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Every investor hopes to buy low and sell high, and according to Merrill Lynch analyst Michael Linenberg, the way to do that with airlines is to buy in the fall and sell in the spring.

A closer look suggests it's not quite that easy.

In a research note last week, Linenberg pointed out the merits of buying airline stocks in the fall, when share prices drop in anticipation of the seasonal downturn in business. From September to early November, traffic dries up as vacationers head back to work until it's time to fly home for the holidays.

"The rationale behind the timing is that during the fall, share prices discount two forthcoming consecutive weak quarters, and that in the spring, share prices discount two consecutive strong quarters," advised Linenberg in a research note.

In each of the last 11 years, Linenberg's strategy has paid off -- if you perfectly timed the market. As the chart below shows, the Amex Airline index, the dollar-weighted index of the 10 largest U.S. airlines based on market cap, was cheaper in the fall than it was six months later. Linenberg couldn't be reached for this article.

"The results are impressive with the industry not only outperforming the market every year -- on average by 28 points -- but returning an average 42% over the holding period," he said, adding that his data excludes last year's move, which was an anomaly due to the threat of war in Iraq.

For investors, the autumn swoon in travel demand and airline stock prices may represent a good buying opportunity. But it could also be a game of chicken, especially if there's another terror attack or the improving revenue trends seen this summer don't last. Even the airlines themselves can't come to an agreement on the recovery, with

Northwest Airlines


seeing "

no light at the end of the tunnel" and


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unit American Airlines

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saying business is strong.

And indeed, even using Linenberg's strategy, if you had timed the market wrong over the last 11 years, you'd have losses in seven of them, with some especially deep ones over the last four years as the industry struggled to recover. Blindly buying in fall and selling in spring is certainly a risky way to invest.

"I would say that kind of strategy is a good jumping-off point, but you can't just dial that in," said Jim Corridore, airline equity analyst at Standard & Poor's. "The recovery may be different this time around. We're expecting a recovery that may or may not happen. And each airline is different with regards to certain issues."

To be fair, Linenberg warns investors that his strategy involves market timing, which is more art than science.

"In order for an investor to achieve the maximum return in a seasonal trade, he or she needs to be somewhat nimble in entering and exiting the market," he said. "That was certainly the case in 2000/2001 -- but for every other year, there were numerous opportunities to make the seasonal trade."

Furthermore, there's the issue of valuation. For the handful of airlines that have profits, and therefore actual price-to-earnings multiples, the rally over the last four months has made valuations pricey. For the rest of the industry, profits aren't expected to materialize for years, making it hard to value the companies.

"Most have negative P/E and the first positive P/E for many isn't coming until 2005," said Corridore. "You're valuing these companies based on assets and they have huge debt burdens and big pension issues that aren't seen on the balance sheet. So it's really hard to say if AMR quadruples, whether it's approaching fair value. What's fair value on a company losing that kind of money?"

Historically speaking, buying airline stocks in the fall and selling in the spring does tend to pay off -- but it's not a given. Instead of using the best-case or worst-case scenarios, a look at the average level of the Amex airlines in the fall and following spring reveals the "buy fall, sell spring" strategy has a positive bias.

As the chart below shows, you would have had double-digit returns in seven of the last 11 years by buying the Amex Airline index at the average price in the fall and selling at the average price in the spring. In one year, you would have shown no gain, and in three years, you'd have seen a slight loss.

The breakdown occurred recently, because of the sector's exposure to terrorism. Since 1999, buying in the fall and selling in the spring, using average prices as a barometer, only paid off once -- in 2001, when airline stocks plunged after Sept. 11 and regained momentum in the spring.

At best, the investment strategy is a nice framework by which to view the autumn slide in airline shares. It's not a hard-and-fast rule, and it might not even work anymore, given the industry changes and the rise of not only low-cost names like


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, but regional players as well.

"Knowing that investors in the airline industry tend to overreact, have they pushed stocks too high? Maybe then you sell. Have they depressed them too much? It's a strategy worth looking at, but I wouldn't dial it in," said Corridore. "The beta in airline stocks is higher than in the overall market. You're taking on a lot of risk investing in these stocks, and that's something you have to consider."