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Seasonality

The Ubiquitous “Sell in May”

As a site that tracks all things asset allocation, it seems like a miss not to include the most well known of asset allocation strategies: “Sell in May and go away” (aka the Halloween Indicator). This is a fitting time to add it to the lineup: The strategy is killing it this year and a […]

Filed Under: Seasonality, TAA Strategies

Predictable End-of-Month Treasury ETF Returns

The inspiration for this post comes from a new paper titled Predictable End-of-Month Treasury Returns (h/t Capital Spectator). A description from the authors: We document a distinct pattern in the timing of excess returns on coupon Treasury securities. Average returns are positive and highly significant in the last few days of the month and are […]

Filed Under: Seasonality, TAA Analysis

Alternate Trading Days: An Important Analytical Tool

Many of the tactical asset allocation strategies that we track are designed to only trade at the end of the month. When tracking these strategies for members however, we show the results of trading on other days of the month as well. We don’t do this to show off our backtesting prowess; it’s an important analytical […]

Filed Under: Alternate Trading Days, Seasonality, TAA Analysis

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New from Our Blog

  • New Feature: Optimized Model Portfolios March 24, 2021
  • Testing a Risk Premium Value Strategy March 2, 2021
  • Keller’s Resilient Asset Allocation January 19, 2021

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