Sell in May, and Look Managed Futures Way?

It’s hard to believe that tomorrow is the first day of May for us Chicagoans, as we’ve only experienced a glimpse of spring after a brutal, brutal winter. But the stock market doesn’t particularly care whether you’re already enjoying Spring temperatures or not – it’s May 1 for the stock market today whether you’re ready for it or not. Which means it’s high time for one of the catchiest stock market sayings out there:

“Sell in May and go away.”

Financial Blogger Zerohedge dug into this theme a little more with a recent post, highlighting the S&P 500’s average returns by month since 1950, and the data definitely supports the theme, with the May through October returns visibly less than Nov. through April.

Zero Hedge S&P Monthly Returns(Disclaimer: Past performance is not necessarily indicative of future results)
Chart Courtesy: ZeroHedge

But is it really that easy?  Just sell in May? Does it matter if stocks have been going up leading into May, what about if they’re down? What if we’re in the 2nd year of a presidential cycle?  Luckily, there’s firms like J. Lyons Fund Mgmt. working through just these sorts of thought experiments. Their most recent post  shows that this type of environment (moderate gains leading up to May) as resulted in somewhat moderate May-Oct returns, not losses – while the 2nd year of the presidential cycle shows and average May-Oct gain of 0.00%.

Sell in May J Lyons(Disclaimer: Past performance is not necessarily indicative of future results)

J Lyons Presidential Cycle(Disclaimer: Past performance is not necessarily indicative of future results)

Which leads us to our little patch of turf, managed futures. How have managed futures performed in the May-Oct period as compared to stocks, and in May-Oct periods preceded by moderate growth like this?  Glad you asked:

Managed Futures Sell in May_1(Disclaimer: Past performance is not necessarily indicative of future results)
Data Courtesy: Barclayhedge CTA Index

Looks like there is no such phenomenon as ‘Sell in May’ in Managed Futures, with the May through October period in Managed Futures actually outperforming the rest of the year (except when stocks have seen a big 20% or more rally through the preceding April). It’s good to see the average managed futures performance following a Nov. through April period seeing stock market gains of between 0% and 19% (that’s what we just came through) at +5%. We sure could use it, and this mirrors past data we’ve run showing managed futures tend to be a 2nd half performer.

And what about Presidential Cycles? Does being in the 2nd year of a cycle make any difference for managed futures performance? A fun exercise, but there’s not much correlation between managed futures returns and the Presidential Cycle from what we see, although we’re glad to see that +5% number again for the May to October performance in Yr. 2 of the presidential cycle (this year).

Managed Futres Presidential Cycle(Disclaimer: Past performance is not necessarily indicative of future results)
Data Courtesy: Barclayhedge CTA Index

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Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

See the full terms of use and risk disclaimer here.

Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

See the full terms of use and risk disclaimer here.

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