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RTS returns over year change: holidays in stocks or in cash?

Date: 14 Dec 2010

It was noticed that at the end of odd years RTS delivers better returns than at the end of even years. This rule would be specifically helpful if you bear in mind that Russian stock market is closed for about 10 days during New Year holidays and the question of whether to spend them in stocks or in cash is not an easy one for investors playing on Russian stock exchanges.

I decided to check this dependency on RTS index data since 1995. Here is the result of testing returns between 1 Dec and 1 Fed and between 15 Dec and 15 Feb. It looks like on average it’s true: if you spend end of odd years in stocks you should expect to get ~15% returns vs. ~5% in even years.

Will it be true for 2010? Let’s look at market close to Feb 1.

Tags: Event trading

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11 Dec 2018 21:12