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Market Map Model 2 With Sell In May Goes To Cash

As the Market Map model identified 2014 as having a "Neutral" risk profile, using the popular "Sell in May" strategy combined with the Market Map model (as profiled in the previous instapost seekingalpha.com/instablog/1109542-market-map/2322502-market-map-model-1-with-sell-in-may), assets would now be allocated from equities to cash.

The table below shows returns of the basic "Sell in May" strategy (allocate assets towards equities on November 1 and towards cash on May 1 of an applicable year) combined with the MM model "2" * since 1950. We will see if the algorithm calls for allocation towards long dated bonds in July.

table

BOND allocation 75% Dividends reinvest
entry date exit date % return $1 becomes
S&P500 cash equiv    
       
      $1
05/01/50 05/01/53 61.2% 2
11/01/53 05/01/56 118.2% 4
11/01/56 05/01/57 0.0% 4
11/01/57 05/01/60 50.3% 5
Bond 07/05/60 10/01/60 2.00% 5
11/01/60 05/01/61 21.7% 7
11/01/62 05/01/65 57.7% 10
11/01/65 05/02/66 1.6% 11
11/01/66 05/01/68 27.7% 13
11/01/68 05/01/69 1.1% 14
11/01/69 05/01/70 -9.3% 12
11/01/70 05/01/73 40.6% 17
11/01/73 05/01/74 -6.1% 16
11/01/74 05/01/77 52.3% 25
11/01/77 05/01/78 3.9% 26
11/01/78 05/01/81 60.4% 41
11/01/81 05/04/82 -3.2% 40
Bond 9/03/82 10/01/82 4.10% 42
11/01/82 05/01/84 21.5% 51
11/01/84 05/01/87 90.2% 96
11/01/87 05/01/90 49.7% 144
11/01/90 05/01/92 35.2% 194
Bond 7/10/92 10/01/92 2.40% 199
11/01/92 05/01/97 101.8% 402
Bond 7/11/97 10/01/97 4.90% 422
11/01/97 05/01/98 19.2% 503
Bond 7/02/98 10/01/98 7.20% 539
11/01/98 05/01/99 17.3% 632
Bond 7/02/99 10/01/99 0.80% 637
11/01/99 05/01/00 5.6% 673
Bond 7/6/00 10/01/00 2.60% 690
11/01/00 05/01/01 -13.2% 599
Bond 7/6/01 10/01/01 5.60% 633
11/01/01 05/01/02 -1.0% 626
Bond 7/5/02 10/01/02 11.20% 696
11/01/02 05/01/08 65.7% 1154
Bond 7/03/08 10/01/08 3.30% 1192
11/01/08 05/01/10 40.6% 1676
Bond 7/09/10 10/01/10 4.90% 1758
11/01/10 05/01/11 11.9% 1967
Bond 7/08/11 10/01/11 16% 2282
11/01/11 05/01/14 58.4% 3615
Bond 7/11/14 ?      
    CAGR 14.13%
       
    Max Draw D -31.4%
    2008 - 09  
Click to enlarge

Chart 1 shows the growth trajectory of the S&P500 using the MM model vs. Traditional "Sell in May" with MACD entry and exit filter **

Chart 1

(click to enlarge)Click to enlarge

Charts 2 and 3 show all return statistics when Market Map model identified years with: 1) favorable risk - 1st six months of the year, 2) neutral risk, and 3) high risk

Chart 2 (click to enlarge)Click to enlarge

Chart 3

(click to enlarge)Click to enlarge

* uses algorithm to identify long bond allocation opportunity in the 3rd quarter of years that the model allocate from equities to cash see seekingalpha.com/article/1779032-market-map-model-2-enhancing-returns-with-bonds

** forbestadvice.com/Money/Gurus/SyHarding/index.html