Sometimes I feel non-investors think Wall Street just creates a bunch of cute nicknames and phrases for trading activities and investment time periods. My research shows that the nicknames and phrases are generally based on facts. Take for example the phrase, "Sell in May and go away." After I share with you the historical performance for sectors and the S&P 500 (SPY) for the month of June over the last 25 years, I think you will see that this phrase has been well earned.
The fact is the month of June has been a very difficult month to try to make money being long the markets over the last 25 years. Taking out the high and the low returns for statistical analysis shows that only five of the 11 major sectors have posted a positive mean return for the month of June going all the way back to 1987. None of these mean returns was particularly robust and they are as follows: Health Care (.1%), Consumer Staples (.2%), Telecom (.45%), Real Estate (.57%) and Utilities (.49%). The S&P 500 had a mean return of -.02%. This was not overwhelmingly weak but it is the first month analyzed with a negative average return. Compare June to May where the S&P 500 achieved a mean return of 1.63% over the last 25 years, and you will see just how weak the market has historically been in the month of June.
June | Cons Disc | Health Care | Energy | Financials | Cons Stap | Tech | |||||||
1987 | 4.86% | 3.24% | 5.57% | 3.26% | 5.80% | -1.47% | |||||||
1988 | 8.10% | 2.94% | -0.02% | 6.25% | 4.08% | 7.61% | |||||||
1989 | -0.99% | -2.92% | 1.26% | 0.15% | 1.96% | -5.66% | |||||||
1990 | -0.91% | 3.57% | -2.85% | -1.52% | 3.57% | 1.03% | |||||||
1991 | -5.08% | -5.27% | -7.26% | -3.87% | -4.12% | -8.50% | |||||||
1992 | -3.12% | -3.74% | -5.08% | 0.37% | -1.09% | -5.48% | |||||||
1993 | -0.27% | -0.42% | 2.75% | 3.54% | -1.00% | 2.12% | |||||||
1994 | -3.36% | -5.18% | 1.47% | -0.93% | 0.77% | -5.19% | |||||||
1995 | 3.61% | 3.77% | -1.95% | 2.43% | 2.37% | 9.91% | |||||||
1996 | -0.83% | -3.22% | 0.51% | 0.05% | 0.10% | -5.98% | |||||||
1997 | 5.13% | 5.74% | -0.21% | 5.66% | 3.22% | 0.82% | |||||||
1998 | 4.80% | 1.83% | -4.79% | 2.33% | 1.87% | 7.44% | |||||||
1999 | 4.79% | 4.45% | 4.88% | 2.81% | 1.14% | 12.33% | |||||||
2000 | 0.70% | 18.59% | -3.07% | -3.78% | 0.24% | 16.18% | |||||||
2001 | -1.04% | 0.85% | -12.96% | 0.90% | -0.53% | -1.58% | |||||||
2002 | -7.58% | -8.71% | -6.25% | -4.41% | -5.49% | -13.05% | |||||||
2003 | 2.22% | 2.80% | -1.45% | 0.68% | 1.87% | 0.69% | |||||||
2004 | 0.60% | -0.14% | 7.66% | 0.74% | 2.07% | 1.90% | |||||||
2005 | 1.02% | 1.12% | 8.04% | 2.48% | -0.93% | -1.03% | |||||||
2006 | -0.37% | -0.11% | 0.81% | -0.48% | 0.60% | -1.91% | |||||||
2007 | -2.31% | -3.13% | 1.50% | -3.16% | -2.04% | 1.12% | |||||||
2008 | -12.57% | -3.02% | 3.62% | -15.06% | -8.63% | -9.60% | |||||||
2009 | -1.00% | 4.03% | -7.74% | -0.73% | 1.12% | 2.49% | |||||||
2010 | -10.52% | -3.17% | -4.58% | -5.68% | -2.83% | -5.98% | |||||||
2011 | -0.71% | -1.72% | -1.71% | -2.57% | -2.27% | -3.35% | |||||||
# Of Up Months | 10 | 12.00 | 11.00 | 14.00 | 15.00 | 12.00 | |||||||
Mean | -0.45% | 0.10% | -0.74% | -0.08% | 0.20% | -0.36% | |||||||
Standard Deviation | 3.91 | 3.36 | 4.14 | 2.89 | 2.44 | 5.74 | |||||||
June | Telecom | Nat Resources | Real Estate | Utilities | Idustrials | S&P 500 | |||||||
1987 | 4.59% | 3.91% | 2.03% | 3.16% | 1.72% | 5.05% | |||||||
1988 | 3.49% | 3.24% | 2.69% | 2.06% | 8.53% | 4.59% | |||||||
1989 | -0.08% | -0.24% | 1.66% | 2.49% | -1.65% | -0.57% | |||||||
1990 | -2.25% | -2.34% | 1.01% | 0.76% | -0.63% | -0.67% | |||||||
1991 | -4.43% | -4.81% | -2.27% | -1.26% | -2.80% | -4.58% | |||||||
1992 | -1.63% | -3.25% | -1.55% | 0.59% | -4.59% | -1.49% | |||||||
1993 | 3.26% | 1.46% | 1.99% | 3.18% | -0.49% | 0.29% | |||||||
1994 | -3.06% | -0.50% | -1.58% | -2.14% | -2.70% | -2.45% | |||||||
1995 | 5.35% | 0.08% | 2.10% | 0.43% | 4.68% | 2.32% | |||||||
1996 | -1.02% | -1.58% | 1.71% | 2.81% | -0.69% | 0.38% | |||||||
1997 | 4.72% | -0.92% | 5.58% | 3.04% | 4.42% | 4.48% | |||||||
1998 | 6.49% | -5.18% | -0.86% | 1.82% | 0.58% | 4.06% | |||||||
1999 | 5.92% | 5.04% | -1.19% | 1.41% | 3.30% | 5.55% | |||||||
2000 | 8.06% | -2.19% | 3.89% | 0.02% | -2.35% | 2.47% | |||||||
2001 | -3.79% | -10.00% | 5.33% | -6.70% | -4.29% | -2.43% | |||||||
2002 | -14.55% | -4.92% | 2.19% | -6.73% | -4.59% | -7.12% | |||||||
2003 | 3.68% | -0.75% | 2.36% | 1.10% | 2.19% | 1.28% | |||||||
2004 | 3.37% | 4.53% | 2.98% | 2.10% | 6.92% | 1.94% | |||||||
2005 | 3.29% | 6.40% | 4.68% | 4.64% | -0.93% | 0.14% | |||||||
2006 | -0.89% | 0.69% | 4.73% | 1.84% | 1.34% | 0.14% | |||||||
2007 | 0.16% | 1.05% | -8.44% | -3.40% | -1.18% | -1.66% | |||||||
2008 | -10.83% | 2.35% | -10.60% | -3.10% | -11.69% | -8.43% | |||||||
2009 | 0.32% | -4.67% | -2.51% | 3.05% | -1.39% | 0.20% | |||||||
2010 | -3.51% | -5.14% | -4.78% | -1.19% | -6.98% | -5.23% | |||||||
2011 | -2.85% | -2.75% | -2.99% | -0.75% | -0.95% | -1.67% | |||||||
# Of Up Months | 13.00 | 10.00 | 15.00 | 17.00 | 9.00 | 14.00 | |||||||
Mean | 0.45% | -0.73% | 0.57% | 0.49% | -0.48% | -0.02% | |||||||
Standard Deviation | 4.23 | 3.19 | 3.35 | 2.53 | 3.33 | 3.16 | |||||||
Hopefully something in the data this month will help you position yourself for June. Being that June has been so historically weak, it should be no surprise that three of the five sectors that have been able to achieve a positive mean return are defensive sectors (Healthcare, Consumer Staples and Utilities). We are knee-deep in an awful month of May, and it appears the same European worries are back on the table. I have not yet decided how I will weight my cyclical sectors model for the month of June. Right now I am leaning toward going long the following sector ETFs with an additional bet that the overall historical weakness will continue this June:
Select Sector SPDR Utilities ETF (XLU)
Vanguard Health Care ETF (VHT)
Select Sector SPDR Consumer Staples ETF (XLP)
Proshares Short S&P 500 (SH)
Thank you and good luck everyone!
Additional disclosure: I intend to establish a long position in SH at the end of this month.
