Asset Class ETF Seasonalities?

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 August 2023, we find that: (more…)