Subject: Re: Presidential Cycle - an observation
Without arguing for the validity one way or the other, let me share with you a simple test of Grantham's hypothesis.
This test is based on being invested in the Dow30 from October 1st of the second year of every US President's term through April 30th of the next year. This is a period of seven months. I'm calling this PY Best Periods. I then compare this to what I call PY Worse Periods which is the remaining forty-one months. Keep in mind the ROI and CAGR values on the left side are based on holding cash (treasuries) the remaining time, while the CAGR on the right are based on just the CAGR during the holding period.
10/1/1902 to 3/7/2024 Dow
Results ROI CAGR GSD Sharpe DDD3 BBW Win % Drawdown CAGR Invested CAGR Cash
PY Worse Periods 5740.91% 3.41% 17.66 0.09 10.84% 0.34 69% -84.49% 3.31% 3.99%
PY Best Periods 190794.44% 6.42% 6.24 0.51 2.82% 2.45 77% -32.96% 20.16% 4.23%
The period is from 10/1/1902 to present. I'm able to test it from 1902 since the Dow30 has daily data back to 1885.
This next test is for GTR1's S&P 500 Dividend Adjusted which makes a big difference as you'll see. It is from 10/1/1926 to present.
10/1/1926 to 3/7/2024 ^S5T
Results ROI CAGR GSD Sharpe DDD3 BBW Win % Drawdown CAGR Invested CAGR Cash
PY Worse Periods 66721.21% 6.90% 18.66 0.25 10.22% 0.73 85% -80.41% 7.43% 3.78%
PY Best Periods 50420.78% 6.60% 6.31 0.47 2.98% 2.39 80% -32.96% 22.99% 3.98%