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!
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…