Exploit Difference Between Positive and Negative Market States?

With monthly market state specified as positive (negative) when prior-month market excess return relative to U.S. Treasury bill (T-bill) yield is positive (negative), “Equity Factor Performance Following Positive and Negative Market Returns” reports that average monthly market excess return is 0.83% (10.0% annualized) positive market states and 0.05% (0.6% annualized) for negative states during August 1965 through January 2017. Is this finding reliable and easily exploitable? To check, we look at SPDR S&P 500 ETF Trust (SPY) monthly total returns after prior-month total returns are positive or negative out-of-sample with respect to the cited study. We also consider SPY excess returns according to whether its prior-month excess total returns are positive or negative. Using end-of-month SPY dividend-adjusted prices and monthly 3-month T-bill yield during January 2017 through June 2023, we find that:

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