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.
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.
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.