Treasuries - Bullish Seasonal   Monday, August 2, 2010
By Gibbons BurkeEditor's Note: The TLT blew past the $103 target we published on August 2nd on August 16th.
 The TLT exchange traded fund, which tracks the The Long Term U.S. Treasury Bond market, is entering a period where it often rallies, according to its history. The ETF closed on Friday at 100.48 after gaining a 'big' 1.6% on the day and closing the week with a 0.7% gain. Q: How has the TLT performed in the past after July 30th in the eight years the ETF has been in existence? A: TLT has shown a strong bullish edge that peaks 21 trading days after July 30th. Thus, the projected date for the peak of the bullish edge relative to the current event date (Friday, 30 July 2010) is Monday, 30 August 2010. TLT rallies in 88% of the cases (7 of 8) by an average of 3.1% relative to the close on the event date. The average of the 1 decline is -0.4%. The overall return of the 8 cases is 2.6%, which, based on the close of TLT on the event date (100.48), provides a target price of 103.09.
If you look farther out on the holding period curve, say, 29 days later the TLT has rallied in all cases by an average of 3.5% (see table below). Click here to see this trading idea in our SeasonalEdge analysis tool. If you'd like to see it in EventEdge, click here.
 Gibbons Burke is editor of MarketHistory.com.
| | Let variable values:
@ = GII.TLT.ARCA
theEvent = IF
Date is 7/30/_
THEN 1
ENDIF
Date Day t+5 t+15 t+21 t+29 t+43
07/30/2002 Tue 2.4 5.8 5.3 7.6 10.9
07/30/2003 Wed -0.7 -1.2 -0.4 0.5 4.8
07/30/2004 Fri 2.2 2.3 3.1 3.0 4.3
07/29/2005 Fri -1.6 0.7 1.6 1.0 -0.6
07/28/2006 Fri 0.7 1.2 2.1 1.9 4.5
07/30/2007 Mon 0.3 -0.2 1.6 4.5 2.1
07/30/2008 Wed -0.5 2.8 3.8 6.0 4.5
07/30/2009 Thu -1.9 2.9 3.8 3.4 6.1
07/30/2010 Fri NaN NaN NaN NaN NaN
Avg 0.1 1.8 2.6 3.5 4.6
AvgPos 1.4 2.6 3.1 3.5 5.3
AvgNeg -1.2 -0.7 -0.4 NaN -0.6
PctPos 50.0 75.0 87.5 100.0 87.5
PctNeg 50.0 25.0 12.5 0.0 12.5
Maximum 2.4 5.8 5.3 7.6 10.9
Minimum -1.9 -1.2 -0.4 0.5 -0.6
StdDev 1.6 2.2 1.8 2.5 3.3
ZStat 0.1 0.8 1.5 1.4 1.4
Variance 2.5 4.8 3.1 6.1 10.8
9 Occurrences | |
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