Style Performance by Calendar Month

The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various size and value/growth styles deviate from an overall equity market profile? To investigate, we consider the the following six exchange-traded funds (ETF) that cut across capitalization (large, medium and small) and value versus growth:

iShares Russell 1000 Value Index (IWD) – large capitalization value stocks.
iShares Russell 1000 Growth Index (IWF) – large capitalization growth stocks.
iShares Russell Midcap Value Index (IWS) – mid-capitalization value stocks.
iShares Russell Midcap Growth Index (IWP) – mid-capitalization growth stocks.
iShares Russell 2000 Value Index (IWN) – small capitalization value stocks.
iShares Russell 2000 Growth Index (IWO) – small capitalization growth stocks.

Using monthly dividend-adjusted closing prices for the style ETFs and S&P Depository Receipts (SPY) over the period August 2001 through November 2011 (124 months, limited by data for IWS/IWP), we find that:

The following chart shows the average (equally weighted) style performance and the dispersion of style performances by calendar month over the sample period. Overall, January, February, June and September are weak months and March, April, October, November and December are strong months over the available sample period. Style returns are generally similar by month, with the largest dispersion in October.

How do average returns break down by style?

The next chart summarizes average return by calendar month for the six style ETFs and SPY over the available sample period. There are some differences in seasonality among these ETFs. For example, growth beats value in October. Large capitalization underperforms in December. However, the sample period is too short (about ten years) and/or the performance differences among style ETFs by calendar month generally too small for confident inference.

For another perspective, the following table lists the winning and losing style ETFs by calendar month.

In summary, evidence from very limited data suggests that there may be some systematic differences in seasonality among size and value/growth ETFs, but the combination of small sample size and modest magnitude of differences does not support confident beliefs.

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