Did you go away in May?
If you did then you are probably kicking yourself right now. Don’t kick yourself too hard because you may
have just been a little bit early. In
last month’s historical sector analysis I pointed out why I did not think the “Go
Away In May” hypothesis would work this year.
Based on the historical data I really didn’t see why May was a month to
fear. June, on the other hand, has been one
ugly month for the markets.
After removing the high and low returns for statistical
analysis I found that the S&P 500 TR has really struggled to achieve a
positive mean return for the time periods examined. In fact, after analyzing the trailing 25, 20,
15 and 10 year time periods for the month of June, the results showed that the
S&P 500 TR has only experienced a positive mean return for one of these
periods. The struggles in June have not
been confined to large caps and the S&P 500. Almost all sectors have struggled over the
last twenty-five years. In fact, only
two sectors had a positive mean return for every time period examined. Both utilities and telecom stocks, on
average, have been top half performers for the trailing 25, 20, 15 and 10 years
during the month of June. Utilities have
even been able to achieve a positive mean return for the trailing five years, which
is impressive because no other sector was able to achieve a positive mean return
for that ugly period of time.
Consumer discretionary stocks have been the clear loser in
the month of June over the last twenty-five years. They have been the worst performer or in the
bottom quarter for every time period examined when compared to the other
sectors and the S&P 500 TR. The
trend actually seems to be getting worse, as consumer discretionary stocks have
finished as the worst performing sector over the past five and ten years during
the month of June.
As always, I will allocate the AFL Cyclical Sector Folio according
to the historical data. In a market like
this, history seems to be thrown aside, but the trends will eventually return
to normal. We are in a “Bizarro Market”. This essentially means, what’s down is up and
what’s good is bad. June may very well
be a down month, but I do not believe it will be because of the historical
data. It will probably be a result of good
economic data!
|
June
|
Con Disc
|
Health Care
|
Energy
|
Financials
|
Cons Staples
|
Technology
|
|
1988
|
8.10%
|
2.94%
|
-0.02%
|
6.25%
|
4.08%
|
7.61%
|
|
1989
|
-0.99%
|
-2.92%
|
1.26%
|
0.15%
|
1.96%
|
-5.66%
|
|
1990
|
-0.91%
|
3.57%
|
-2.85%
|
-1.52%
|
3.57%
|
1.03%
|
|
1991
|
-5.08%
|
-5.27%
|
-7.26%
|
-3.87%
|
-4.12%
|
-8.50%
|
|
1992
|
-3.12%
|
-3.74%
|
-5.08%
|
0.37%
|
-1.09%
|
-5.48%
|
|
1993
|
-0.27%
|
-0.42%
|
2.75%
|
3.54%
|
-1.00%
|
2.12%
|
|
1994
|
-3.36%
|
-5.18%
|
1.47%
|
-0.93%
|
0.77%
|
-5.19%
|
|
1995
|
3.61%
|
3.77%
|
-1.95%
|
2.43%
|
2.37%
|
9.91%
|
|
1996
|
-0.83%
|
-3.22%
|
0.51%
|
0.05%
|
0.10%
|
-5.98%
|
|
1997
|
5.13%
|
5.74%
|
-0.21%
|
5.66%
|
3.22%
|
0.82%
|
|
1998
|
4.80%
|
1.83%
|
-4.79%
|
2.33%
|
1.87%
|
7.44%
|
|
1999
|
4.79%
|
4.45%
|
4.88%
|
2.81%
|
1.14%
|
12.33%
|
|
2000
|
0.70%
|
18.59%
|
-3.07%
|
-3.78%
|
0.24%
|
16.18%
|
|
2001
|
-1.04%
|
0.85%
|
-12.96%
|
0.90%
|
-0.53%
|
-1.58%
|
|
2002
|
-7.58%
|
-8.71%
|
-6.25%
|
-4.41%
|
-5.49%
|
-13.05%
|
|
2003
|
2.22%
|
2.80%
|
-1.45%
|
0.68%
|
1.87%
|
0.69%
|
|
2004
|
0.60%
|
-0.14%
|
7.66%
|
0.74%
|
2.07%
|
1.90%
|
|
2005
|
1.02%
|
1.12%
|
8.04%
|
2.48%
|
-0.93%
|
-1.03%
|
|
2006
|
-0.37%
|
-0.11%
|
0.81%
|
-0.48%
|
0.60%
|
-1.91%
|
|
2007
|
-2.31%
|
-3.13%
|
1.50%
|
-3.16%
|
-2.04%
|
1.12%
|
|
2008
|
-12.57%
|
-3.02%
|
3.62%
|
-15.06%
|
-8.63%
|
-9.60%
|
|
2009
|
-1.00%
|
4.03%
|
-7.74%
|
-0.73%
|
1.12%
|
2.49%
|
|
2010
|
-10.52%
|
-3.17%
|
-4.58%
|
-5.68%
|
-2.83%
|
-5.98%
|
|
2011
|
-0.71%
|
-1.72%
|
-1.71%
|
-2.57%
|
-2.27%
|
-3.35%
|
|
2012
|
1.59%
|
5.76%
|
2.50%
|
4.44%
|
3.90%
|
3.14%
|
|
Trailing 25 Yr Mean
|
-0.59%
|
0.21%
|
-0.87%
|
-0.02%
|
0.20%
|
-0.16%
|
|
Standard Deviation
|
3.68
|
3.36
|
4.14
|
2.89
|
2.44
|
5.74
|
|
# of Up Years
|
10.00
|
12.00
|
11.00
|
14.00
|
15.00
|
13.00
|
|
Trailing 10 Yr Mean
|
-1.46%
|
-0.02%
|
1.04%
|
-1.09%
|
-0.30%
|
0.76%
|
|
Trailing 15 Yr Mean
|
-0.97%
|
0.73%
|
-0.66%
|
-0.84%
|
-0.40%
|
0.44%
|
|
Trailing 20 Yr Mean
|
-0.48%
|
0.57%
|
-0.34%
|
-0.07%
|
0.02%
|
0.41%
|
|
June
|
Telecom
|
Nat Resources
|
Real Estate
|
Utilities
|
Industrials
|
S&P 500 TR
|
|
1988
|
3.49%
|
3.24%
|
2.69%
|
2.06%
|
8.53%
|
4.59%
|
|
1989
|
-0.08%
|
-0.24%
|
1.66%
|
2.49%
|
-1.65%
|
-0.57%
|
|
1990
|
-2.25%
|
-2.34%
|
1.01%
|
0.76%
|
-0.63%
|
-0.67%
|
|
1991
|
-4.43%
|
-4.81%
|
-2.27%
|
-1.26%
|
-2.80%
|
-4.58%
|
|
1992
|
-1.63%
|
-3.25%
|
-1.55%
|
0.59%
|
-4.59%
|
-1.49%
|
|
1993
|
3.26%
|
1.46%
|
1.99%
|
3.18%
|
-0.49%
|
0.29%
|
|
1994
|
-3.06%
|
-0.50%
|
-1.58%
|
-2.14%
|
-2.70%
|
-2.45%
|
|
1995
|
5.35%
|
0.08%
|
2.10%
|
0.43%
|
4.68%
|
2.32%
|
|
1996
|
-1.02%
|
-1.58%
|
1.71%
|
2.81%
|
-0.69%
|
0.38%
|
|
1997
|
4.72%
|
-0.92%
|
5.58%
|
3.04%
|
4.42%
|
4.48%
|
|
1998
|
6.49%
|
-5.18%
|
-0.86%
|
1.82%
|
0.58%
|
4.06%
|
|
1999
|
5.92%
|
5.04%
|
-1.19%
|
1.41%
|
3.30%
|
5.55%
|
|
2000
|
8.06%
|
-2.19%
|
3.89%
|
0.02%
|
-2.35%
|
2.47%
|
|
2001
|
-3.79%
|
-10.00%
|
5.33%
|
-6.70%
|
-4.29%
|
-2.43%
|
|
2002
|
-14.55%
|
-4.92%
|
2.19%
|
-6.73%
|
-4.59%
|
-7.12%
|
|
2003
|
3.68%
|
-0.75%
|
2.36%
|
1.10%
|
2.19%
|
1.28%
|
|
2004
|
3.37%
|
4.53%
|
2.98%
|
2.10%
|
6.92%
|
1.94%
|
|
2005
|
3.29%
|
6.40%
|
4.68%
|
4.64%
|
-0.93%
|
0.14%
|
|
2006
|
-0.89%
|
0.69%
|
4.73%
|
1.84%
|
1.34%
|
0.14%
|
|
2007
|
0.16%
|
1.05%
|
-8.44%
|
-3.40%
|
-1.18%
|
-1.66%
|
|
2008
|
-10.83%
|
2.35%
|
-10.60%
|
-3.10%
|
-11.69%
|
-8.43%
|
|
2009
|
0.32%
|
-4.67%
|
-2.51%
|
3.05%
|
-1.39%
|
0.20%
|
|
2010
|
-3.51%
|
-5.14%
|
-4.78%
|
-1.19%
|
-6.98%
|
-5.23%
|
|
2011
|
-2.85%
|
-2.75%
|
-2.99%
|
-0.75%
|
-0.95%
|
-1.67%
|
|
2012
|
5.66%
|
3.41%
|
5.11%
|
4.22%
|
1.78%
|
4.12%
|
|
Trailing 25 Yr Mean
|
0.49%
|
-0.76%
|
0.71%
|
0.54%
|
-0.48%
|
-0.06%
|
|
Standard Deviation
|
4.19
|
3.09
|
3.40
|
2.53
|
3.26
|
3.03
|
|
# of Up Years
|
13.00
|
10.00
|
15.00
|
17.00
|
9.00
|
14.00
|
|
Trailing 10 Yr Mean
|
0.45%
|
0.48%
|
-0.50%
|
0.91%
|
-0.77%
|
-0.61%
|
|
Trailing 15 Yr Mean
|
0.54%
|
-0.66%
|
0.40%
|
0.03%
|
-1.04%
|
-0.29%
|
|
Trailing 20 Yr Mean
|
0.90%
|
-0.56%
|
0.82%
|
0.43%
|
-0.46%
|
0.07%
|
|
25 Year
|
20 Year
|
15 Year
|
10 Year
|
5 Year
|
|
|
1
|
Real Estate
|
Telecom
|
Health Care
|
Energy
|
Utilities
|
|
2
|
Utilities
|
Real Estate
|
Telecom
|
Utilities
|
Health Care
|
|
3
|
Telecom
|
Health Care
|
Technology
|
Technology
|
Energy
|
|
4
|
Health Care
|
Utilities
|
Real Estate
|
Nat Resources
|
Cons Staples
|
|
5
|
Cons Staples
|
Technology
|
Utilities
|
Telecom
|
Nat Resources
|
|
6
|
Financials
|
S&P
500 TR
|
S&P 500 TR
|
Health Care
|
Telecom
|
|
7
|
S&P 500 TR
|
Cons
Staples
|
Cons Staples
|
Cons Staples
|
S&P 500 TR
|
|
8
|
Technology
|
Financials
|
Energy
|
Real Estate
|
Technology
|
|
9
|
Industrials
|
Energy
|
Natural Resources
|
S&P 500 TR
|
Financials
|
|
10
|
Cons Disc
|
Industrials
|
Financials
|
Industrials
|
Industrials
|
|
11
|
Natural Resources
|
Cons Disc
|
Cons Disc
|
Financials
|
Real Estate
|
|
12
|
Energy
|
Natural Resources
|
Industrials
|
Cons Disc
|
Cons Disc
|
Jon R. Orcutt is the founder of Allocation For Life, Author of The Allocation For Life Investment Newsletter, Author of "Master The Markets With Mutual Funds: A Common Sense Guide To Investing Success" and manager/creator of the AFL Models available to Allocation For Life subscribers at Folio Investing.
