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Barclays ETN+ Shiller CAPE Index ETN (AMEX:CAPE) Seasonal Chart

Seasonal Chart Analysis

Analysis of the Barclays ETN+ Shiller CAPE Index ETN (AMEX:CAPE) seasonal charts above shows that a Buy Date of April 18 and a Sell Date of August 19 has resulted in a geometric average return of 1.17% above the benchmark rate of the S&P 500 Total Return Index over the past 9 years. This seasonal timeframe has shown positive results compared to the benchmark in 9 of those periods. This is an excellent rate of success, but the return underperforms the relative buy-and-hold performance of the stock over the past 9 years by an average of 0.22% per year.

A word of caution: Only 9 years of data is available for shares of CAPE, perhaps insufficient to create a seasonal profile that accurately gauges the seasonal tendencies influencing the investment. Ideally, while 20 years is preferred, at least 10 years of data is required to perform a seasonal analysis that is considered to be reliable for future seasonal periods.

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