iQ Seasonal Hedge Model

UP 32% YEAR-TO-DATE (as of 9/30/2019)

 

SELL IN MAY and GO AWAY (aka the “Halloween Strategy”)

iQUANT.pro has observed a substantial difference in historical returns during the November through April time-frame versus the remainder of the year.  In addition, we have found that bonds have doubled the returns of stocks May through October.

See the chart below. With the exception of Consumer Staples, every S&P 500 sector has substantial outperformed during the months of November through April.

Seasonal Impact per Sector

1999-2019

About the Model

The Seasonal Hedge Model invests in Stocks during the months of November through April and intermediate-term Treasury bonds the remaining six months

Process:

  1. November through April - OWN STOCKS

    1. Select the largest 250 stocks from industries that have displayed historical out-performance during November through April time-frame.

    2. Sort by Operating Earnings and Dividend Yield and select the top 10

    3. Hold for 3 months and reconstitute in November and February.

  2. May through October - OWN BONDS

    1. Own intermediate-term United States Treasury bonds via Exchange Traded Funds (ETFs).