Back on April 25th, we made a case for our “Sell in May” seasonal strategy. Based upon our proprietary entry-exit signal algorithm, the exit signals for broader market ETFs were generated in the week before that post. Since then we were on a lookout for the compendium set of trades using bond ETFs. The closing price on May 8th triggered the entry signals for some of them.
- Go long TLT- iShares 20+ Year Treasury Bond – at or near 11.60, the close on May 8th
- Enter long BLV – Vanguard Long-Term Bond Index – at or around 88.82
- Buy UBT – ProShares Ultra 20+ Year Treasury – at or near 62.06
- Go Long TMF – Direxion Daily 20+ Yr Trsy Bull 3X Shrs – at or near 58.29
Since 2002, we had 50 trades for this strategy with 76% win rate for an average gain of 9% with a holding period of 141 calendar days. The compounded return is 71% compared to a gain of 16.5% for S&P 500 for the same holding period.
There are two more potential trades for this strategy – PowerShares DB 3X Lng 25+ Yr Trsy Bd ETN (LBND) and Vanguard Total Bond Market (BND). We will send alerts when these trades are initiated.
The favorable period for this trade last till the end of third quarter. We will send alerts when our proprietary algorithm generates exit signal.
