What has Worked in June

Time to start looking at the next month. Let’s start with the top five performing futures (ordered by winning percentage):

Future Total Months Winning Months Mean Return Median Return
30-Year Bond 37 68% (25) 9.62% 1.57%
Canadian Dollar 37 68% (25) 0.07% 0.53%
10-Year Note 32 63% (20) 9.46% 1.45%
Feeder Cattle 37 62% (23) 0.83% 0.90%
Copper 26 62% (16) 0.44% 1.75%

Looks like June is usually good for US treasury instruments. The high mean return indicates some major events have happened in June, however, the median supports the thesis that, overall, June is a good month for financials. Sell in May and go away?

Future Total Months Winning Months Mean Return Median Return
Coffee 41 24% (10) -1.43% -2.42%
Dow Jones 13 31% (4) -1.70% -1.27%
Silver 42 33% (14) -1.54% -0.84%
Wheat 46 35% (16) -0.63% -0.24%
Gold 40 35% (14) -0.46% -0.31%
Corn 45 38% (17) -0.74% -0.53%

Extreme caution with coffee. I don’t trade it since it’s a big and very volatile contract. The above table pretty much suggests that in June Coffee should be traded only from the short side. June also seems to be convincingly bad for US large caps, and precious metals. Sell in May and go away? 🙂

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