Calendar Effects

Are some calendar months more likely to exhibit stock market continuation or reversal than others, perhaps due to seasonal or fund rebalancing/reporting effects? In other words, is intrinsic (times series or absolute) momentum an artifact of some months or all months? To investigate, we relate U.S. stock index returns for each calendar month to those for the preceding 3, 6 and 12 months. Using monthly closes of the S&P 500 Index since December 1927 and the Russell 2000 Index since September 1987, both through September 2025, we find that: Keep Reading

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy.

We have updated the Trading Calendar to incorporate data for October 2025.

Is there a reliable and material market capitalization (size) effect among U.S. stocks around the turn-of-the-year (TOTY)? To check, we track cumulative returns from 20 trading days before through 20 trading days after the end of the calendar year for the Russell 2000 Index, the S&P 500 Index and the Dow Jones Industrial Average (DJIA) since the inception of the Russell 2000 Index. We also look at full-month December and January returns for these indexes. Using daily and monthly levels of all three indexes during December 1987 through January 2025 (38 December and 38 January observations), we find that: Keep Reading

Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI) since June 1996 and SPDR Gold Shares (GLD) since November 2004, all through September 2025, we find that: Keep Reading

Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM) returns for the following nine asset class exchange-traded funds (ETF) used in the “Simple Asset Class ETF Momentum Strategy” and the “Simple Asset Class ETF Value Strategy”:

• Invesco DB Commodity Index Tracking Fund (DBC)
• iShares MSCI Emerging Markets Index (EEM)
• iShares JPMorgan Emerging Markets Bond Fund (EMB) 
• iShares MSCI EAFE Index (EFA)
• SPDR Gold Shares (GLD)
• iShares Russell 2000 Index (IWM)
• iShares iBoxx $ Investment Grade Corporate Bond (LQD)
• SPDR S&P 500 ETF Trust (SPY)
• iShares Barclays 20+ Year Treasury Bond (TLT)
• Vanguard REIT ETF (VNQ)

We define TOTM as the eight-trading day interval from the close five trading days before the first trading day of a month to the close on the fourth trading day of the month. Using daily dividend-adjusted closes for these ETFs from their respective inceptions (ranging from February 1993 for SPY to December 2007 for EMB) through late September 2025, we find that: Keep Reading

A reader inquired whether the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, works for U.S. stock market sectors. To investigate, we measure turn-of-the-month (TOTM) returns for the nine sector exchange-traded funds (ETF) defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR), all of which have traded since December 1998:

• Materials Select Sector SPDR (XLB)
• Energy Select Sector SPDR (XLE)
• Financial Select Sector SPDR (XLF)
• Industrial Select Sector SPDR (XLI)
• Technology Select Sector SPDR (XLK)
• Consumer Staples Select Sector SPDR (XLP)
• Utilities Select Sector SPDR (XLU)
• Health Care Select Sector SPDR (XLV)
• Consumer Discretionary Select SPDR (XLY)

We define TOTM as the eight-trading day interval from the close five trading days before the first trading day of a month to the close on the fourth trading day of the month. Using daily dividend-adjusted closes for the sector ETFs and for SPDR S&P 500 ETF Trust (SPY) as a benchmark from December 1998 through late September 2025, we find that: Keep Reading

Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in their power to create good news just before ensuing biennial elections. Are some presidential term cycle years reliably good or bad? If so, do abnormal returns concentrate in certain quarters? Finally, what does the stock market do in the period immediately before and after a national election? Using daily and monthly S&P 500 Index levels from January 1928 through July 2025 (about 97 years and 24 presidential terms) and focusing on “political quarters” (Feb-Apr, May-Jul, Aug-Oct and Nov-Jan), we find that: Keep Reading

Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check, we look at average return by calendar month for the following nine ETFs:

• SPDR S&P 500 ETF Trust (SPY)
• iShares Russell 2000 Index (IWM)
• iShares MSCI EAFE Index (EFA)
• iShares MSCI Emerging Markets Index (EEM)
• iShares Barclays 20+ Year Treasury Bond ETF (TLT)
• iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD)
• Vanguard Real Estate Index Fund (VNQ)
• SPDR Gold Shares (GLD)
• Invesco DB Commodity Index Tracking Fund (DBC)

Using monthly dividend-adjusted returns for these ETFs over a common sample period during March 2006 (limited by DBC) through July 2025, we find that: Keep Reading

Does the Labor Day holiday, marking the end of summer distractions, signal unusual return effects by refocusing U.S. stock investors on managing their portfolios? By its definition, this holiday brings with it any effects from the turn of the month. To investigate the possibility of short-term effects on stock market returns around Labor Day, we analyze the historical behavior of the stock market during the three trading days before and the three trading days after the holiday. Using daily closing levels of the S&P 500 Index for 1950 through 2024 (75 observations), we find that: Keep Reading

Traders can buy and sell bitcoin any day of the week. Do bitcoin returns exhibit anomalies by day of the week, perhaps especially because of weekend trading? To investigate, we calculate (1) average return and return variability for each day of the week; (2) gross cumulative return for holding bitcoin only one day of the week; and, (3) bitcoin return by day of the week by calendar year. Using daily bitcoin prices during mid-September 2014 (earliest available) through July 2025, we find that: Keep Reading