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no margin for the next best three months, and going into cash during the worst three months This strategy has ended with $1,839,958 and provided a 123 percent annual return That translates into $1,467,570 more than buy-and-hold, an astounding difference Of course, this strategy was more risky than buy-and-hold because of the leverage, and it had a higher standard deviation and large yearly maximum gains and losses But, remember that risk and reward usually go hand in hand In this case, the higher risk turned into an exceptionally high reward, with a 394 percent increase in value Performance from January 1996 to March 2002 Vakkur updated his 1996 data by publishing an article in the September 2002 Active Trader magazine9 He does not provide the risk-adjusted return and 12-month maximum gain for this period, as he had in the prior article, nor does he include reinvested dividends in his calculations And he doesn t include the more aggressive strategies in his latest analysis Table 7-5 provides the data for this latest time period Again, buy-and-hold is beaten by both the November April strategy and by the September avoidance strategy In both instances the annual returns were greater than buy-and-hold, and
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TA B L E
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Vakkur s 1996 2001 Study Results January 1996 December 2001
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Strategy Used Buy-and-Hold Ignore September Nov April/T-Bills* May October
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Value of $10,000 $18,629 $19,411 $20,834 $11,984
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Average Annual Return 1093% 1169% 1300% 306%
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Standard Deviation 1903% 1487% 1260% 1036%
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Maximum Annual Loss 1490% 940% 1000% 1280%
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*Invested in T-bills for the remaining months Source: Mark Your Calendar, Mark Vakkur, MD, Active Trader, September 2002, pp 96 99 Active Trader Magazine All rights reserved
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MARKET-TIMING STRATEGIES
the standard deviations and the maximum 12-month losses were lower as well As expected, 100 percent cash fared poorly but better than investing during the weak monthly period of May to October Moreover, the opposite strategy of buying in the weak period again showed the worst results So, even during the last six years the seasonal strategies continue to work as expected This is consistent with Vakkur s prior 1996 work Additional Testing of September Avoidance Strategy FORMULA RESEARCH (August 21, 2001) also tested Vakkur s September avoidance strategy from 1950 through 200110 This strategy with an initial $10,000 stake would have returned an annualized total return of 134 percent, worth $56 million During this same period buy-and-hold would have generated a return of 125 percent and earned $39 million, while the Hirsch BSM strategy would have returned 121 percent a year, totaling $33 million Clearly, the September avoidance strategy has significantly outpaced the other two strategies And remember that in the month of September in the year s 2000, 2001, and 2002; the Nasdaq dropped 127 percent, 17 percent, and 109 percent, respectively Another three years of bad Septembers Robert W Colby also tested the September avoidance strategy using the DJIA over a 101 year period from 1900 through 2000 In addition, instead of going to all cash in September, Colby sold short on the last trading day in August and covered the short on the last trading day in September Starting with $100 in 1900 this strategy resulted in a profit of $164,048 with was 644 percent greater than buy-and-hold (ending balance of $22,055) Colby also tested a slight variation of this strategy which bought on October 27 (or the next closest trading day if on that day the market was closed), and sold on the next September 5 (or the next closest trading day if on that day the market was closed) The same short strategy was used on September 5 and covered on October 27 This slight adjustment to the original test provided a substantial increase in profits to $644,467 compared to $20,699 for buy-and-hold Thus this strategy beat buy-and-hold by 3014 percent!
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