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American Capital Agency Corp. Message Board

  • reits_r_us reits_r_us Oct 17, 2010 8:41 PM Flag

    The historical guy re.$$$

    I am a little OCD re. historical trends and I have been researching EVEP and the run up pre and post EX-DIV date for the past 4 years. I know, why 4? I got tired going back further.

    So, I have collected data for 15 div runs, and I have noted the ff. facts & trends:

    1)Dividend announcement given on avg 6 days B4 EX
    2)Time from announcement to EX often has run-up of PPS
    3)(Important) only on the quarters with runs (minimum 3%) during those 6 days will this work.
    4)On those 15 quarters this strategy worked 14 times.
    5)Most fascinating is that for those quarters with zero or negative divi runs this stategy worked 5 out of 6 times.
    6)Do not trade therefore without a minimum 3% divi run from 6 days out to EX-Div day.

    Strategy:

    Buy ITM puts and immediately place sell order for 9% return. Buy these puts at open of EX-DIV for near month, hold until sell limit of 9% hit or expiration (usu. 12 days).

    Total historical runs on the dates you would and would not have traded:

    1/2007 No trade
    5/2007 No trade
    8/2007 No trade...would have made 9.39% but negative run
    11/2007 19.9%
    2/2008 No trade
    5/2008 No trade
    8/2008 17.9%
    11/2008 19.8%
    02/2009 28.5%
    5/2009 7.8% Holding with ITM puts until exp, BE
    8/2009 11%
    11/2009 No trade
    02/2010 14.28%
    05/2010 53%
    08/2010 12%

    Check out from 8/2008 until 08/2010 Using this strategy and just holding for 10% gain on the "green light" trades(7) would have returned 70%.

    The kicker is that on those 7 dates it only took an average of two days to hit 10% on 6 of those dates and 12 days on one. Total days held 22, for an annualized return over two years (730 days) of 1161% each year.

    Your thoughts?

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