
This is a test (inspired by Bespoke) of the market’s performance on the last day of the quarter versus other months. The question is whether the end of the quarter behaves differently as a result of the popular belief in EOQ window-dressing. Yes, I realize it would have been nice to have written this before [...]
Filed under: Time-based | 3 Comments
This is a test of Mark Hulbert’s post warning that next month - October - is the worst calendar month for gold. Let’s start with the numbers. The stats below show gold’s performance in October, versus all months, since 1976: From this 30,000 foot view, gold has indeed underperformed in October. My numbers are a bit different than Hulbert’s but I’m unclear [...]
Filed under: Time-based | 5 Comments
One last bit of October seasonality to share. As shown in my previous post, October hasn’t been a particularly strong or weak month historically, despite turning in abysmal performances in 1987 and 2008. But October has been very strong for large cap stocks relative to small caps. Like all things market-related, this observation isn’t as [...]
Filed under: Time-based | 1 Comment
This is a monthly feature at the MarketSci Blog. Below is a map of potentially strong/weak days for the US stock market in October based on historical seasonality patterns. Read more after the image. Scorecard: since launching in April 2010, the monthly seasonality map has called the closing direction of the S&P 500 correct 49% of the time with [...]
Filed under: Monthly Seasonality Map | 2 Comments
