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This question is purely out of curiosity so if you don't know off hand please don't waste your time,
but did you notice any difference in this phenomena before and after the BRK valuation change you've noted in the past around the financial crisis?

Yes and no.
There was a brief stretch during the financial crisis that it worked insanely well.
So any test really should exclude that.
I mean it worked, and I built my day-of-month model before that, but the results were so fantastic that it throws off any long-term test that includes it.
And, realistically speaking, no human would have had the nerve to follow the system through that.
You'd have gone to cash and stayed there. I would have.

Annualized rates during each state, from September 1999:
Pre-crunch returns in the three states, "bad", "blah", and "good":

During the crunch returns in the three states:

Post crunch returns in the three states:

For the purposes of the figures above, the crunch period when it worked super well was 2008-09-26
through 2009-03-20.

But, to answer your more specific question---seems to have worked fine both before and since.
The numbers are in the right order, and relatively similar.


If you don't like that discontinuity...who's to say it wouldn't have been a discontinuity the other way?....then try this:

The first thing I mentioned was the simple "avoid the bad days" approach.
One strategy that gave quite steady returns before, during, and since the crunch:
Be long most of the time.
Except during the bad-omen days, be 37% short.
There are only 4 really "bad omen" days per month.
Market close 9th-last scheduled trading day of the month through to market close on the 5th-last scheduled trading day.

The 37% was picked to minimize risk on a particular metric, based on downside deviation.
Any percent short works, including just cash, and 37% is not insanely high.
CAGR for that strategy 17.1% versus 8.67% for buy and hold.
In round numbers, improves returns over B&H by over 8%/year at less than 60% of the risk.
For example, worst rolling year -20.6% instead of -50.1%.
Standard deviation of rolling annual returns unchanged...just a higher average.
Figures don't allow for trading costs, nor short borrow fees, but also no credit for any interest at all.
Trading costs will be low since these could all be done with MOC orders which have no bid/ask spread.
And I don't imagine Berkshire is an expensive borrow.

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