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Seasonal

Day of month effect on rebalancing a portfolio

May 22, 2016 by sanz prophet 4 Comments

In this post we will: Take a look at a simple, momentum based, monthly rebalanced Equity/Bond portfolio consisting of two ETFs: SPY and TLT. Search for what has been the optimal dates in the month to rebalance such a portfolio. Each month we allocate to SPY and TLT. If SPY has outperformed  TLT we rebalance …

Read moreDay of month effect on rebalancing a portfolio

Filed Under: Seasonal, SPY Tagged With: bond, day of the month, equity, etf, investment, portfolio

Seasonals – SP500, Euro

December 22, 2012 by sanz prophet 1 Comment

Here’s the strategy: Each month we buy at the Open of the first day of the month and sell at the close of the last day of the month. Here’s the average profit loss for the S&P500 Etfs, SPY  (yahoo:SPY). Data from 1993. This chart shows that for example if we bought every December @ …

Read moreSeasonals – SP500, Euro

Filed Under: Euro, Seasonal, SPY, strategy

Best Day to buy Bovespa – Part 2

March 23, 2011 by sanz prophet Leave a Comment

If you bought Bovespa on Thursday and sold on Friday every week since 2003, you would be rich (if you compounded). We know this. If one was to follow such a strategy, in real-time, would it make money? In the following strategy an investor would buy at the Close of the “optimal” day that performed …

Read moreBest Day to buy Bovespa – Part 2

Filed Under: ETF trading, Seasonal

Bovespa- Best day to Buy Brazil

March 23, 2011 by sanz prophet Leave a Comment

Best Day to Buy Brazil Index :ThursdayWorst Day to Buy Brazil Index :Friday 1993-2011 –  Buy on Close of Day. Sell on Close next day.Commissions =Slippage=0. Buying On Thursday  Sell next Day. $1,000 growth. —————————————— Buying on Friday. Sell next Day $ 10,000  growth. ——————–Note to myself:Best EOM buy Days: Monday or Tuesday.

Filed Under: ETF trading, Seasonal

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