Small and Big Cap candidates for a July rebound

James Nicolaou

Baillieu Holst Ltd

Over the past 20 years, large-cap stocks that are down more than 10% on the year heading into June underperform the market by a further ~2.5% into the financial year end, before recovering 1% in July. However, historical data has confirmed that small caps have a more pronounced pattern where tax-loss selling candidates underperform by an average of ~5% during June before recovering 2% in July. In both large and small cap stocks, shorting potential tax-loss selling candidates has generated positive alpha in 18 out of the past 20 years for hedge funds. This has created a further headwind to our market on top of the Macro environment globally and more specifically the ‘Grexit’. Charts attached show 17 big cap and 19 small cap stocks that are candidates for a July rebound based on this scenario.

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James Nicolaou
James Nicolaou
Institutional Research Sales & Trading
Baillieu Holst Ltd

James' personality exhibits a strong passion for the share market, born out of his hard working and loyal nature which compliments his outstanding commitment to client service and an unmatched level of enthusiasm. James has been working @ Baillieu...


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