I don't know why people get excited about these proshares, but they only make sense if you can't trade futures. The fees and slippage and bid/ask spreads in these thinly traded things (TWM!!!) is crazy. You're throwing away money trading these. If you can, stick with the index futures. Much better liquidity.
Proshares are not a good way to short unless in a retirement account where you have no other choice. In fact, you should not short a substantial amount of equities unless you are getting paid the interest on your short, this means not in most retail accounts.
BLSH, the article states that "If you'd done the opposite, and invested every May 1 and sold every Sept. 1, you'd have $12,083.". You started with $10K. That record suggests a POSITIVE expectancy - one that you have suggested shorting. This amounts to a fool's (negative expectancy) game.
Maybe I'm missing something, but it's saying you'd have 600k if you bought in October, and sold in May. You'd have 12k if you bought in May, and sold in October. So, one would not want to hold positions from May through October. I was saying that not only would one not want hold through that period, but to actually achieve gains, since it is such a destructive period, one should consider shorting particular stocks.
Sell in may is a myth and is the last resort for shorts who have failed to cover and are looking for any last resort to break even http://en.wikipedia.org/wiki/Valence_effect Sell in may didnt work in 2000, 2005, 2003, 2004, etc Sicne 2000 it only worked in 2006
did the mkt first start trading in 2000? Wow I thought it started under a buttonwood tree? I think i'll look at the entire history of the theory and not 6 years.
You start with $10K. You end up with a tad over $12K. How is that an indication that the period is "destructive"? "Underperforming"?... yes. "Destructive"?...the numbers don't back up this characterization. I wouldn't consider basing any active trading strategy on the Sell in May "phenomenon". Those who typically buy & hold (especially mutual funds) might want to take a closer look at it.
There has been a fair bit of inflation since 1950. Some posters on ET could tell you what 10K would buy you in 1950 - I'm guessing a very large house. What can you buy today for 12K?