Calendar Effects

“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

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 February 2025.

Can traders generate attractive returns by frontrunning orders of large funds as they predictably rebalance from past winning asset classes to past losing asset classes? In their January 2025 paper entitled “The Unintended Consequences of Rebalancing”, Campbell Harvey, Michele Mazzoleni and Alessandro Melone investigate market impacts of asset class rebalancing based on deviations from allocation targets or calendar schedules. Specifically, they use daily returns for E-mini S&P 500 Index (SP500) and 10-year U.S. Treasury note (T-note) futures with shortest maturities to track deviations of a 60% stocks/40% bonds (60/40) portfolio from target weights. When stocks (bonds) outperform their weights, rebalancers must sell stocks (bonds) and buy bonds (stocks) to rebalance. The larger the deviation from 60/40, the greater the likelihood and magnitude of rebalancing. They consider two rebalancing rules:

1. Threshold – rebalance when portfolio weights drift a specified distance from 60/40 targets to manage trading frictions. They use an average of the rebalancings implied by regression analyses of distances in the range 0% to 2.5%.
2. Calendar – rebalance at monthly intervals (the last week of each month) to meet cash flow needs.

They construct a portfolio that anticipates activity of Threshold and Calendar rebalancers by taking either a long (short) position in SP500 futures and a short (long) position in T-note futures. They rescale the Threshold signal such that the Threshold and Calendar rebalancing signals contribute roughly equal risk to the overall strategy. Using daily SP500 and T-note nearest-maturity futures prices during mid-September 1997 (E-mini inception) through mid-March 2023, they find that: Keep Reading

The full-year Trading Calendar indicates that the U.S. stock market has three phases over the calendar year, corresponding to calendar year trading days 1-84 (January-April), 85-210 (May-October) and 211-252 (November-December). What are typical stock market returns and return variabilities for these phases? Using daily S&P 500 Index closes from the end of December 1927 through December 2024, we find that: Keep Reading

Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily closing levels of the S&P 500 Index around New Year’s Day for 1951-2024 (74 observations), we find that: Keep Reading

Do investors swing toward optimism around U.S. presidential inauguration days, focusing on future opportunities? Or, does the day remind investors of political uncertainty and conflict? To investigate, we analyze daily returns of the S&P 500 Index around inauguration day. We consider subsamples of no party change and party change. Using inauguration dates since 1928 and daily S&P 500 Index levels during 1928 through most of 2024, we find that: Keep Reading

Does the Christmas holiday, a time of putative good will toward all, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during five trading days before through five trading days after the holiday. Using daily closing levels of the S&P 500 Index for 1950-2023 (74 events), we find that: Keep Reading

Does the Thanksgiving holiday, a time of families celebrating plenty, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index 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 1950-2023 (74 events), we find that: Keep Reading

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 2024 (37 December and 37 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 2024, we find that: Keep Reading