Calendar Effects

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

Does the U.S. stock market, as proxied by the S&P 500 Index (SP500) exhibit much variability in intra-month behaviors by calendar month? To investigate, we compare average daily cumulative SP500 returns across calendar months. Using daily SP500 returns during January 1990 through June 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 July 2025.

The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze historical behavior of the S&P 500 Index from five trading days before through trading days after both the end of June and the 4th of July. Using daily closing levels of the index for 1950-2024, we find that: Keep Reading

How does the performance of the U.S. stock market compare to that of the aggregated stock markets in the rest of the world over the long run? Is there alternating leadership? To investigate, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and the World ex USA Index in U.S. dollars as a proxy for the rest-of-world  equity market(ROW). We consider three ways to relate U.S. and ROW equity returns:

1. Basic return statistics/cumulative performances.
2. Lead-lag analysis between U.S. and ROW annual returns to see whether there is some cycle in the relationship (with the U.S. stock market compared to itself as a control).
3. Sequences of end-of-year high water marks for U.S. and ROW equity markets.

Using annual SP500 and ROW levels during December 1969 (limited by ROW) through December 2024, we find that: Keep Reading

Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday in May. To investigate the possibility of short-term effects on stock market returns around Memorial 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

Does the seasonal shift marked by the Easter holiday, with the U.S. stock market closed on the preceding Good Friday, produce anomalous returns? To investigate, we analyze the historical behavior of the S&P 500 Index before and after the holiday. Using daily closing levels of the S&P 500 index for 1950-2024 (75 events), we find that: Keep Reading

“Seasonal Strategy for QQQ?” finds an interesting even year-odd year effect in Invesco QQQ Trust (QQQ) annual returns. The Trading Calendar and “Monthly Returns During Presidential and Congressional Election Years” find notable differences in S&P 500 Index performances for even years and odd years. A plausible culprit is federal elections. Is this effect growing over time? To investigate, we look at four indexes over their full histories:

1. Shiller’s S&P Composite Index during 1871 through 2024 (153 annual returns).
2. The S&P 500 Index during 1927 through 2024 (97 returns).
3. The NASDAQ 100 Index during 1985 through 2024 (39 returns).
4. The Russell 200 Index during 1987 through 2024 (37 returns).

For each index, we calculate annual returns for even years and odd years and look at the separate trends in these returns over time. Using the selected end-of-year index levels, we find that: Keep Reading