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Asset Class ETF Seasonalities?

Steve LeCompte | | Posted in: Calendar Effects

Guide Calendar Effects Months and seasons

Key Insight

Average monthly returns for nine asset class ETFs (SPY, IWM, EFA, EEM, TLT, LQD, VNQ, GLD, DBC) are mostly positive in April, July, November and December and uniformly negative in September (Mar 2006–Jul 2026; descriptive; not a trading test; short sample).

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 2026, we find that:

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Calendar Effects guide

More on months and seasons

  • Style Performance by Calendar Month Premium 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…
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All 183 articles in the Calendar Effects guide

Further Reading

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... 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, Size Effect, Value Premium Style Performance by Calendar Month Style ETFs show modest monthly return differences versus SPY, with value outperforming growth in Mar/Apr/Dec and growth leading... Currency Trading, Economic Indicators Asset Class ETF Interactions with the Euro FXE monthly returns correlate positively with same-month returns of most SACEMS/SACEVS asset class ETFs, except TLT, but not... Currency Trading, Economic Indicators Asset Class ETF Interactions with the U.S. Dollar Most asset class ETFs (except TLT) show moderately negative same-month correlations with UUP returns, while lead-lag correlations 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...