Combine “Sell in May” and SACEVS-SACEMS?

A subscriber asked about the performance of the 50-50  Simple Asset Class ETF Value Strategy (SACEVS) Best Value-Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 in combination with “Sell in May”. To investigate, we compare three alternatives:

1. Best Value – EW Top 2 – holds 50-50 SACEVS Best Value-SACEMS EW Top 2 during all months.
2. “Sell in May” – holds 50-50 SACEVS Best Value-SACEMS EW Top 2 during November through April and 3-month U.S. Treasury bills (T-bills) during May through October.
3. “Opposite” – holds 50-50 SACEVS Best Value-SACEMS EW Top 2 during May through October and 3-month U.S. Treasury bills (T-bills) during November through April.

Using monthly returns for SACEVS Best Value and SACEMS EW Top 2 and monthly T-bill yield during July 2006 (limited by SACEMS) through April 2023, we find that: (more…)