I was looking around the Lehman Bros U.S. Aggregate Index overview sheet this morning (taken from http://www.lehman.com/fi/indices/pdf/US_Aggregate_Index.pdf) and noticed this line Rebalancing portion of the overview:
Reinvestment of Cash flows: Interest and principal payments earned by the returns universe are held in the index without a reinvestment return until month-end when it is removed from the index.
I read this to mean that any interest and principle payments from the bonds are held until the end of the month. Then the price is readjusted accordingly based on the amount of cash that was generated.
From that, I did some analysis between the last and first days of trading in the F-fund. I ended up with a spread of returns ranging from -6 to +5 cents. Not to promising.
I then considered the activity of the F-fund during that month to see if there was a correlation between first of month returns or not. This is what I got:
View attachment 1473
Its a plot of the change between the last and first days of trading on the y-axis and the percent return for the previous month on the y-axis. See anything interesting? Look again:
View attachment 1474
If the return for the month is greater than 1.011%, there are 2 negative days on the first trading day of the month.
Of course, that doesnt guarantee a return either because 3 of those days with previous month returns >1.011% gained 0 cents. But there are roughly twice as many returns that gained a penny than 0.
Is there anything here worth pursuing? Im thinking this may help increase the returns for those interested in penny chasing.
Thoughts? Comments?
Reinvestment of Cash flows: Interest and principal payments earned by the returns universe are held in the index without a reinvestment return until month-end when it is removed from the index.
I read this to mean that any interest and principle payments from the bonds are held until the end of the month. Then the price is readjusted accordingly based on the amount of cash that was generated.
From that, I did some analysis between the last and first days of trading in the F-fund. I ended up with a spread of returns ranging from -6 to +5 cents. Not to promising.
I then considered the activity of the F-fund during that month to see if there was a correlation between first of month returns or not. This is what I got:
View attachment 1473
Its a plot of the change between the last and first days of trading on the y-axis and the percent return for the previous month on the y-axis. See anything interesting? Look again:
View attachment 1474
If the return for the month is greater than 1.011%, there are 2 negative days on the first trading day of the month.
Of course, that doesnt guarantee a return either because 3 of those days with previous month returns >1.011% gained 0 cents. But there are roughly twice as many returns that gained a penny than 0.
Is there anything here worth pursuing? Im thinking this may help increase the returns for those interested in penny chasing.
Thoughts? Comments?
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