What has Worked in March?

Since February didn’t show anything interesting in the calendar analysis, I passed on writing a post about it. March, on the other hand, looks quite interesting. Let’s start with the top five performers (ordered by winning percentage):

Future Total Months Winning Months Mean Return Median Return
Russell 2000 12 83% (10) 3.00% 2.00%
Dow Jones 12 75% (9) 1.78% 0.88%
S&P 400 23 73.91% (17) 1.40% 0.98%
RBOB Gasoline 30 70.33% (22) 8.18% 4.21%
Crude Oil 31 70.97% (22) 1.31% 0.89%

The e-mini contracts are used for the stock indexes, thus, the history is relatively short. Nevertheless, the theme is clear – stocks and oils seem to consistently perform well in March. For more serious analysis, one may want to use the cash indexes. Now let’s look at the other end.

Future Total Months Winning Months Mean Return Median Return
5-Year Note 26 30.77% (8) -0.65% -0.39%
2-Year Note 24 33.33% (8) -0.14% -0.05%
10-Year Note 32 34.38% (11) 0.58% -0.66%
Gold 40 35% (14) -0.70% -0.81%
30-Year Bond 37 35.14% (13) 1.05% -1.00%

Clearly, financials are often losers in March, however, the numbers are not as clear as on the winner list. Lower volatility in financials vs stocks or energies might be a plausible explanation for the more muted numbers here.

On the other hand, bonds are often inversely correlated with stocks, thus, both the top and the bottom list seem to be outlining the same theme – short financials, long stocks. What can I say, an interesting month is ahead of us.


  1. Jim P. says:

    How has March performed when in the past, January and February were opposite of their seasonal expectation (ie Jan 2015 was down, and Feb 2015 was up). Just curious if you have any thoughts. Thanks for sharing your work. Regards, Jim P.

  2. ivannp says:

    The short answer is that I haven’t looked at such “details”. Especially for the stock futures (I am using the e-minis) this will reduce the sample size significantly.

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