Sunday, April 29, 2007
Seasonality in the Stock Market: Part III
You should be comfortable by now with the idea that stocks appear to exhibit seasonal (and annual) patterns of performance. If both Fly and Ken Fisher believe in the power of seasonal analysis, you damn well better believe in it too. If you're not a believer, try betting against them-- see where it gets you.
As we saw earlier, the long term seasonal analysis of the broader equity markets seems to suggest that you probably shouldn't even bother to commit capital during the summer. But using seasonal analysis, we should be able to find Fly-quality stocks in any market-- even in the middle of historically lousy months such as September.
In addition to the seasonal trends of the market as a whole, individual stocks also seem to exhibit monthly patterns. For example, the price of QCOM has gone up for 16 straight years in the month of March! Other notably consistent performances include that of ITT in April, NVDA in November, and Q in December. For the upcoming month of May, both KO and MAT (which have generated positive returns for an impressive nineteen of the past twenty-one years) seem like good bets, ceteris paribus. [Note: There are lots of other great seasonality plays on my personal blog, seasonalityreport.blogspot.com. It even has a seasonal analysis report on Fly's favorite stocks. Trust me-- you needs dat.]
And in addition to Coke and Mattel, there are lots of other good seasonality plays in the S&P 500 for the quickly approaching month of May. Check it out:
[Stock]---[Yrs. Up/Yrs. Down]---[Av. Return]
But like I said, this article isn't intended to encourage the use of seasonal trends as an indiscriminate approach to trading stocks. Even Fly's approach is an eclectic one in which monthly seasonality reports are used only to supplement other trading strategies (such as ritualistic oatmeal consumption and the luck-bringing tradition of pushing old people down stairs). Nevertheless, as the cases of stocks like QCOM appear to suggest, the awareness of seasonal trends may prove to be an indispensable tool for both finding opportunities and avoiding pitfalls.
To learn more about the seasonality of a particular stock, visit AOL's finance homepage (finance.aol.com) by getting a price quote, selecting Performance, and finally clicking on Average Monthly Returns under Related Resources. Now you can quickly lookup the monthly seasonality of whatever piece-a-crap stock you want. Nice!
FIN
As we saw earlier, the long term seasonal analysis of the broader equity markets seems to suggest that you probably shouldn't even bother to commit capital during the summer. But using seasonal analysis, we should be able to find Fly-quality stocks in any market-- even in the middle of historically lousy months such as September.
In addition to the seasonal trends of the market as a whole, individual stocks also seem to exhibit monthly patterns. For example, the price of QCOM has gone up for 16 straight years in the month of March! Other notably consistent performances include that of ITT in April, NVDA in November, and Q in December. For the upcoming month of May, both KO and MAT (which have generated positive returns for an impressive nineteen of the past twenty-one years) seem like good bets, ceteris paribus. [Note: There are lots of other great seasonality plays on my personal blog, seasonalityreport.blogspot.com. It even has a seasonal analysis report on Fly's favorite stocks. Trust me-- you needs dat.]
And in addition to Coke and Mattel, there are lots of other good seasonality plays in the S&P 500 for the quickly approaching month of May. Check it out:
[Stock]---[Yrs. Up/Yrs. Down]---[Av. Return]
ADCT---15/5----7.8%So now that I've done the heavy lifting for you by finding a ton of great ideas, I would encourage you to apply your own methods of fundamental and/or technical analysis to narrow the list down to a few names you'd actually like to buy. But do your own due dilligence, chief. I could be Jefferson for all you know! Nevertheless, you guys asked for actionable ideas, and I delivered about 60 of 'em. Can't honestly complain about that, can you?
AET----11/4----4.1%
AGN----13/4----5.0%
MO-----14/3----5.2%
ASD----9/3-----4.6%
BUD----16/5----4.0%
APOL---9/3-----8.0%
ADM----15/6----5.1%
AV-----5/1-----18.6%
BAC----14/7----3.9%
BK-----17/4----6.5%
BOL----17/4----3.9%
BA-----16/5----4.6%
CHRW---7/1-----3.8%
CME----14/4----17.5%
CB-----15/6----5.3%
CSCO---13/4----7.1%
CCU----17/4----4.1%
CSC----17/4----7.3%
CAG----16/5----4.0%
CNX----6/2-----6.5%
DELL---10/5----5.4%
DDS----16/5----8.4%
EIX----17/4----3.7%
EL-----9/2-----2.3%
ESRX---10/4----7.7%
FD-----12/3----6.2%
FII----7/1-----2.7%
FE-----16/5----3.4%
GCI----16/5----2.6%
GPS----16/5----5.1%
GIS----17/4----3.9%
GPC----15/6----2.4%
HIG----8/3-----5.3%
HAS----16/5----5.5%
HNZ----15/6----3.8%
HD-----15/6----7.0%
HCBK---7/0-----6.3%
IGT----14/7----6.0%
JBL----10/4----3.1%
JPM----25/7----4.1%
KO-----19/2----5.4%
LEG----15/6----4.1%
LNC----15/6----3.5%
MAT----19/2----6.5%
MCK----8/4-----4.1%
MDT----16/5----4.5%
NCC----15/6----4.5%
NI-----19/2----3.4%
JWN----17/4----7.6%
PDCO---10/2----5.1%
JCP----17/4----6.3%
DGX----8/2-----4.8%
RDC----16/5----5.7%
SIAL---16/5----3.6%
SPG----11/2----2.5%
SLM----12/4----2.9%
STJ----7/2-----4.7%
SVU----15/6----4.0%
TJX----16/5----5.1%
TYC----12/3----5.1%
TSN----15/6----5.1%
UNH----16/5----6.9%
VNO----10/3----2.8%
WMT----16/5----3.2%
WM-----17/4----5.2%
But like I said, this article isn't intended to encourage the use of seasonal trends as an indiscriminate approach to trading stocks. Even Fly's approach is an eclectic one in which monthly seasonality reports are used only to supplement other trading strategies (such as ritualistic oatmeal consumption and the luck-bringing tradition of pushing old people down stairs). Nevertheless, as the cases of stocks like QCOM appear to suggest, the awareness of seasonal trends may prove to be an indispensable tool for both finding opportunities and avoiding pitfalls.
To learn more about the seasonality of a particular stock, visit AOL's finance homepage (finance.aol.com) by getting a price quote, selecting Performance, and finally clicking on Average Monthly Returns under Related Resources. Now you can quickly lookup the monthly seasonality of whatever piece-a-crap stock you want. Nice!
FIN
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Excellent finish! I believe you just hit the trifecta this weekend. I'll vote to to keep you around Sunday night.
I just reread the posts by Jeremy--the guy's very Fly-like. Insanely cool DD. Thanks mucho.
Excellent work!
Now we can make $$$ year round.
Thanks to Fly for allowing your DD.
Excellent work!
Now we can make $$$ year round.
Thanks to Fly for allowing your DD.
How's the QID seasonality record. Maybe a good short opportunity since there's been considerable selling presure the last two weeks?
Unfortunately, the seasonality tool (http://insider2.thomsonfn.com/insiders/seasonalityTracker.aspx?partner=Mzg0UVU5TUxURT1QJFkEQUALSTO&product=Insiders&layout=&ticker=qid) doesn't have data for the QID (which hasn't been around long enough anyway) or the Q's. It does have data for DIA & SPY, though.
If I were you, I would just run the tool on the Q's largest holdings to get an idea of individual names to short. Either that or go on yahoo and grab historical monthly prices.
Here's what I got on YHOO finance:
---------open----close
May-01---46.20---44.73
May-02---31.67---30.04
May-03---27.44---29.79
May-04---35.00---36.55
May-05---35.10---38.08
May-06---41.92---38.82
Q's look mixed in May (up 3 years, down 3 years)-- I wouldn't try to short it.
If I were you, I would just run the tool on the Q's largest holdings to get an idea of individual names to short. Either that or go on yahoo and grab historical monthly prices.
Here's what I got on YHOO finance:
---------open----close
May-01---46.20---44.73
May-02---31.67---30.04
May-03---27.44---29.79
May-04---35.00---36.55
May-05---35.10---38.08
May-06---41.92---38.82
Q's look mixed in May (up 3 years, down 3 years)-- I wouldn't try to short it.
The Fly provides all employees with a generous "severance package"
http://www.youtube.com/watch?v=QuA4axv2V60
http://www.youtube.com/watch?v=QuA4axv2V60
I like KO here. The 1Q conference call had some good points:
** 7% organic growth in trademark Coke growth (highest growth in international operations since 1998).
** "sparkling beverages have not matured, but rather still have great potential"
Looks like a strong, American multinational.
The one thing I'm a bit concerned about is that the company is still weak at home. They're arguing that their "consumer awareness campaign" (advertising) should help turn things around. I'm skeptical. But in any case, domestic market share isn't as important as it used to be.
Nevertheless, I like what I hear.
** 7% organic growth in trademark Coke growth (highest growth in international operations since 1998).
** "sparkling beverages have not matured, but rather still have great potential"
Looks like a strong, American multinational.
The one thing I'm a bit concerned about is that the company is still weak at home. They're arguing that their "consumer awareness campaign" (advertising) should help turn things around. I'm skeptical. But in any case, domestic market share isn't as important as it used to be.
Nevertheless, I like what I hear.
I don't know. Jeremy sounds like he cares about us Internet Fucktards and is searching for the truth, while The Fly is simply another term for GOD; however, even GOD needs good help trading stocks and working on the weekends. I vote for Jeremy.
http://www.virtualvender.coca-cola.com/vm/Vending.jsp
FYI
I thought the Sopranos was pretty good last weekend. Uncle June is the man.
FYI
I thought the Sopranos was pretty good last weekend. Uncle June is the man.
I say keep Jeremy on the blog just because he didn't write about MVIS and BWLD although the Grilled Chicken Buffalitos he mentioned had a great looking picture. Made me wish there was a Buffalo Wild Wings near me so that I could grap a couple.
Fucktard: I must have overlooked your earlier comment. You crack me up. I say go ahead and short QID and see what happens. Did you find out when the earnings are coming out for QID? Rumor has it that QID is consulting with Goldman Sachs for a sale of its assets. I also hear that at the next shareholders meeting for QID there will be a challenge to the CEO's pay.
I've enjoyed your posts Jeremy. Good stuff and well written.
However, I would like to point out that 10 years worth of data, 1 month per year, really only amounts to a sample size of 10. 20 years of data, taking one month of seasonality per year would make 20 data points. My point is that one really needs upwards of 50 data points and ideally 100 to approach a level of statistical significance.
To illustrate this, if one were to begin flipping a fair coin, there will be many instances of 10-20 flips where the coin lands on heads, never landing on tails. Over many, many tosses, this would be evened out so that the more tosses one completes, the closer the ratio gets to 50/50 heads and tails.
That being said, the long-term historical data going back 100 years quoted in part 1 and 2 could certainly be tested and might be expected to demonstrate statistical significance.
Of course, when I see that ABC stock has went up in May, 18 out of 20 years, it certainly gets my attention, and I will be tempted to capitalize on the phenomena. However, it is important to remember that with a small data set, just like with the coin, you may be one flip (month) away from the other side.
However, I would like to point out that 10 years worth of data, 1 month per year, really only amounts to a sample size of 10. 20 years of data, taking one month of seasonality per year would make 20 data points. My point is that one really needs upwards of 50 data points and ideally 100 to approach a level of statistical significance.
To illustrate this, if one were to begin flipping a fair coin, there will be many instances of 10-20 flips where the coin lands on heads, never landing on tails. Over many, many tosses, this would be evened out so that the more tosses one completes, the closer the ratio gets to 50/50 heads and tails.
That being said, the long-term historical data going back 100 years quoted in part 1 and 2 could certainly be tested and might be expected to demonstrate statistical significance.
Of course, when I see that ABC stock has went up in May, 18 out of 20 years, it certainly gets my attention, and I will be tempted to capitalize on the phenomena. However, it is important to remember that with a small data set, just like with the coin, you may be one flip (month) away from the other side.
Excellent point, Woodshedder.
I took a Calc-based Statistics/Probability course last semester, so I know that you're absolutely right. That's why I highlighted KO and MAT-- they have a high rate of profitability AND they have a relatively large data set.
You bring up a really good point that I should have addressed in my paper--specifically, that investors should consider the size of the data set very, very carefully. Most of the 60 or so stocks that I highlighted in the S&P 500 have been around a while, but there a few stocks in there that haven't been around too long. A good example is AV. Looking at its return, it looks like a stock you'd want to jump all over. But with its tiny 6 year history, I probably wouldn't even give it the time of day.
I took a Calc-based Statistics/Probability course last semester, so I know that you're absolutely right. That's why I highlighted KO and MAT-- they have a high rate of profitability AND they have a relatively large data set.
You bring up a really good point that I should have addressed in my paper--specifically, that investors should consider the size of the data set very, very carefully. Most of the 60 or so stocks that I highlighted in the S&P 500 have been around a while, but there a few stocks in there that haven't been around too long. A good example is AV. Looking at its return, it looks like a stock you'd want to jump all over. But with its tiny 6 year history, I probably wouldn't even give it the time of day.
Hey fucker, you didn't fire me. I won again on the last vote. To recap, I was fired (for laziness, not quality, mind you), never given an election, and then was put to a vote weeks later with 3 others, and I won that "contest."
So by saying "we alredy fired," you must have been one of the ticktards that voted for Ducati.
Jog on.
So by saying "we alredy fired," you must have been one of the ticktards that voted for Ducati.
Jog on.
I only included stocks in the S&P 500-- so that's why TIVO isn't in there. (At least I only intended to include stocks from the S&P 500-- a few intruders might have snuck in there.)
But to tell you the truth, I wasn't aware of that one. "Very nice!"
Oh yeah-- whoever is voting against me can go to hell. I suspect that it's just one person voting over and over again (yes, that's possible).
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But to tell you the truth, I wasn't aware of that one. "Very nice!"
Oh yeah-- whoever is voting against me can go to hell. I suspect that it's just one person voting over and over again (yes, that's possible).
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