Here is a very interesting study published by Blair Hull and his team. By way of background, Blair is one of the legends in the trading industry having sold his options trading firm to Goldman Sachs for over $500 million. He now runs an asset management firm with ETFs. More information about his ETFs can be found here.
One of the strategies listed in this study includes the end of the month phenomena that we, and others, have written about for years. We originally wrote about it in the early 2000s on the TradingMarkets.com website and then updated it a few years later in our book “Short Term Strategies That Work” (click here to learn more) . What Blair has done here includes additional market “anomalies” and combines them into a market timing portfolio which according to his test results triples the Sharpe Ratio vs. Buy and Hold from 2003-2017.
I hope you enjoy this new, recently published study by one of the greats in the industry.
Enjoy your trading!
Larry Connors
Connors Research LLC