Seasonality I: addendum

Further to my recent post on daily seasonality near the ‘turn of the month’, I repeated the analysis for Vanguard’s large cap value fund VIVAX, excluding dividends.

The equity curve represents holding the fund during calendar days 1,2 and 25-31.  Trades are frictionless (12 per year) but the VIVAX expense ratio of 0.24% is included.

vivax

Compound annual return is 8.8% and the equity curve shape is very similar to the previous analysis using Fama-French data, as expected.

Return on cash during the 75% of days out of the market would add several percentage points to this annual return, at least until interest rates were cut in 2008.

It may also be possible to time trades to collect dividends, adding further gains.  Current yield is 2.07%.

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4 thoughts on “Seasonality I: addendum

  1. I don’t see how dividends would add further gains…if anything, if you’re doing this in a taxable account you’d be losing money by receiving dividends.

    • VIVAX Distribution
      Date 12/23/2013 09/20/2013 06/21/2013 03/21/2013 12/21/2012

      The distributions are before the 25th and I think you have to own it a few days before therefore they would not be received. But they would be additional to the 8.8% annual gain, even when taxed at 40%.

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