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- Manlobbi
Halls of Shrewd'm / US Policy
No. of Recommendations: 12
Various strategies for investing around the end of the month were explored in MI-land some 20 years ago. Back at the beginning of 2022 I looked into the performance of various ETFs at the end/beginning of the month. INDL, which is a 2x-long ETF for Indian stocks, backtested well. It would seem to be a relatively low-risk way to invest in a developing market. INDL started in the spring of 2010; here are the results since then.
Entry is at the close of the fourth day before to the last day of the previous month. Exit is at the close of the second day of the current month. Thus, for July 2024 one would have bought on the close of 6/24 and sold at the close of 7/2 for a 3.6% gain. Total time in the market would be six days.
Here are the average monthly returns for each year (not compounded).
# of Ave Buy &
months Return Hold
2010 9 3.0% 9 x 3.0 = 27% 28%
2011 12 3.5 12 x 3.5 = 42% -67
2012 12 4.9 12 x 4.9 = 58% 21
2013 12 0.4 12 x 0.4 = 4% -31
2014 12 2.2 12 x 2.2 = 27% 46
2015 12 3.1 12 x 3.1 = 37% -33
2016 12 4.8 12 x 4.8 = 58% -17
2017 12 3.4 12 x 3.4 = 40% 127
2018 12 0.9 12 x 0.9 = 11% -35
2019 12 0.6 12 x 0.6 = 7% 2
2020 12 3.5 12 x 3.5 = 42% -36
2021 12 2.7 12 x 2.7 = 33% 36
2022 12 3.2 12 x 3.2 = 38% -23
2023 12 1.6 12 x 1.6 = 19% 24
2024 9 1.0 9 x 1.0 = 9% 33
DB2
No. of Recommendations: 0
Entry is at the close of the fourth day before to the last day of the previous month. Exit is at the close of the second day of the current month.
That's very interesting. Is this related to the Superior Six Days effect that was discussed in the old MI board?
The 38% return in 2023 is impressive, given the bear market we had that year in the US.
India's economy has been getting a big boost lately as an alternate to China for manufacturing things like iPhones. Makes sense to be bullish on the largest Indian companies. There's some country-specific risk, but your strategy only exposes you to INDL on 72 days during the year. Good find.
No. of Recommendations: 4
Is this related to the Superior Six Days effect that was discussed in the old MI board?Yes, very much so. Here is a performance chart for INDL by day of the month:
www.etfscreen.com/monthly-seasonal.php?s=indl
I like the idea of using a leveraged fund because it amplifies the small monthly edge. The short holding time also reduces the slippage of the daily resets.
The 38% return in 2023 is impressive, given the bear market we had that year in the US.That would have been '22, and INDL went down that year as well. Here is how that year played out...
Close of Return
12/27/21-01/04/22 1.062
01/25 - 02/02 1.048
02/22 - 03/02 0.948
03/25 - 04/04 1.100
04/25 - 05/03 0.985
05/24 - 06/02 1.069
06/24 - 07/05 0.976
07/25 - 08/02 1.112
08/25 - 09/02 0.985
09/26 - 10/04 1.040
10/25 - 11/02 1.004
11/23 - 12/02 1.049
Wins outnumbered losses, eight to four, and the average win was larger. With compounding the return for 2022 was 43%.
DB2
No. of Recommendations: 5
I have great respect for DB2 and all he has contributed. That being said, I think this post is data mining. Some country, asset class has to be the best. I think for this to be robust, we have to do it across all asset classes.
No. of Recommendations: 3
Well I looked at the data and thought it was a good idea. However, Vanguard did not think it was a good idea to trade INDL and would not let me make the trade, so perhaps I have been saved.
Aussi
No. of Recommendations: 2
Of my brokers, Merrill is the pickiest one. There are many (usually smaller) ETFs that they just flat out refuse to let you buy.
PBDC was my latest.
Hmm, they would let me buy INDL. Just a warning about leveraged ETFs.
No. of Recommendations: 2
Wild
Putnam Bdc Income ETF PBDC
The investment seeks current income. The fund invests mainly in exchange-traded business development companies (“BDCs”). BDCs are vehicles whose principal business is to invest in, lend capital to or provide services to privately-held U.S. companies or thinly traded U.S. public companies. The fund is non-diversified.
Asset Classification
Sector Equity
Investment Philosophy
Actively Managed
Style Objective
Financial
GD_
No. of Recommendations: 5
I think for this to be robust, we have to do it across all asset classes.
I'm not sure why one would expect it to work across all asset classes. Of course to answer that question, one would need to know why it works at all.
DB2
No. of Recommendations: 0
Things work by coincidence. If you bought stocks beginning with the letter X in the 1960s, XTRA, and Xerox, you would have done very well. to expect this to continue to do well, there should be more evidence for it.
You are one of the best contributors here, so you know all this stuff anyway.
