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Combine “Sell in May” and SACEVS-SACEMS?

Steve LeCompte | | Posted in: Calendar Effects, Strategic Allocation

A subscriber asked about the performance of the 50-50  Simple Asset Class ETF Value Strategy (SACEVS) Best Value-Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 in combination with "Sell in May". To investigate, we compare three alternatives:

  1. Best Value - EW Top 2 - holds 50-50 SACEVS Best Value-SACEMS EW Top 2 during all months.
  2. "Sell in May" - holds 50-50 SACEVS Best Value-SACEMS EW Top 2 during November through April and 3-month U.S. Treasury bills (T-bills) during May through October.
  3. "Opposite" - holds 50-50 SACEVS Best Value-SACEMS EW Top 2 during May through October and 3-month U.S. Treasury bills (T-bills) during November through April.

Using monthly returns for SACEVS Best Value and SACEMS EW Top 2 and monthly T-bill yield during July 2006 (limited by SACEMS) through April 2023, we find that:

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