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Style Performance by Calendar Month

Steve LeCompte | | Posted in: Calendar Effects, Size Effect, Value Premium

Guide Calendar Effects Months and seasons

Key Insight

Style ETFs show modest monthly return differences versus SPY, with value outperforming growth in Mar/Apr/Dec and growth leading in Oct/Nov (Aug 2001–Oct 2021; 20-year sample too short for confident inference).

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. 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 SPDR S&P 500 (SPY) during August 2001 through June 2026 (limited by data for IWS/IWP), we find that:

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Calendar Effects guide

More on months and seasons

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All 184 articles in the Calendar Effects guide

Further Reading

Calendar Effects Sector Performance by Calendar Month Average returns and return dispersion across nine Select Sector SPDR ETFs (XLB, XLE, XLF, XLI, XLK, XLP, XLU,... Calendar Effects Asset Class ETF Seasonalities? Average monthly returns for nine asset class ETFs (SPY, IWM, EFA, EEM, TLT, LQD, VNQ, GLD, DBC) are... Calendar Effects Does the Turn-of-the-Month Effect Work for Sectors? Average abnormal turn-of-the-month returns across nine Select Sector SPDR ETFs declined from 0.6% (first half) to 0.1% (second... Value Premium Measuring the Value Premium with Value and Growth ETFs Value-minus-growth ETF returns did not show a reliable value premium; average annual V–G premiums were -0.7% (small), -1.0%... Calendar Effects Does the Turn-of-the-Month Effect Work for Asset Classes? Average abnormal turn-of-the-month returns across 10 asset class ETFs (vs all eight-trading-day intervals) were 0.4% in first sample... Momentum Investing, Size Effect, Value Premium Doing Momentum with Style (ETFs) Top 1 style ETF momentum (monthly hold of the best 6-month performer among six iShares Russell value/growth ETFs)...