2004, 05, 06连续三年, 每年都是四五月份全球股市出问题. 当然每次的起因不一样, 04年是受china, india经济放缓的利空消息影响带动整个consumer sector, commodity, transportation等等; 05年是GM downgraded to junk引起的ripple wave; 06年是Emerging markets全面correction, intra-month跌过25%...

Street is used to saying: "Sell in May, buy back in October."

Consider the record, which is pretty stunning. If you'd put $10,000 into the S&P 500 with a strict sell-in-May, buy-in-October strategy on May 1, 1950, you'd have ended 2006 with more than $600,000, according to calculations from Ned Davis Research. If you'd done the opposite, and invested every May 1 and sold every Sept. 1, you'd have $12,083. If you'd just let it ride in a buy-and-hold strategy, you'd have $129,515, according to S&P.

show your guts, point fingers to all quants, economists, traders, and claim historical track records are just "pure crap" see if anybody give you a sh!t

I think you are right except for that return looks like ex-dividend. 

That means market timing is not significant in the long run.  But short term you want to filter out the bad downturns. 

[此贴子已经被作者于2007-5-11 12:25:46编辑过]

The end reason to explain why market is so efficient is not about whether majority of investors' capital is smart or not smart; it's all about leverage.  The end reason why LTCM blew up, is also about leverage.  Think about 125x levered vs just 2x levered book of russian bonds; when they defaulted, there's no way out. 

Now, how come today's market is so highly levered?  Leverage benefits from cheap credit.  The ultimate culprit is yen carry trade and china.  As long as asian keep buying US treasuries long term yields are low enough to keep stock market afloat. The real interest rate should have been much higher, so yen carry trade will not unwind easily and thus enables investors chase higher yields globally.  Although in gold terms S&P is way lower than 6 years ago, P/E is just 16 compared with 26 in 6/01. Makes a better case, huh?  The real reason investors are worried about the valuation is earnings growth.  You think those asset-backed MEWs had nothing to do with corporate earnings?

"the return for the summer season is still on the positive side. It's not negative."  The thing is opportunity cost is high when you realize historical return in summer is lower than other seasons combined. Tbill with higher return in the same period is simply a better investment, and it's never negative, which differentiates it with market risk. That justifies why you want to hold cash.  Very simple.