There is seasonality in the financial markets and then there is seasonality in the financial markets. And then there is Hasbro (ticker HAS).
What follows is based on original work from Brooke Thackery.
Two Seasonal Trends in Hasbro
As a though experiment, let’s construct a simple 2-rule model for trading Hasbro (ticker HAS) using only a calendar.
Trend #1:
*If the current month is January through May OR October, November or December
THEN Trend #1 equals+2 otherwise Trend #1 equals 0
Trend #2:
*If today is the first or second trading day of the month OR today is one of the last 6 trading days of the month
THEN Trend #2 = +1 otherwise Trend #2 = 0
Putting these two trends together into a Model we can state that on any given trading day The Hasbro Seasonal Model can read 0, +1, +2 or+3
Does it matter? You be the judge.
Results
All results use price only data starting on 12/18/84 through 5/31/2018. No dividends, no commissions, no taxes. A summary of cumulative results appears in Figure 1.
Figure 1 – Cumulative Results for Seasonally favorable and unfavorable periods versus Buy-and-Hold (12/14/1988-5/31/2018)
Figure 2 displays the “growth” of $1,000 invested in HAS when the Model = 0.
Figure 2 – Growth of $1,000 invested in ticker HAS only when the Model above = 0 (12/14/1988-5/31/2018)
Figure 3 displays the growth of $1,000 invested in HAS when the Model> 0.
Figure 3 – Growth of $1,000 invested in ticker HAS only when the Model above > 0 (12/14/1988-5/31/2018)
Figure 4 displays year-by-year results
| Year | Model > 0 | Model = 0 | Buy/Hold |
| 1985 | 111.5 | (24.2) | 60.4 |
| 1986 | 12.5 | (0.2) | 12.2 |
| 1987 | (36.0) | 6.2 | (32.0) |
| 1988 | 47.9 | (20.3) | 17.8 |
| 1989 | 39.8 | (14.1) | 20.1 |
| 1990 | 28.5 | (35.2) | (16.7) |
| 1991 | 154.0 | 2.0 | 159.2 |
| 1992 | 27.0 | (4.8) | 20.8 |
| 1993 | 16.9 | (5.0) | 11.1 |
| 1994 | (3.4) | (16.9) | (19.7) |
| 1995 | 7.0 | (0.5) | 6.5 |
| 1996 | 45.4 | (13.8) | 25.4 |
| 1997 | 21.3 | 0.2 | 21.5 |
| 1998 | 56.8 | (26.9) | 14.7 |
| 1999 | 6.5 | (26.2) | (21.3) |
| 2000 | 27.9 | (56.1) | (43.9) |
| 2001 | 103.8 | (25.1) | 52.7 |
| 2002 | (10.7) | (20.3) | (28.8) |
| 2003 | 72.0 | 7.1 | 84.2 |
| 2004 | 2.1 | (10.8) | (8.9) |
| 2005 | 13.9 | (8.6) | 4.1 |
| 2006 | 24.7 | 8.3 | 35.0 |
| 2007 | 3.5 | (9.3) | (6.1) |
| 2008 | (0.1) | 14.1 | 14.0 |
| 2009 | (3.8) | 14.3 | 9.9 |
| 2010 | 41.6 | 3.9 | 47.2 |
| 2011 | (5.6) | (28.4) | (32.4) |
| 2012 | 3.6 | 8.7 | 12.6 |
| 2013 | 50.5 | 1.8 | 53.2 |
| 2014 | 2.1 | (2.1) | (0.0) |
| 2015 | 24.1 | (1.3) | 22.5 |
| 2016 | 27.3 | (9.3) | 15.5 |
| 2017 | 24.4 | (6.1) | 16.8 |
| 2018 | (4.6) | 0.0 | (4.6) |
Figure 4 – Year-by-Year Results
Before getting too carried away it should be noted that the Model > 0 Version of this experienced a maximum drawdown of -60% in the Crash of 1987 and has had three drawdowns (including that one in excess of -40% (for the record, buy-and-hold experienced a maximum drawdown of -75%!). Let’s face it, most traders cannot (and probably should not) ride those kind of waves.
Summary
For the record, I am not “recommending” that anybody start actively trading HAS based on the calendar. Sorry folks, “For Educational Purposes Only” here at JayOnTheMarkets.com.
That being said there are two important points to consider:
*The results – generated using nothing but a calendar – are pretty amazing (average 12 month % gain = +27%)
*The results are also extremely(!!!) volatile (standard deviation of 12 month returns = 35% with a maximum drawdown of -60% is NOT for the faint of heart.
Whether or not there is an actual trading opportunity here is a valid question and is not for me to answer.
The real point to consider is the underlying concept of seasonality and recognizing that the results detailed above (27% average 12 months) were generated using nothing more than a calendar.
Food for thought.
Jay Kaeppel
Disclaimer: The data presented herein were obtained from various third-party sources. While I believe the data to be reliable, no representation is made as to, and no responsibility, warranty or liability is accepted for the accuracy or completeness of such information. The information, opinions and ideas expressed herein are for informational and educational purposes only and do not constitute and should not be construed as investment advice, an advertisement or offering of investment advisory services, or an offer to sell or a solicitation to buy any security.
Why not come up with a decent stop on HAS to keep losses to, say, 10% or whatever one is comfortable with?
James, definitely worth a look. That being said, my guess is that a stop loss of x% will reduce overall volatility but will also reduce long-term profitability (i.e., every once in awhile a trade that would otherwise end up being a big winner will get stopped out before that can happen). Still worth a look though, Take Care, Jay