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Sell In May (1)

2014/05/04

外國有"sell in may & go away"的傳統投資智慧, 我地亦有"五窮六絕七翻身"既說法. 最近銀娛, 金沙及騰訊接連被洗倉, 國壽及平保亦受到AH股的大幅溢價拖累而出現顯著回吐, 內地亦即將重啟審核IPO, 美國佬又高處不勝寒, 收水就升, 非農大幅好過預期就跌... 在種種不明朗因素的陰霾下, 五月真的要避避風頭嗎?

 

所謂"五窮", 我地先黎睇睇近十年五月份既走勢究竟有幾窮呢?

年份; 開; 最多升; 最多跌; 最終+/-
2004; 12006; +1.2%; -9.09%; +0.9%
2005; 13909; +1.47%; -2.64%; -0.46%
2006; 16743; +3.49%; -6.67%; -4.65
2007; 20527; +2.74%; -1.93%; -0.28%
2008; 25914; +1.83%; -7%; -5.9%
2009; 14957; +21.87%; -0%; +21.49
2010; 20779; +1.65%; -8.7%; -4.87
2011; 23806; +0.5%; -5.4%; -2.61%
2012; 20741; +3.1%; -10.43%; -9.89%
2013; 22581; +4.12%; -1.28%; -0.43%

 

以上資料顯示, 近十年五月份出現下跌的機會確實係佔大多數, 有八次咁多, 而且普遍跌幅比升幅都要大, 平均最多升幅為+4.2%, 而平均最多跌幅就有-5.31%

 

有一點係值得留意的, 由於2009年的五月份為一個不尋常的超大單邊升市, 單月升咗超過兩成, 所以導致以上計算所得的平均值出現了Positive Skew. 如果將2009年的統計數據抽起並再計算一次, 結果得出的平均最多升幅為+2.23%, 而平均最多跌幅為-5.9%, 可見最多升跌的幅度將更為顯著, 差距足足超過一倍, 即係話五月除咗出現跌市的機會較大之外, put的潛在回報率亦遠比call為高

 

而除咗以上簡單既數據外, 喺我做哩個report既時候更搵到個關於五月走勢既重大發現! 相信可以幫到大家更有效地部署五月既持倉的, 反應好的話我會打埋後半part~

 

哩份野我整左成兩個幾鐘的, 大家多多支持下啦! 100個like唔過份丫係咪^^

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