The Secret Sauce Trade is Back

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My friend Jake at EconomPic has been keeping tabs on a trade he calls “the Secret Sauce” since July of 2008.  It’s based on a calendar swap from stocks to bonds each year and the backtest actually continues to get better with each year!

Here’s Jake:

An alternative to the “sell in May, go away” strategy, Secret Sauce is sell the S&P 500 in May and then invest in the Long Government / Credit bond index (rather than sit in cash). The “strategy” takes advantage of data mining that showed the Long Government / Credit index outperformed the equity market for the May through October time frame over the 34 years between 1974 and 2008.

Head over for the full explainer…

Source:

Baby’s Got Sauce… Checking in on the World’s Greatest Rotation Strategy (EconomPic Data)

 

 

 

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