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Bonds During the Off Season?

Posted in Bonds, Calendar Effects

As implied in "Mirror Image Seasonality for Stocks and Treasuries?", are bonds better than stocks during the "Sell-in-May" months of May through October? Are behaviors of government, corporate investment grade and corporate high-yield bonds over this interval similar? To investigate, we test seasonal behaviors of:

SPDR S&P 500 (SPY)
Vanguard Intermediate-Term Treasury (VFITX)
Fidelity Investment Grade Bond (FBNDX)
Vanguard High-Yield Corporate Bond (VWEHX)

Using dividend-adjusted monthly prices for these funds during January 1993 (limited by SPY) through July 2018, we find that:

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