Calendar Effects

…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 belief.

…calendar effects may vary across sector ETFs, but with only about 11.5 years of data, these results offer only weak hints for calendar-based sector rotation.

…there appear to be both long-term and short-term connections between the U.S. national election cycle and stock market performance, with presidential term year 3 (1) the best (worst) and a tendency for a brief election-time rally.

…best guess for the U.S. stock market is a positive bias focused at the mid-year point and no reliable bias around the 4th of July holiday.

…evidence from a fairly large recent sample of U.S. stocks indicates that traders may be able to suppress trading friction by systematically executing sales at the open and buys later in the trading day.

…evidence suggests some systematic strength the first few days after ends of quarters bracketed by weakness or doldrums before and after, with effects small compared to daily return variability. The fourth quarter pattern is the strongest and most distinctive.

…evidence from simple tests indicates that the U.S. stock market since 1990 performs better on average around new moons than full moons, and during waxing moons than waning moons. However, the levels of relative outperformance are small compared to market variability, so trading these differences is very risky.

…evidence suggests that frequent, low-cost traders may be able to offset part of trading frictions by exploiting daily patterns in stock returns.

…best guess is that any anomalous U.S. stock market behavior around Memorial Day is slight strength one trading day after the holiday, along with extra volatility that day.

…evidence from a small number of presidential terms supports some cautious belief in three typical phases of the U.S. stock market: (1) flat at the beginning; (2) strongly advancing in middle; and, (3) moderately advancing at the end.

…evidence indicates a potentially exploitable tendency for prices of individual U.S. stock options to drop over weekends.

…evidence from simple tests does not support a belief that gold or gold mining stocks exhibit reliable seasonality.

…evidence from joint tests support a belief that the Halloween effect and the turn-of-the-month effect are the “real” calendar effects.

…evidence from simple tests on available data for SPY indicates that Sy Harding’s Seasonal Timing Strategy is not a compelling improvement over a buy-and-hold strategy.

…evidence from simple tests does not support a belief that going to cash or shorting the broad stock market during the earnings off-season reliably beats, or even matches, buy-and-hold. It does support a belief that the market tends to be relatively weak during earnings season.