mercoledì 6 luglio 2011
: The following chart shows the average month-to-date percentage change in the S&P 500 index by trading day during July from 1990 through 2010. Day 0 represents the June close. It shows that the index during July tends to be about flat, with the first half of the month stronger than the second half (...) For 1990-2010, 12 Julys have been losers and nine winners.
Un'altra ricerca di Cxoadvisory sul turn-of-the-quarter effect sembra poi suggerire come il rimbalzo delle ultime 3-4 sedute possa essere dovuto a questo fenomeno per il quale c'è una debole evidenza statistica: al termine di ogni trimestre i fondi di investimento cercano di rendere un po' più attraenti i rendimenti che verranno riportati nei prospetti informativi e così facendo muovono i mercati al rialzo.
Gli analisti di morningstar vengono in soccorso dei tori che si ostinano a fare trading sotto l'ombrellone
Convinced that we were still in a "risk-aversion" cycle at the beginning of the year--with investors likely to gradually increase their risk appetite during stable and expanding markets, only to pull back dramatically during market declines--I was surprised to see so much capital go into equities during the first few months of 2011, especially given all of the unrest in the Middle East and the slough of natural (and not so natural) disasters that impacted several major economies in the Asia-Pacific region. But during the last couple of months, things seem to have trended back toward the "risk-aversion" theme that we've observed since the market bottomed in March 2009, as concerns over the ongoing debt crisis in Europe, the struggling U.S. housing and employment markets, rising oil and gas prices, and the impending end of the Fed's second round of quantitative easing (dubbed QE2) all have weighed on the willingness to invest in equities. While the S&P 500 Index is still up marginally year to date, the benchmark index has lost more than 5% of its value since the start of May, with investors signaling their displeasure by pulling back more dramatically on their commitment to both U.S. and international stock funds.
According to data provided by Morningstar Direct, investors pulled more than $4 billion out of U.S. stock funds during the month of May; based on our own estimates, investors are on pace to pull another $6 billion out this month. This compares rather unfavorably with the more than $26 billion that was diverted into these same funds during January and February of 2011. Inflows into international stock funds are also well off the pace set during the first quarter, with less than $2 billion flowing into these funds in May and what we estimate to be a return to net outflows this month. In the meantime, inflows into taxable bond funds have picked up some steam, looking to close out the first half of 2011 at more than $100 billion. Should this trend persist through the second half, we could see a third-straight year with investor inflows into taxable bond funds in excess of $200 billion. Also of note is the fact that the mass exodus from municipal bond funds that started in November seems to be winding down, with net flows being flat in May and likely to return to positive territory in June.
Se l'effetto di luglio sui mercati mobiliari è controverso (ammesso che questo tipo di ricerche abbia un senso...) pare invece che sia accertato che in luglio negli Stati Uniti è meglio evitare di finire sotto i ferri dei chirurghi: come spiega Wikipedia il July effect
è il rischio aumentato di complicazioni post-operatorie che si verifica in questo periodo dell'anno, secondo alcuni a causa dell'immissione nelle corsie dei nuovi specializzandi ancora freschi di teoria ma digiuni di pratica....:
A Journal of General Internal Medicine study, published in 2010, investigated medical errors from 1979 to 2006 and found that medication errors increased 10% during the month of July at teaching hospitals, but not in neighboring hospitals.
La strategia market neutral del mese? Lunghi l'indice azionario e corti le assicurazioni sanitarie....