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Seasonal Strategy for QQQ?

Steve LeCompte | | Posted in: Calendar Effects

Guide Calendar Effects Months and seasons

Key Insight

Holding QQQ only in odd years (idle cash or 1-year T-notes in even years) ranked best of four strategies, including buy-and-hold and Nov–Apr seasonal (Mar 1999–Oct 2023; monthly dividend-adjusted returns; ignores frictions, taxes).

A subscriber requested a test of holding Invesco QQQ Trust (QQQ) during November through April and idle cash during May through October. Informed by the Trading Calendar, we consider four strategies:

  1. QQQ - buy and hold QQQ.
  2. QQQ Seasonal (Idle Cash) - hold QQQ during November through April and idle cash during May through October, as requested.
  3. QQQ No-even (Idle Cash) - hold QQQ during odd years and idle cash during even years (avoiding stocks during years with U.S. federal elections).
  4. QQQ No-even (1-year T-note) - hold QQQ during odd years and 1-year U.S. Treasury notes (T-note) bought at the beginning of the year during even years.

We consider average monthly return, standard deviation of monthly returns, monthly reward/risk (average return divided by standard deviation), compound annual growth rate (CAGR) and maximum drawdown (MaxDD). We ignore frictions and tax implications of trading once or twice a year. Using monthly dividend-adjusted returns for QQQ during March 1999 (inception) through October 2023, we find that:

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Calendar Effects guide

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Further Reading

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