$IWM from Russel Re-balance Day – Sorry There is No Edge

$IWM from Russel Re-balance Day – No Edge

rebalancebelow the trading odds for $IWM for a 1/2/3/4/5/10/20 trading day holding period from the last Friday of the June ( annual Russel re-balancing date ) , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 8 53.3 0.12 0.26 1.02 -0.91 1.12 -2.26 1.51 0.40
t+2 15 9 60.0 -0.06 0.37 1.40 -2.26 0.62 -4.99 1.18 -0.11
t+3 15 10 66.7 -0.02 1.25 1.93 -3.93 0.49 -6.12 1.06 -0.03
t+4 15 8 53.3 -0.36 1.22 2.30 -3.41 0.67 -6.11 0.82 -0.44
t+5 15 7 46.7 -0.42 -0.10 3.08 -3.48 0.88 -7.14 0.68 -0.43
t+10 15 6 40.0 -0.39 -1.86 5.58 -4.37 1.28 -10.05 0.66 -0.28
t+20 15 7 46.7 -0.45 -0.64 5.17 -5.37 0.96 -12.24 0.63 -0.29
1st +’ve exit in 5 days 15 11 73.3 -0.81 0.63 0.95 -5.65 0.17 -7.14 0.46 -1.06
1st -‘ve exit in 5 days 15 9 60.0 -0.70 -0.21 -0.78 2.90 0.27 5.19 0.19 -1.30

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

conclusion : we don’t see any major edge to go long or short from the close of Russel  re-balancing day ,

below the historical returns of $IWM from the  Russel  re-balancing day ,  since Y2K

Date $IWM t+1% t+2% t+3% t+4% t+5% t+10% t+20%
27-Jun-14 116.77 0.40 1.42 1.03 1.64 -0.10 -1.86 -4.12
28-Jun-13 94.44 1.63 1.56 1.76 3.20 3.62 7.25 7.05
29-Jun-12 76.28 1.16 2.48 2.36 1.22 0.83 -0.14 -0.64
24-Jun-11 75.14 0.78 2.34 2.83 3.58 5.19 4.54 4.22
25-Jun-10 60.00 -0.57 -4.33 -5.43 -6.11 -7.14 -3.40 3.17
26-Jun-09 46.98 0.00 -0.29 1.25 -2.24 -3.10 -3.51 7.91
27-Jun-08 62.88 -0.98 -0.90 -3.71 -4.23 -5.44 -4.77 0.01
29-Jun-07 74.21 1.29 1.77 1.94 2.29 2.20 1.91 -5.96
30-Jun-06 63.49 1.25 -0.22 -0.25 -1.73 -1.71 -5.98 -2.86
24-Jun-05 54.48 0.26 1.82 2.62 2.40 2.85 7.35 7.51
25-Jun-04 50.43 -0.21 0.63 1.19 -0.65 -0.34 -3.95 -8.89
27-Jun-03 38.09 -0.31 0.37 2.88 2.00 4.12 6.99 6.30
28-Jun-02 38.26 -2.04 -4.99 -6.12 -3.01 -5.02 -10.05 -12.24
29-Jun-01 42.56 -2.26 -2.85 -4.12 -5.89 -5.00 -5.64 -5.45
30-Jun-00 42.62 1.41 0.26 1.44 2.07 2.74 5.46 -2.77

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